# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0000035402-25-001435
**Filing Date:** 2025-10
**Character Count:** 560402
**Document Hash:** 0711414412c1890e634aba32e0871a44
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-001435.hdr.sgml**: 20251028

**ACCESSION NUMBER**: 0000035402-25-001435

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251028

**DATE AS OF CHANGE**: 20251028

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES II
- **CENTRAL INDEX KEY:** 0000795422

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 251424487

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY DIVERSIFIED TRUST
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH FUND
- **DATE OF NAME CHANGE:** 19920130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19911204

## Series and Classes Contracts Data

### Fidelity Series Investment Grade Securitized Fund (Series ID: S000062808)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000203455 | Fidelity Series Investment Grade Securitized Fund | FHPFX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Advisor Series II

- **b. Investment Company Act file number:** 811-04707

- **c. CIK number of Registrant:** 0000795422

- **d. LEI of Registrant:** EIVUM2R16VT371T5KS40

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Series Investment Grade Securitized Fund

- **b. EDGAR series identifier (if any):** S000062808

- **c. LEI of Series:** 549300SCBY1VRBYHW061

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

- **a. Date of fiscal year-end:** 2025-08-31

- **b. Date as of which information is reported:** 2025-08-31

**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:** $1573760115.08

**Total Liabilities:** $774460890.90

**Net Assets:** $799299224.18

**Delayed Delivery Securities:** $465888714.40

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3717.05450294 | **1-Year:** 57666.67968435 | **5-Year:** 116242.04404964 | **10-Year:** 165269.01971086 | **30-Year:** 45190.24265800

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

- **3-Month:** 50.81682451 | **1-Year:** 318.66014482 | **5-Year:** 435.10022208 | **10-Year:** 145.20537754 | **30-Year:** 0.82829418

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203455 | 1.74%                | -0.28%               | 1.51%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $12284.55                | $11047862.92                               |
| Month 2  | $1695728.02              | $-7820293.97                               |
| Month 3  | $1383897.63              | $9558892.62                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Securitized Index

- **Index Identifier:** 19910058

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 01/01/2032#AS8602                                                    | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144907 | PA      | $139898.04    | 0.02%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 07/51#BT1461                                                           | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72561 | PA      | $58693.76     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 11/01/2035#FM4368                                                    | CUSIP: 3140X72A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22525 | PA      | $20240.66     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                               | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     721861 | PA      | $723527.12    | 0.09%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2051#CB0447                                                    | CUSIP: 3140QKP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1418562 | PA      | $1190897.47   | 0.15%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 56 FC SOFR30A+150 11/25/2053                         | CUSIP: 3136BQNC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     273791 | PA      | $276034.26    | 0.03%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2051#FM9464                                                      | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16869 | PA      | $14893.51     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                       | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     533144 | PA      | $533976.88    | 0.07%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 03/20/2047#784299                                                        | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9930 | PA      | $9477.34      | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                    | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59000 | PA      | $56050.00     | 0.01%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 2.5% 11/01/2031#ZS8629                                                    | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121666 | PA      | $117501.23    | 0.01%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.5% 10/01/2055 #TBA                                                        | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4500000 | PA      | $4330578.60   | 0.54%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 03/01/2052#FS1372                                                      | CUSIP: 3140XGQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1987959 | PA      | $1724719.12   | 0.22%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 11/01/2041#FS1573                                                    | CUSIP: 3140XGXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281901 | PA      | $252127.98    | 0.03%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                         | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                         | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $402875.60    | 0.05%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 09/01/2032#BM1884                                                      | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9857 | PA      | $9606.41      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-1                              | TOWD POINT MORTGAGE TRUST 2021-1 VAR 11/25/2061 144A                                | CUSIP: 89179YAR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1453973 | PA      | $1373311.73   | 0.17%             | 2061-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                   | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                  | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77082 | PA      | $73995.46     | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 10/01/2051#QC9772                                                    | CUSIP: 3133AU2D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9529 | PA      | $8623.27      | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 07/01/2041#ZL1693                                                    | CUSIP: 3131XG3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1458785 | PA      | $1456412.51   | 0.18%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                           | BMO 2025-5C9 MTG TR 5.7785% 04/15/2058                                              | CUSIP: 096933AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7400000 | PA      | $7767739.30   | 0.97%             | 2058-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5.5% 09/01/2055 #TBA                                                      | CUSIP: 01F052698<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -7100000 | PA      | $-7141601.74  | -0.89%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 01/01/2055#SL0307                                                    | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1620013 | PA      | $1655229.73   | 0.21%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 04/01/2052#FS5385                                                    | CUSIP: 3140XL6X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203837 | PA      | $171951.23    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 04/01/2052#RA7122                                                    | CUSIP: 3133KN4F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21581 | PA      | $19617.49     | 0.00%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK13                                               | BANK 2018-BN13 A5 4.217% 08/15/2061                                                 | CUSIP: 06539LBB5<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $697252.29    | 0.09%             | 2061-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#CB3037                                                      | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262078 | PA      | $211173.51    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                    | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     232734 | PA      | $219422.64    | 0.03%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7                       | CFCRE COMMERCIAL MORTGAGE TRUST 2016-C7 3.5853% 12/10/2054                          | CUSIP: 12532BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439884 | PA      | $432973.68    | 0.05%             | 2054-12-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                  | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                                  | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     160000 | PA      | $160275.73    | 0.02%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 11/52#MA4805                                                         | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1536489 | PA      | $1484564.09   | 0.19%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     700000 | NC      | $-9395.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6% 06/01/2053#RA9277                                                      | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     387980 | PA      | $401226.05    | 0.05%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 12/01/2048#BM5106                                                    | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36464 | PA      | $35836.02     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 06/01/2047#ZM3411                                                      | CUSIP: 3131XWYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94317 | PA      | $89652.33     | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6% 09/01/2053#RA9856                                                      | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523561 | PA      | $539635.45    | 0.07%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2025-X1                        | AFFIRM ASSET SECURITIZATION TR 2025-X1 A 5.24% 04/15/2030 144A                      | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     520999 | PA      | $521648.22    | 0.07%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                | FORD CR FLOORPLN MAST OWN TR A 5.29% 04/15/2029 144A                                | CUSIP: 34528QJA3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    2500000 | PA      | $2545576.00   | 0.32%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 09/17/45                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -9316000 | NC      | $-68081.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP REC 3.87 11/07/29                                                         | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    3100000 | NC      | $96354.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY873248 04/17/65 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      30000 | NC      | $4797.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 09/01/2055 #TBA                                                      | CUSIP: 01F022691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   18625000 | PA      | $15462387.46  | 1.93%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 03/01/2051#SD2903                                                      | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     462571 | PA      | $371423.51    | 0.05%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 09/01/2052#BW8697                                                      | CUSIP: 3140N1UX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15521 | PA      | $15683.90     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                            | PRPM 2023-RCF2 LLC 4% 11/25/2053 144A                                               | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     429068 | PA      | $422421.32    | 0.05%             | 2053-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 02/01/2052#RA6823                                                      | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2473361 | PA      | $1992951.43   | 0.25%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                      | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     125465 | PA      | $113034.94    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3.5% 11/01/2033#G16677                                                    | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17840 | PA      | $17519.39     | 0.00%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 08/42#Q10245                                                         | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9411 | PA      | $8884.13      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM10                                                | OBX 2025-NQM10 A1 STEP 05/25/2056 144A                                              | CUSIP: 67121LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1083391 | PA      | $1090877.52   | 0.14%             | 2065-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 11/01/2050#SD7530                                                    | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2209497 | PA      | $1867323.95   | 0.23%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                            | AVIS BUDGET RENTCAR FDG AE LLC 5.12% 08/20/2031 144A                                | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     595000 | PA      | $609441.72    | 0.08%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 08/01/2045#AL7231                                                    | CUSIP: 3138EQA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7557 | PA      | $7060.03      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                            | RCKT TRUST 2025-1A 4.9% 07/25/2034 144A                                             | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     186707 | PA      | $186874.92    | 0.02%             | 2034-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                              | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                 | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850118 | PA      | $15129.55     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                               | BANK 20-BNK25 XB CSTR 01/15/2063                                                    | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $36278.60     | 0.00%             | 2063-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5.5% 09/01/2055 #TBA                                                      | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   13825000 | PA      | $13906006.21  | 1.74%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2025-1A                  | TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2025-1A 4.65% 05/25/2038 144A                  | CUSIP: 891950AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $612309.84    | 0.08%             | 2038-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 10/01/2048#CA2432                                                    | CUSIP: 3140Q9V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     555041 | PA      | $545476.26    | 0.07%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 10/01/2051#FM9049                                                      | CUSIP: 3140XDBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2564407 | PA      | $2256089.85   | 0.28%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 10/01/2051#RA5998                                                      | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     700324 | PA      | $615248.79    | 0.08%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 11/01/2041#SC0210                                                    | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1541616 | PA      | $1380032.72   | 0.17%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 09/01/2055 #TBA                                                          | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19200000 | PA      | $17007632.64  | 2.13%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6% 11/01/2053#RJ0189                                                      | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249228 | PA      | $256880.03    | 0.03%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 11/01/2035#QN4142                                                    | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55443 | PA      | $49819.99     | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 12/20/2051#785805                                                      | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     884384 | PA      | $746931.10    | 0.09%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                 | GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 STEP 09/25/2061 144A                  | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     180019 | PA      | $176356.54    | 0.02%             | 2061-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                       | MNGT SWAP CY873248 04/17/65 B                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      10000 | NC      | $1599.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 11/01/2052#CB5124                                                    | CUSIP: 3140QQVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1151827 | PA      | $1112901.02   | 0.14%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 08/20/2047#MA4650                                                      | CUSIP: 36179TEX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13091 | PA      | $11338.25     | 0.00%             | 2047-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 11/01/2051#FM9568                                                      | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1847514 | PA      | $1495593.12   | 0.19%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 06/01/2036#BR2059                                                    | CUSIP: 3140L0JD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47685 | PA      | $42744.15     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 03/01/2054#FS8634                                                      | CUSIP: 3140XQSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     238667 | PA      | $239012.63    | 0.03%             | 2054-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 05/01/2052#CB3509                                                      | CUSIP: 3140QN3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3324189 | PA      | $3139019.13   | 0.39%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 08/01/2049#FS4660                                                    | CUSIP: 3140XLFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1989809 | PA      | $1831624.86   | 0.23%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                                 | DLLAD 2023-1A 4.79% 01/20/2028 144A                                                 | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     383580 | PA      | $384997.80    | 0.05%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2% 09/01/2055 #TBA                                                        | CUSIP: 01F020695<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  114100000 | PA      | $90593620.04  | 11.33%            | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B                | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B 5.41% 05/17/2027 144A                | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     453000 | PA      | $456394.46    | 0.06%             | 2027-05-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                       | ACHV ABS TRUST 2024-3AL 5.01% 12/26/2031 144A                                       | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      49849 | PA      | $50223.22     | 0.01%             | 2031-12-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 10/01/2047#ZM4388                                                    | CUSIP: 3131XX2V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7393 | PA      | $6858.36      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 03/01/2052#FS0840                                                      | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354907 | PA      | $310795.14    | 0.04%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 5% 08/01/2053#RA9615                                                      | CUSIP: 3133KRVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     346578 | PA      | $344481.46    | 0.04%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#CB2420                                                      | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322046 | PA      | $283025.06    | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LN EXTD NT TR 2021-1                              | TOYOTA AUTO LN EXTD NT TR 2021-1 1.07% 02/27/2034 144A                              | CUSIP: 89237MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1800000 | PA      | $1772255.88   | 0.22%             | 2034-02-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 03/01/2051#QC0031                                                    | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16524 | PA      | $12690.78     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 11/20/2054#MB0025                                                        | CUSIP: 3618N5A33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8432100 | PA      | $8347031.15   | 1.04%             | 2054-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 10/01/2052#SD8257                                                    | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     638251 | PA      | $616681.43    | 0.08%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 06/01/2051#CB0850                                                      | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     836688 | PA      | $733740.12    | 0.09%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 12/01/2052#SD2175                                                      | CUSIP: 3132DPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161618 | PA      | $161195.82    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 11/01/2051#QD1240                                                      | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90368 | PA      | $79192.47     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C3                                       | UBS COML MTG TR 2017-C3 3.215% 08/15/2050                                           | CUSIP: 90276GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     536112 | PA      | $530463.38    | 0.07%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047                                      | CUSIP: 3136BLRR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     661862 | PA      | $598580.94    | 0.07%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5% 09/01/2055 #TBA                                                        | CUSIP: 01F050692<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     875000 | PA      | $862934.54    | 0.11%             | 2055-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                      | BX TRUST 0.8% 06/15/2023 144A                                                       | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     591798 | PA      | $591613.09    | 0.07%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 02/01/2050#CA5122                                                      | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199716 | PA      | $176079.05    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                             | BENCHMARK 2021-B31 MORTGAGE TRUST 2.669% 12/15/2054                                 | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $177767.50    | 0.02%             | 2054-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 12/01/2040#FM5042                                                      | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124081 | PA      | $108197.24    | 0.01%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                                | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |    2589000 | PA      | $2600951.86   | 0.33%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 06/20/2051#MA7418                                                      | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1721527 | PA      | $1466874.44   | 0.18%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                        | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A                | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295506 | PA      | $296152.49    | 0.04%             | 2040-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 12/20/2054#MB0093                                                        | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2593172 | PA      | $2644175.51   | 0.33%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    2400000 | NC      | $-32212.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                                | MSRM 2025-NQM3 VAR 05/25/2070 144A                                                  | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     889667 | PA      | $895682.31    | 0.11%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 02/01/2033#SB0621                                                      | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28970 | PA      | $28374.51     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 04/01/2047#SD0978                                                    | CUSIP: 3132DNCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     445441 | PA      | $377850.11    | 0.05%             | 2047-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 4.065 05/02/30                                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3470000 | NC      | $120584.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 11/01/2051#FM9538                                                      | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33927 | PA      | $27464.80     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 02/01/2050#FM2439                                                      | CUSIP: 3140X5V91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     719627 | PA      | $635805.62    | 0.08%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                            | PRPM 2024-RCF3 LLC 4% 05/25/2054 144A                                               | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     618087 | PA      | $607958.41    | 0.08%             | 2054-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 07/01/2055#CC0715                                                    | CUSIP: 3140Y6YM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1089406 | PA      | $1097768.14   | 0.14%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 01/20/2032#MA4170                                                      | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192848 | PA      | $188174.49    | 0.02%             | 2032-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 09/01/2055 #TBA                                                          | CUSIP: 21H040699<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8200000 | PA      | $7646896.88   | 0.96%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 06/01/2054#CB8729                                                    | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574646 | PA      | $596748.10    | 0.07%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP REC 3.9 07/08/26                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    1100000 | NC      | $36909.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.303% 11/25/2027                                    | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $887709.15    | 0.11%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047                                     | CUSIP: 3136BLHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     735852 | PA      | $657586.66    | 0.08%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 03/01/2041#MA4287                                                      | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146004 | PA      | $126646.34    | 0.02%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2% 10/01/2055 #TBA                                                        | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   73400000 | PA      | $58289927.38  | 7.29%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049                                      | CUSIP: 3136BKND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     693937 | PA      | $608654.27    | 0.08%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 04/01/2036#FM9743                                                    | CUSIP: 3140XDZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143119 | PA      | $138219.57    | 0.02%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                               | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     570446 | PA      | $571113.01    | 0.07%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY885802 12/15/56 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $12610.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                      | GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053                                         | CUSIP: 36258YBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     263632 | PA      | $255708.05    | 0.03%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 05/36#MA4328                                                         | CUSIP: 31418DY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23541 | PA      | $21116.29     | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 02/01/2052#CB2906                                                    | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154908 | PA      | $141008.09    | 0.02%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                      | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     167812 | PA      | $147131.54    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2051#RA6239                                                      | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     351131 | PA      | $283807.35    | 0.04%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 09/01/2049#FM1534                                                    | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     567831 | PA      | $557514.16    | 0.07%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 09/20/2052#MA8266                                                      | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3126295 | PA      | $2853338.09   | 0.36%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 05/01/2052#RA7312                                                    | CUSIP: 3133KPDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     732456 | PA      | $668562.53    | 0.08%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 10/01/2054#CB9365                                                    | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161490 | PA      | $1171131.27   | 0.15%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                              | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                            | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     170413 | PA      | $160099.97    | 0.02%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HILTON USA TR 2016-HHV                                        | HILTON USA TR 2016-HHV B CSTR 11/05/2038 144A                                       | CUSIP: 43300LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     446000 | PA      | $442085.64    | 0.06%             | 2038-11-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 05/01/2042#RB0806                                                    | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19535 | PA      | $17440.38     | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2051#CB0388                                                    | CUSIP: 3140QKNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     840188 | PA      | $705346.06    | 0.09%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                            | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                                 | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |     205000 | PA      | $207662.85    | 0.03%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 MTG TR                                            | CD 2017-CD6 ASB MTG TR 3.332% 11/13/2050                                            | CUSIP: 125039AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     792259 | PA      | $784454.19    | 0.10%             | 2050-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 02/01/2036#SB8088                                                    | CUSIP: 3132D56Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41287 | PA      | $37034.76     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 10/01/2053#SD8367                                                    | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45601 | PA      | $45993.89     | 0.01%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 11/01/2041#BQ6743                                                      | CUSIP: 3140KSP50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     795200 | PA      | $685302.13    | 0.09%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                           | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                      | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1741000 | PA      | $1748616.88   | 0.22%             | 2040-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                        | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 ASB 4.1945% 08/15/2051                       | CUSIP: 90353DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1025391 | PA      | $1022274.01   | 0.13%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 02/20/2052#MA7880                                                        | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16659511 | PA      | $13643708.36  | 1.71%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                                | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     599578 | PA      | $621030.95    | 0.08%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CZ030007 12/17/57 B                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $23585.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 02/01/2052#SD2298                                                      | CUSIP: 3132DPRT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     201054 | PA      | $162756.25    | 0.02%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 11/01/2051#                                                          | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115366 | PA      | $96382.65     | 0.01%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6.5% 11/01/2054#RJ2828                                                    | CUSIP: 3142GTEA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245749 | PA      | $259636.30    | 0.03%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/20/2049#BR8987                                                      | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2542 | PA      | $2332.35      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                               | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1787950 | PA      | $1590272.07   | 0.20%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY873248 04/17/65 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      10000 | NC      | $1599.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 04/01/2052#CB3239                                                      | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1024713 | PA      | $904714.32    | 0.11%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 3.5% 10/01/2034#C91793                                                    | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     559910 | PA      | $547819.05    | 0.07%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 11/01/2051#FM9539                                                      | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1165050 | PA      | $941670.73    | 0.12%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.5% 03/20/2055#MB0257                                                      | CUSIP: 3618N5JB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     992271 | PA      | $955460.33    | 0.12%             | 2055-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                               | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                     | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     256230 | PA      | $239299.31    | 0.03%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1   | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.49% 04/16/2029 144A   | CUSIP: 39154GAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $502906.30    | 0.06%             | 2029-04-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 07/20/2044#MA2074                                                      | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29032 | PA      | $27899.23     | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 03/01/2050#SD0517                                                      | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     609750 | PA      | $535487.08    | 0.07%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#SD0785                                                      | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20835 | PA      | $16866.63     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 11/01/2041#QK1167                                                    | CUSIP: 3133D4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92574 | PA      | $82939.00     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                            | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                              | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      70276 | PA      | $69901.46     | 0.01%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                            | PRPM 2025-RCF3 A1 LLC VAR 07/25/2055 144A                                           | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     472655 | PA      | $474268.46    | 0.06%             | 2055-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 01/01/2036#MA4228                                                    | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1012309 | PA      | $909638.78    | 0.11%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 07/25/2048              | CUSIP: 3137H3QP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     193498 | PA      | $171973.61    | 0.02%             | 2048-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP 12/15/56 S                                                              | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     300000 | NC      | $-4026.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028                                      | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2300000 | PA      | $2281221.88   | 0.29%             | 2028-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                   | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                            | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282000 | PA      | $281911.88    | 0.04%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 01/01/2052#SL0417                                                      | CUSIP: 31427MPB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1393289 | PA      | $1220985.04   | 0.15%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 05/01/2051#RA5267                                                      | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209702 | PA      | $183703.38    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/49#BR8986                                                           | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        969 | PA      | $886.79       | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 05/48#ZA5379                                                           | CUSIP: 31329N6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96852 | PA      | $92062.21     | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 04/01/2051#SD8142                                                      | CUSIP: 3132DWBK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1615777 | PA      | $1414948.48   | 0.18%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H4 MTG TR                                          | CROSS 2025-H4 MTG TR A1 VAR 06/25/2070 144A                                         | CUSIP: 22790AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     676367 | PA      | $681849.04    | 0.09%             | 2070-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2051#CB0506                                                    | CUSIP: 3140QKR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2879406 | PA      | $2440686.21   | 0.31%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 11/01/2054#CB9500                                                      | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180004 | PA      | $187161.88    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 1.5% 03/01/2041#MA4286                                                    | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118189 | PA      | $98757.80     | 0.01%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4% 09/01/2055 #TBA                                                        | CUSIP: 01F040693<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   10400000 | PA      | $9706531.12   | 1.21%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 01/01/2051#FM7484                                                    | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1826024 | PA      | $1550085.23   | 0.19%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 09/01/2053#CB7123                                                      | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     378611 | PA      | $390235.15    | 0.05%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 10/01/2054#RJ2653                                                    | CUSIP: 3142GS5P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1031078 | PA      | $1048659.23   | 0.13%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                         | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                         | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     361000 | PA      | $364070.67    | 0.05%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      10000 | NC      | $-134.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 02/01/2054#SD5078                                                    | CUSIP: 3132DSUB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3711501 | PA      | $3888180.32   | 0.49%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2024-A                            | HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029                                 | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     268000 | PA      | $270528.71    | 0.03%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                     | DLLAD LLC 4.42% 09/20/2030 144A                                                     | CUSIP: 23347BAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $504217.05    | 0.06%             | 2030-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 03/01/2052#FA1625                                                      | CUSIP: 3140W1YX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1591305 | PA      | $1395010.17   | 0.17%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                        | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     909373 | PA      | $767138.11    | 0.10%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#FS7527                                                      | CUSIP: 3140XPLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461754 | PA      | $373652.97    | 0.05%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2050#MA4184                                                      | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94907 | PA      | $83169.85     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 08/01/2047#ZM4038                                                    | CUSIP: 3131XXPX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21900 | PA      | $20316.74     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 06/01/2054#CB8711                                                      | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1795850 | PA      | $1839201.28   | 0.23%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 3% 08/01/2038#FM8189                                                      | CUSIP: 3140XCC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11639 | PA      | $11134.09     | 0.00%             | 2038-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                       | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                           | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184774 | PA      | $182478.60    | 0.02%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 08/01/2054#CB9061                                                      | CUSIP: 3140QVB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1908476 | PA      | $1953949.88   | 0.24%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 01/01/2040#MA3889                                                    | CUSIP: 31418DKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26502 | PA      | $23942.65     | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                         | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                         | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     265000 | PA      | $266630.15    | 0.03%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 02/01/2042#FS1810                                                    | CUSIP: 3140XHAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212895 | PA      | $190592.73    | 0.02%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 02/01/2035#                                                            | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40520 | PA      | $39687.66     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#SD0786                                                      | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18803 | PA      | $15221.20     | 0.00%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 05/20/2055#MB0368                                                      | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3079302 | PA      | $3171721.91   | 0.40%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                               | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                               | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     315000 | PA      | $315806.49    | 0.04%             | 2028-04-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                             | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      17084 | PA      | $15812.56     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                       | MNGT SWAP CZ030007 12/17/57 B                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $11792.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 07/51#QC4163                                                           | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89237 | PA      | $72183.02     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 08/20/2031#MA3850                                                      | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20229 | PA      | $19763.02     | 0.00%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 11/01/2054#CB9502                                                      | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1254339 | PA      | $1300297.50   | 0.16%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 03/01/2033#BK4845                                                      | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18997 | PA      | $18519.39     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 3% 07/01/2036#MA2672                                                      | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79902 | PA      | $76238.23     | 0.01%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2% 06/25/2046                                        | CUSIP: 3136BASY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     539042 | PA      | $491342.78    | 0.06%             | 2046-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                             | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                             | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     145004 | PA      | $145723.66    | 0.02%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#CB3036                                                      | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266121 | PA      | $214930.63    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.5% 11/20/2054#MB0024                                                      | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3503106 | PA      | $3375611.39   | 0.42%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 06/01/2053#CB6636                                                    | CUSIP: 3140QSLS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636597 | PA      | $647849.42    | 0.08%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 08/20/2048#MA5398                                                        | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     308063 | PA      | $292588.11    | 0.04%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V9 MORTGAGE TRUST                              | BENCHMARK 2024-V9 MORTGAGE TRUST 5.6019% 08/15/2057                                 | CUSIP: 081919AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $937197.63    | 0.12%             | 2057-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 07/01/2053#BY4776                                                      | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294075 | PA      | $290391.24    | 0.04%             | 2053-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 02/01/2031#FS1234                                                      | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101499 | PA      | $99573.29     | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 05/01/2041#CB0471                                                    | CUSIP: 3140QKQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109599 | PA      | $98512.57     | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                      | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A    | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     528000 | PA      | $528000.00    | 0.07%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 05/50#FM3269                                                           | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34525 | PA      | $30438.44     | 0.00%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 03/01/2041#CA9362                                                    | CUSIP: 3140QHML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121230 | PA      | $109299.18    | 0.01%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#QD3433                                                      | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111945 | PA      | $90411.78     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 4.025 04/23/30                                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2610000 | NC      | $89261.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 02/01/2052#RA6799                                                    | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132657 | PA      | $121002.03    | 0.02%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2023-HB1                                     | OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A                                      | CUSIP: 67578KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      16275 | PA      | $16144.45     | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 02/01/2052#RA6913                                                      | CUSIP: 3133KNVE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290155 | PA      | $231893.23    | 0.03%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2051#RA6241                                                      | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1700449 | PA      | $1371228.08   | 0.17%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 04/01/2052#FS1647                                                      | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     602867 | PA      | $569473.24    | 0.07%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 10/01/2041#RB5132                                                    | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294809 | PA      | $262837.77    | 0.03%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3.5% 08/01/2034#CA4087                                                    | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63094 | PA      | $61868.08     | 0.01%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 08/01/2036#                                                          | CUSIP: 31418D3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47946 | PA      | $42978.36     | 0.01%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.5% 03/20/2054#787292                                                      | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1255516 | PA      | $1275125.98   | 0.16%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8                       | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 A3 3.3048% 06/15/2050                       | CUSIP: 12532CAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     694202 | PA      | $679931.81    | 0.09%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 04/01/2054#CB8330                                                    | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3731351 | PA      | $3766989.71   | 0.47%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                               | BX TR 2021-ACNT TSFR1M+136.448 11/15/2038 144A                                      | CUSIP: 05609QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98589 | PA      | $98527.71     | 0.01%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 06/01/2050#RA2677                                                      | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1345611 | PA      | $1089294.66   | 0.14%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 4.01 05/07/30                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2810000 | NC      | $95234.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 01/01/2052#SD7549                                                      | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115939 | PA      | $93890.92     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 1.5% 06/01/2051#CB0788                                                    | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156543 | PA      | $120229.32    | 0.02%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 07/20/2054#MA9773                                                      | CUSIP: 36179Y2E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     531252 | PA      | $452584.79    | 0.06%             | 2054-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                      | CUSIP: 3137H4HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     192210 | PA      | $168173.12    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 06/20/2045#MA2893                                                      | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     530003 | PA      | $508307.02    | 0.06%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 10/01/2052#SD1733                                                      | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     861613 | PA      | $860707.90    | 0.11%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 10/01/2040#SC0081                                                    | CUSIP: 3132D9CS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553183 | PA      | $497265.16    | 0.06%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4% 09/01/2055 #TBA                                                        | CUSIP: 01F040693<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -10400000 | PA      | $-9706531.12  | -1.21%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 11/01/2041#FM9585                                                    | CUSIP: 3140XDUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92116 | PA      | $82433.01     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 10/01/2055 #TBA                                                          | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4100000 | PA      | $3822487.81   | 0.48%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY885799 12/15/56 S                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      90000 | NC      | $-1207.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 2.5% 05/01/2035#SB8045                                                    | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     431940 | PA      | $408961.25    | 0.05%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 09/01/2055 #TBA                                                          | CUSIP: 21H030690<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -19200000 | PA      | $-17007632.64 | -2.13%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 07/01/2042#ZA1228                                                    | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     406447 | PA      | $383446.83    | 0.05%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#FS0002                                                      | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     264891 | PA      | $232215.64    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 4.4% 10/25/2030                                      | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $709128.70    | 0.09%             | 2030-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 09/01/2055 #TBA                                                          | CUSIP: 21H040699<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -8200000 | PA      | $-7646896.88  | -0.96%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT K141 A2 2.25% 02/25/2032                             | CUSIP: 3137H6ZM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4200000 | PA      | $3738156.24   | 0.47%             | 2032-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 07/01/2047#ZA4926                                                    | CUSIP: 31329NPK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123532 | PA      | $114754.18    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 01/01/2052#FA1800                                                      | CUSIP: 3140W2AA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1743007 | PA      | $1396830.86   | 0.17%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 2.5% 06/01/2031#J34501                                                    | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7932 | PA      | $7689.12      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                   | OCWEN LOAN INVESTMENT TRUST HB1 A VAR 06/25/2038 144A                               | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400050 | PA      | $388768.40    | 0.05%             | 2038-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 03/01/2047#FM1187                                                      | CUSIP: 3140X4J98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207561 | PA      | $198788.63    | 0.02%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2051#CB2166                                                      | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     606874 | PA      | $531823.68    | 0.07%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 06/01/2050#SD7518                                                      | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     358218 | PA      | $316493.09    | 0.04%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 08/01/2055#RJ4685                                                      | CUSIP: 3142GVF30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     995290 | PA      | $986080.28    | 0.12%             | 2055-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 06/01/2036#MA4359                                                    | CUSIP: 31418DZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46430 | PA      | $41648.82     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     200000 | NC      | $-2684.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047        | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     212432 | PA      | $187067.97    | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2                 | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A                 | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     147000 | PA      | $148618.72    | 0.02%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 04/01/2041#CB0116                                                      | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46941 | PA      | $41071.25     | 0.01%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                   | MSC 2021-L6 XA 1.35631% 06/15/2054                                                  | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     919657 | PA      | $36980.33     | 0.00%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 1% 01/25/2051                                        | CUSIP: 3137F85N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     389834 | PA      | $301041.53    | 0.04%             | 2051-01-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                | BANK 2017-BNKS 3.39% 06/15/2060                                                     | CUSIP: 06541WAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $590966.52    | 0.07%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                            | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                           | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      87105 | PA      | $85396.70     | 0.01%             | 2064-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 08/01/2049#MA3744                                                      | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1153910 | PA      | $1014454.78   | 0.13%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6% 09/01/2055 #TBA                                                        | CUSIP: 01F060691<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   14600000 | PA      | $14917094.48  | 1.87%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                   | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     947150 | PA      | $948904.73    | 0.12%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 07/01/46#BC1443                                                        | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35660 | PA      | $34119.61     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY873248 04/17/65 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      60000 | NC      | $9594.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 02/01/2054#RJ0836                                                    | CUSIP: 3142GQ4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116466 | PA      | $117577.93    | 0.01%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 03/01/2036#FM6804                                                    | CUSIP: 3140XAR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16189 | PA      | $14521.64     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 01/01/2052#CB2679                                                    | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74038 | PA      | $67532.83     | 0.01%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                        | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                              | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      67000 | PA      | $67718.70     | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                                    | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $394656.32    | 0.05%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                       | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10900000 | PA      | $10573851.51  | 1.32%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 12/01/2051#RA6434                                                    | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     926005 | PA      | $777680.42    | 0.10%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 12/20/2054#787741                                                      | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1254856 | PA      | $1277200.27   | 0.16%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                               | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2036216 | PA      | $2031699.23   | 0.25%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 11/01/2048#FS5059                                                    | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120480 | PA      | $111692.73    | 0.01%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP REC 4.146 07/30/30                                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    1020000 | NC      | $37003.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 1/41 #004922                                                          | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38561 | PA      | $37375.43     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                    | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19158 | PA      | $18738.18     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2052                                      | CUSIP: 3136BLLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     130831 | PA      | $120311.73    | 0.02%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 11/01/2052#SD1862                                                      | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     414997 | PA      | $415468.64    | 0.05%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 03/01/2047#FS0976                                                    | CUSIP: 3140XGCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42270 | PA      | $35882.10     | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4.5% 10/01/2055 #TBA                                                      | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1500000 | PA      | $-1441699.20  | -0.18%            | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                 | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                    | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246000 | PA      | $265258.33    | 0.03%             | 2056-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 11/01/2051#CB2189                                                      | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35522 | PA      | $33756.90     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                              | WELLS FARGO COML MTG TR 2024-GRP TSFR1M+229.06 10/15/2041 144A                      | CUSIP: 95003YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1103916.66   | 0.14%             | 2041-10-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 08/01/2055#RJ4672                                                    | CUSIP: 3142GVFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     526563 | PA      | $507204.81    | 0.06%             | 2055-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                  | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                                  | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      91538 | PA      | $91594.79     | 0.01%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 1.5% 02/01/2051#MA4254                                                    | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     836593 | PA      | $634944.76    | 0.08%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 10/01/2052#BW9916                                                      | CUSIP: 3140N3AS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72903 | PA      | $72265.81     | 0.01%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 09/17/29                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -36236000 | NC      | $-434850.10   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 12/01/2048#G61821                                                    | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32036 | PA      | $31373.78     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B2 MTG TR                                      | BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051                                         | CUSIP: 08161CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152614 | PA      | $151430.62    | 0.02%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 06/01/2054#SD5521                                                    | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260911 | PA      | $275227.37    | 0.03%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 04/20/2048#BG3507                                                        | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10521 | PA      | $9930.50      | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2051#QD1841                                                      | CUSIP: 3133AYBJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1638923 | PA      | $1309834.15   | 0.16%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 10/01/2031#AS8226                                                    | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142456 | PA      | $137583.97    | 0.02%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 04/01/2051#FM6540                                                    | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1591798 | PA      | $1354238.75   | 0.17%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4.5% 09/01/2055 #TBA                                                      | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   16175000 | PA      | $15558328.13  | 1.95%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 09/01/2053#QH0277                                                    | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167297 | PA      | $176110.91    | 0.02%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GSA1                                      | GS MTG SECS TR 2019-GSA1 A4 3.0479% 11/10/2052                                      | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $379237.72    | 0.05%             | 2052-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 12/01/2050#RA4142                                                    | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     184139 | PA      | $156140.65    | 0.02%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                       | MNGT SWAP CY873248 04/17/65 B                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |      60000 | NC      | $9594.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 02/01/2035#FM2518                                                    | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111528 | PA      | $105769.27    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 03/01/2055#CC0116                                                      | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2733046 | PA      | $2835959.69   | 0.35%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                     | CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A                                     | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     182809 | PA      | $185067.14    | 0.02%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                        | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3367 | PA      | $3080.75      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 12/01/2034#FM0046                                                      | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73234 | PA      | $70701.54     | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 05/01/2051#RA5288                                                      | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     191056 | PA      | $153289.68    | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 05/01/2052#RA7311                                                    | CUSIP: 3133KPDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1369946 | PA      | $1248730.71   | 0.16%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-2                                                  | CARMX 2025-2 4.59% 07/17/2028                                                       | CUSIP: 14320AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1010000 | PA      | $1013796.79   | 0.13%             | 2028-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-B                         | WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028                              | CUSIP: 98164QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     161914 | PA      | $162224.04    | 0.02%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 11/46#MA4126                                                             | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     784245 | PA      | $704412.30    | 0.09%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                      | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $302553.63    | 0.04%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                      | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                      | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113917 | PA      | $113141.75    | 0.01%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 03/01/2050#FM6195                                                      | CUSIP: 3140X93D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     519180 | PA      | $459516.98    | 0.06%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                   | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     726345 | PA      | $729274.71    | 0.09%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 01/01/2052#FS0208                                                    | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84175 | PA      | $71244.64     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5517 HF SOFR30A+135 03/25/2055                       | CUSIP: 3137HKGX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1570436 | PA      | $1572881.26   | 0.20%             | 2055-03-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 06/01/2052#SD1082                                                      | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311376 | PA      | $272674.15    | 0.03%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 11/51#MA4468                                                         | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65091 | PA      | $59291.03     | 0.01%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 06/20/2048#MA5266                                                        | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211890 | PA      | $213676.04    | 0.03%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                    | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A    | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     845000 | PA      | $842821.93    | 0.11%             | 2031-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 07/01/2054#CB8867                                                    | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176717 | PA      | $186081.83    | 0.02%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 04/20/2048#BG7744                                                        | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11073 | PA      | $10450.86     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP PAY 4.146 07/30/30                                                        | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    1020000 | NC      | $35277.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 11/01/2052#CB5128                                                      | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     668156 | PA      | $668915.59    | 0.08%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3.25% 07/25/2046                                     | CUSIP: 3136BMGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     560845 | PA      | $536587.28    | 0.07%             | 2046-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-6                             | VERUS SECURITIZATION TRUST 2025-6 A1 STEP 07/25/2070 144A                           | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     791869 | PA      | $797997.60    | 0.10%             | 2070-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 01/01/2052#CB2550                                                    | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152744 | PA      | $129280.01    | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3% 09/01/2055 #TBA                                                        | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1300000 | PA      | $1126328.06   | 0.14%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 06/01/2051#FM7507                                                    | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1708925 | PA      | $1448544.85   | 0.18%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6% 07/01/2053#RA9383                                                      | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     360251 | PA      | $372550.26    | 0.05%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIE MAE 4.5% 07/25/2048                                                          | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     619349 | PA      | $616238.78    | 0.08%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 08/01/2047#ZA4942                                                    | CUSIP: 31329NP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190177 | PA      | $176662.66    | 0.02%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.745% 01/25/2026                                    | CUSIP: 3137BNGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1008320 | PA      | $1000798.69   | 0.13%             | 2026-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 08/01/2047#ZM3810                                                    | CUSIP: 3131XXGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14998 | PA      | $13931.92     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 12/01/2040#MA4204                                                      | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14821 | PA      | $12882.71     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 12/01/2051#CB2460                                                      | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21014 | PA      | $19961.85     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 05/47#BH1302                                                         | CUSIP: 3140GPNU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28612 | PA      | $26579.29     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 12/20/2043#MA1521                                                      | CUSIP: 36179NVN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2040 | PA      | $1899.11      | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 09/01/2055 #TBA                                                          | CUSIP: 21H020691<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -20400000 | PA      | $-16699864.32 | -2.09%            | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2051#FM6560                                                      | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17241 | PA      | $13838.71     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 05/01/2045#G61807                                                      | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10312 | PA      | $10036.98     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#QD3432                                                      | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108206 | PA      | $86850.60     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 03/01/2054#CB8113                                                    | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     658964 | PA      | $684567.38    | 0.09%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 10/01/2052#CB4893                                                      | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1048596 | PA      | $1047494.36   | 0.13%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 04/20/2053#MA8799                                                      | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1223857 | PA      | $1186772.78   | 0.15%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 11/01/2047#ZM4820                                                      | CUSIP: 3131XYK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70498 | PA      | $62704.67     | 0.01%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 03/01/2051#QC0226                                                    | CUSIP: 3133AJHB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     948546 | PA      | $721395.19    | 0.09%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 05/01/2041#SC0167                                                    | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209408 | PA      | $188177.60    | 0.02%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 06/01/2053#SD3196                                                      | CUSIP: 3132DQRR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226794 | PA      | $229036.87    | 0.03%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                     | CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050                                         | CUSIP: 12508GAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41434 | PA      | $41009.25     | 0.01%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 12/01/2032#SB0030                                                      | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28314 | PA      | $27664.87     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP PAY 4.03 04/25/30                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     400000 | NC      | $14056.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 4.50% 10/39 #G08368                                                            | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21848 | PA      | $21862.62     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 10/01/2031#AS8010                                                    | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8984 | PA      | $8683.56      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 04/01/2033#G18684                                                      | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27134 | PA      | $26433.28     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 08/35#MA4095                                                           | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     380573 | PA      | $352414.89    | 0.04%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5210 AB 3% 01/25/2042                                | CUSIP: 3137H6W84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     354962 | PA      | $333772.87    | 0.04%             | 2042-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 03/01/2055#CC0136                                                    | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1151581 | PA      | $1213417.83   | 0.15%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY873248 04/17/65 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      10000 | NC      | $1599.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP REC 4.01 12/20/29                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    2000000 | NC      | $68099.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                         | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                         | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1092304 | PA      | $965852.62    | 0.12%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#FS3863                                                      | CUSIP: 3140XKJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665817 | PA      | $538990.03    | 0.07%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY873248 04/17/65 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      20000 | NC      | $3198.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     500000 | NC      | $-6711.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 12/20/2054#MB0092                                                      | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     391201 | PA      | $394285.99    | 0.05%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                        | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                             | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $598452.60    | 0.07%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 3.95 04/29/30                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2150000 | NC      | $78829.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                       | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1839034 | PA      | $1809901.42   | 0.23%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                  | WESTF 2025-A 5.582% 06/15/2050 144A                                                 | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     437585 | PA      | $444215.12    | 0.06%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2051#RA6302                                                      | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     922572 | PA      | $741071.48    | 0.09%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                              | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1041722 | PA      | $1097659.66   | 0.14%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 07/51#BQ1010                                                           | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155880 | PA      | $125749.35    | 0.02%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 08/01/2053#MA5106                                                      | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65694 | PA      | $65030.14     | 0.01%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                  | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                                  | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     232000 | PA      | $232487.80    | 0.03%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 02/01/2041#                                                            | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15803 | PA      | $13716.27     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                              | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1350305 | PA      | $1184528.37   | 0.15%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 01/01/2042#RB5142                                                    | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603091 | PA      | $536639.71    | 0.07%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2046                                      | CUSIP: 3136ARGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3021450 | PA      | $2623230.61   | 0.33%             | 2046-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 12/01/2032#BM5109                                                      | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296378 | PA      | $289581.24    | 0.04%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 08/01/2041#FM8393                                                      | CUSIP: 3140XCKF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507142 | PA      | $437731.58    | 0.05%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 11/01/2054#SD6971                                                    | CUSIP: 3132DUW86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     959614 | PA      | $978975.29    | 0.12%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 04/01/2036#MA4302                                                    | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44276 | PA      | $39715.97     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 02/01/2052#CB2765                                                      | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     659244 | PA      | $528106.60    | 0.07%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 12/20/2053#MA9356                                                      | CUSIP: 36179YMD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     569392 | PA      | $485966.61    | 0.06%             | 2053-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 02/01/2052#FS0898                                                      | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1371851 | PA      | $1201341.30   | 0.15%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 06/01/2048#ZM6780                                                      | CUSIP: 3131Y1Q94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     388247 | PA      | $368440.24    | 0.05%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 09/17/27                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -38773000 | NC      | $-175264.36   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 03/01/2050#FM3663                                                      | CUSIP: 3140X7B99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1638210 | PA      | $1550026.86   | 0.19%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2051#CB0404                                                    | CUSIP: 3140QKNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3939040 | PA      | $3338869.59   | 0.42%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 07/01/2048#Q59935                                                      | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18096 | PA      | $17330.45     | 0.00%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 11/01/2050#RA3913                                                    | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     205067 | PA      | $173886.51    | 0.02%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 12/01/2030#ZS8591                                                      | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30537 | PA      | $29894.35     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 10/01/2052#FA2063                                                      | CUSIP: 3140W2JH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3251143 | PA      | $2603406.76   | 0.33%             | 2052-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-2                        | CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A                        | CUSIP: 17331XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     304000 | PA      | $306436.04    | 0.04%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 09/20/2051#785619                                                      | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     825377 | PA      | $697095.27    | 0.09%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 06/01/2053#CB6642                                                    | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132383 | PA      | $135053.81    | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 12/01/2041#BU7091                                                      | CUSIP: 3140M82Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     409270 | PA      | $352194.87    | 0.04%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 10/01/2048#G67716                                                    | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261051 | PA      | $256960.83    | 0.03%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4% 10/01/2055 #TBA                                                        | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    5200000 | PA      | $4851437.24   | 0.61%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 11/01/2034#FS1799                                                      | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58892 | PA      | $57652.96     | 0.01%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 03/01/2050#MA3964                                                    | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1279409 | PA      | $1076875.63   | 0.13%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 12/01/2032#FM1681                                                    | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2131789 | PA      | $2058801.46   | 0.26%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 06/01/2050#CA6106                                                      | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1080970 | PA      | $1020755.70   | 0.13%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 08/01/2050#SD7523                                                    | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5203406 | PA      | $4412216.66   | 0.55%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US ULTRA BOND CBT FUT DEC25 WNZ5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -14 | NC      | $6096.72      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 01/01/2052#                                                          | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296556 | PA      | $269852.51    | 0.03%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 01/01/2052#CB2610                                                      | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64569 | PA      | $51724.56     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 07/01/2036#MA4382                                                    | CUSIP: 31418D2Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33319 | PA      | $29866.39     | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 11/01/2047#G08793                                                      | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     994298 | PA      | $945403.17    | 0.12%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                        | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                        | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $503259.25    | 0.06%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 02/01/2052#CB2838                                                      | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53746 | PA      | $43457.88     | 0.01%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                  | AJAXM 2021-C 5.115% 01/25/2061 144A                                                 | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      99422 | PA      | $99506.72     | 0.01%             | 2061-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 08/01/2047#BH6709                                                    | CUSIP: 3140GVN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42402 | PA      | $39389.11     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                    | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581766 | PA      | $522762.51    | 0.07%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 10/01/2052#CB4909                                                    | CUSIP: 3140QQN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685250 | PA      | $696291.90    | 0.09%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-1                                 | CHASE AUTO OWNER TRUST 2024-1 5.13% 05/25/2029 144A                                 | CUSIP: 16144BAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     239000 | PA      | $241182.57    | 0.03%             | 2029-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 11/01/2041#MA4475                                                    | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400659 | PA      | $357187.36    | 0.04%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 04/01/2052#FS8772                                                    | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723734 | PA      | $608260.86    | 0.08%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 09/01/2042#ZL3774                                                    | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     515493 | PA      | $485739.95    | 0.06%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 07/01/2041#CB1074                                                    | CUSIP: 3140QLFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111418 | PA      | $99968.89     | 0.01%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                       | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                            | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143202 | PA      | $143470.27    | 0.02%             | 2040-12-09      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 03/01/2052#CB3114                                                      | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1192761 | PA      | $1051592.20   | 0.13%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 09/01/2054#SD6620                                                    | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     310040 | PA      | $327148.53    | 0.04%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                     | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                     | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |      78909 | PA      | $79957.32     | 0.01%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6.5% 02/01/2055#RJ3572                                                    | CUSIP: 3142GT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     636555 | PA      | $672775.25    | 0.08%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                               | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     282544 | PA      | $236571.38    | 0.03%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 07/01/2047#FS1789                                                    | CUSIP: 3140XG7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318071 | PA      | $299851.54    | 0.04%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048                                      | CUSIP: 3136BKUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     457620 | PA      | $407458.94    | 0.05%             | 2048-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 10/01/2051#QC9148                                                    | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     493752 | PA      | $414972.39    | 0.05%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 01/01/2052#CB2622                                                    | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123619 | PA      | $104629.42    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 01/01/2054#SD4623                                                    | CUSIP: 3132DSD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     870247 | PA      | $911673.17    | 0.11%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 1.5% 03/01/2041#RB5104                                                    | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     118428 | PA      | $99026.03     | 0.01%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 10/45#MA3174                                                           | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1989 | PA      | $1904.79      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                                | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                           | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     491000 | PA      | $490999.80    | 0.06%             | 2030-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 07/01/2054#FS8456                                                    | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     652973 | PA      | $662882.57    | 0.08%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5% 04/48#784805                                                             | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166936 | PA      | $169386.28    | 0.02%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 01/01/2055#CB9828                                                    | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280261 | PA      | $295310.22    | 0.04%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 05/01/2048#BK5486                                                    | CUSIP: 3140HKCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39651 | PA      | $36734.06     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2                | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                     | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      60000 | PA      | $60322.73     | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 11/01/2041#FS0106                                                      | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420717 | PA      | $362774.95    | 0.05%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2020-NNN                    | J P MORGAN CHASE COML MTG SECS TR 2020-NNN 2.8123% 01/16/2037 144A                  | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     670000 | PA      | $599656.70    | 0.08%             | 2037-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 01/01/2035#FM2286                                                      | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121084 | PA      | $116897.53    | 0.01%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 04/01/2054#SD5961                                                      | CUSIP: 3132DTTS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     258753 | PA      | $259047.71    | 0.03%             | 2054-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 07/01/2041#FM8066                                                      | CUSIP: 3140XB6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261288 | PA      | $225386.06    | 0.03%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 09/01/2054#CB9149                                                      | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     845244 | PA      | $878591.01    | 0.11%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 02/01/2033#ZS8686                                                      | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15379 | PA      | $14969.24     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 08/01/2049#                                                            | CUSIP: 3132DV3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49103 | PA      | $43168.62     | 0.01%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                              | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                              | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     418000 | PA      | $419819.26    | 0.05%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 10/20/2050#MA6930                                                        | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4760301 | PA      | $3898563.47   | 0.49%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                            | BX Trust 2025-ROIC VAR 03/15/2030 144A                                              | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2034067 | PA      | $2031525.06   | 0.25%             | 2030-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 05/01/2051#SD7540                                                    | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1455425 | PA      | $1233669.68   | 0.15%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                             | BENCHMARK 2020-B17 MORTGAGE TRUST CSTR 03/15/2053                                   | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1833183 | PA      | $78027.98     | 0.01%             | 2053-03-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6           | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 3.2829% 07/15/2050              | CUSIP: 48128KBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63365 | PA      | $62777.25     | 0.01%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 11/01/2052#FS3295                                                      | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410218 | PA      | $409146.12    | 0.05%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP REC 4.03 04/25/30                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |     400000 | NC      | $13677.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027                                     | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $856610.82    | 0.11%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                        | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                             | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     470618 | PA      | $471500.79    | 0.06%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 10/01/2051#CB1872                                                      | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241890 | PA      | $212051.43    | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2% 09/01/2055 #TBA                                                        | CUSIP: 01F020695<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -110900000 | PA      | $-88052869.96 | -11.02%           | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR AUTO OWNER TR 2020-REV2                               | FORD CR AUTO OWNER TR 2020-REV2 A 1.06% 04/15/2033 144A                             | CUSIP: 34532JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2750000 | PA      | $2738753.60   | 0.34%             | 2033-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 01/01/2052#RA6623                                                    | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603981 | PA      | $509690.82    | 0.06%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                               | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                     | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4202362 | PA      | $126406.20    | 0.02%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                        | BOFA AUTO TRUST 2025-1 4.52% 11/22/2027 144A                                        | CUSIP: 05594BAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     660000 | PA      | $660944.99    | 0.08%             | 2027-11-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                      | CUSIP: 3137H2UY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     240064 | PA      | $203998.35    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 02/01/2035#FM6733                                                    | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79173 | PA      | $76492.11     | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 05/01/2035#MA4013                                                    | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3606667 | PA      | $3414793.11   | 0.43%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 4.05% 09/25/2028                                     | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $401139.60    | 0.05%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                            | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                       | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $29622.88     | 0.00%             | 2042-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 03/01/2041#SC0136                                                      | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111109 | PA      | $96885.25     | 0.01%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 02/01/2049#FM3160                                                    | CUSIP: 3140X6QN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95919 | PA      | $93816.84     | 0.01%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 3% 03/01/2040#FM6134                                                      | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59817 | PA      | $56681.27     | 0.01%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6% 02/01/2055#SL0430                                                      | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     489503 | PA      | $508509.49    | 0.06%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 02/01/2052#QD7533                                                      | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13744 | PA      | $13050.99     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                        | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.78% 09/15/2027                             | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      33000 | PA      | $33105.44     | 0.00%             | 2027-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY451600 12/16/72 S                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2040000 | NC      | $7264.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 07/01/2050#RA2976                                                    | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455523 | PA      | $384978.20    | 0.05%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 09/01/2050#QB3577                                                      | CUSIP: 3133A96N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177316 | PA      | $142265.76    | 0.02%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                   | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                   | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     438869 | PA      | $441861.13    | 0.06%             | 2036-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 12/01/2051#CB2348                                                      | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347213 | PA      | $280640.57    | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 3.0% 07/01/2035#MA2320                                                    | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19420 | PA      | $18608.64     | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 05/01/2048#BJ2757                                                    | CUSIP: 3140H4B37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69712 | PA      | $64584.01     | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                    | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     610820 | PA      | $548869.77    | 0.07%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 12/20/2051#MA7766                                                        | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1749956 | PA      | $1433168.71   | 0.18%             | 2051-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 10/01/2055 #TBA                                                        | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18700000 | PA      | $18821155.43  | 2.35%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                      | MHC COML MTG TR 2021-MHC A TSFR1M+91.544 096 04/15/2026 144A                        | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     118581 | PA      | $118580.70    | 0.01%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP REC 3.9025 04/14/26                                                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    3680000 | NC      | $114408.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 01/01/2053#SD8288                                                      | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92347 | PA      | $91586.56     | 0.01%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C3 MTG TR                                            | BMO 2022-C3 MTG TR 22-C3 ASB VAR 09/15/2054                                         | CUSIP: 05602QAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $518446.50    | 0.06%             | 2054-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048                                        | CUSIP: 3136BL6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     228248 | PA      | $210648.79    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP PAY 3.9025 04/14/26                                                       | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    3680000 | NC      | $57203.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR16                                              | BANK5 2025-5YR16 VAR 08/15/2063                                                     | CUSIP: 065934BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $76877.60     | 0.01%             | 2063-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 08/01/2051#CB1280                                                    | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1284918 | PA      | $1078300.21   | 0.13%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                       | MNGT SWAP CZ030007 12/17/57 B                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $11792.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 12/01/2035#SB8078                                                    | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     610376 | PA      | $548470.67    | 0.07%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                              | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     947822 | PA      | $999013.51    | 0.12%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 09/01/2041#AI9851                                                    | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     304219 | PA      | $303553.29    | 0.04%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 02/01/2051#SD8127                                                    | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1042587 | PA      | $791286.57    | 0.10%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 10/01/2051#CB1801                                                      | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1875781 | PA      | $1516131.37   | 0.19%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6% 07/01/2053#RA9382                                                      | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409606 | PA      | $423846.31    | 0.05%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                               | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     311846 | PA      | $287554.98    | 0.04%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 02/01/2048#ZS4754                                                      | CUSIP: 3132A5H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     558842 | PA      | $496193.69    | 0.06%             | 2048-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#RA6506                                                      | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51892 | PA      | $41602.14     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 04/01/2052#RA7142                                                      | CUSIP: 3133KN5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     642249 | PA      | $518707.11    | 0.06%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 10/01/2050#CA7323                                                      | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     621594 | PA      | $504744.82    | 0.06%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                  | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                         | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     638388 | PA      | $639984.08    | 0.08%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                              | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                               | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     690587 | PA      | $652778.49    | 0.08%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 03/01/2052#RA6926                                                      | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95460 | PA      | $83595.00     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 3% 04/01/2038#FM7607                                                      | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27649 | PA      | $26756.08     | 0.00%             | 2038-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                           | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                           | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     548106 | PA      | $549608.81    | 0.07%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                 | DLLAA 2023-1A 5.93% 07/20/2026 144A                                                 | CUSIP: 23292HAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         27 | PA      | $26.76        | 0.00%             | 2026-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.50% 12/40 #004881                                                         | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1649 | PA      | $1552.39      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CZ030008 12/17/57 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $6646.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28   | MSBAM 2016-C28 3.272% 01/15/49                                                      | CUSIP: 61766LBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63048 | PA      | $62761.63     | 0.01%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 09/01/2047#CA0257                                                    | CUSIP: 3140Q7JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145784 | PA      | $135241.93    | 0.02%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 02/20/2051#MA7192                                                        | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     456133 | PA      | $373632.64    | 0.05%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                              | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     299559 | PA      | $317353.21    | 0.04%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 09/01/2048#ZM8154                                                      | CUSIP: 3131Y3BX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43766 | PA      | $41560.86     | 0.01%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 04/20/2031#MA3572                                                      | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62085 | PA      | $60714.85     | 0.01%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2055#CC0730                                                      | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2295812 | PA      | $2356613.38   | 0.29%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                             | OBX 2025-NQM14 STEP 08/25/2064 144A                                                 | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     395516 | PA      | $396323.79    | 0.05%             | 2065-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY873248 04/17/65 B                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     170000 | NC      | $27184.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP REC 3.804 08/25/26                                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    1970000 | NC      | $59212.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 08/01/2041#RB5122                                                    | CUSIP: 3133KYVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     445122 | PA      | $397066.17    | 0.05%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                               | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     232521 | PA      | $232304.11    | 0.03%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 02/01/2028#FS3865                                                      | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70258 | PA      | $68732.13     | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                        | CUSIP: 3137H6UX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     455966 | PA      | $421934.89    | 0.05%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 11/01/2051#BU5834                                                      | CUSIP: 3140M7PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135777 | PA      | $108853.17    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 12/01/2031#AS8511                                                    | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260144 | PA      | $251060.52    | 0.03%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 3.5% 06/01/2038#MA3388                                                    | CUSIP: 31418CXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15512 | PA      | $14904.21     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.25% 04/25/2052                                     | CUSIP: 3137H6RT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     857436 | PA      | $813103.43    | 0.10%             | 2052-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                       | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A                            | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2947138 | PA      | $2950818.65   | 0.37%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 12/01/2051#CB2320                                                    | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556751 | PA      | $469833.76    | 0.06%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 06/01/2041#BR1090                                                    | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96410 | PA      | $86442.97     | 0.01%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2023-BNK45                                               | BANK 2023-BNK45 5.203% 02/15/2056                                                   | CUSIP: 06541BBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $409300.16    | 0.05%             | 2056-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 10/01/2047#CA0607                                                    | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2662090 | PA      | $2456284.49   | 0.31%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 09/17/28                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -50421000 | NC      | $-449004.55   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 08/01/2050#BQ0233                                                      | CUSIP: 3140KKHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107125 | PA      | $86156.71     | 0.01%             | 2050-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 10/01/2047#MA3148                                                    | CUSIP: 31418CQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37210 | PA      | $34252.32     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2021-96 AH 2.5% 03/25/2049                           | CUSIP: 3136BKXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1046352 | PA      | $920589.47    | 0.12%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 10/01/2052#MA4785                                                      | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     273413 | PA      | $271331.52    | 0.03%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 11/32#ZK9037                                                           | CUSIP: 3131XDBE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369160 | PA      | $359637.39    | 0.04%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 4.025 04/23/30                                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2610000 | NC      | $92008.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 02/01/2041#RB5100                                                      | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188155 | PA      | $163199.87    | 0.02%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                       | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2398636 | PA      | $2396272.82   | 0.30%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6% 10/01/2055 #TBA                                                        | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    4550000 | PA      | $4644910.27   | 0.58%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                       | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1742043 | PA      | $1746561.54   | 0.22%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                          | CENT TRUST 2025-CITY VAR 07/10/2040 144A                                            | CUSIP: 12517TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16222000 | PA      | $120329.93    | 0.02%             | 2040-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                             | BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053                                   | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1204323 | PA      | $64286.63     | 0.01%             | 2053-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY873248 04/17/65 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $15990.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 02/01/2052#FS2040                                                      | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     862396 | PA      | $688219.80    | 0.09%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6% 06/01/2053#RA9278                                                      | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     455905 | PA      | $470900.09    | 0.06%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                   | GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A                                       | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1165000 | PA      | $1164274.90   | 0.15%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049                                        | CUSIP: 3136BMER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     268487 | PA      | $249849.10    | 0.03%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 07/01/2050#CA6416                                                      | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     996748 | PA      | $878466.54    | 0.11%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 02/01/2052#RA6773                                                      | CUSIP: 3133KNQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     518527 | PA      | $418783.89    | 0.05%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 08/01/2041#FM8334                                                      | CUSIP: 3140XCHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402857 | PA      | $347947.16    | 0.04%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                     | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1259724 | PA      | $1125508.45   | 0.14%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COMM 2016-COR1 MTG TR                                         | COMM 2016-COR1 ASB 2.972% 10/49                                                     | CUSIP: 12594MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120773 | PA      | $119987.63    | 0.02%             | 2049-10-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2054#CB8850                                                      | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1188164 | PA      | $1231698.36   | 0.15%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 12/20/2054#MB0091                                                        | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     683212 | PA      | $676105.64    | 0.08%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 04/01/2051#MA4305                                                      | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1630693 | PA      | $1305804.31   | 0.16%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 07/01/2035#FM3159                                                      | CUSIP: 3140X6QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249856 | PA      | $231369.59    | 0.03%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                          | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A               | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $899377.83    | 0.11%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 3.5% 05/01/2049#Q63646                                                    | CUSIP: 3132VQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     167625 | PA      | $154131.81    | 0.02%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 09/01/2054#SD6617                                                    | CUSIP: 3132DUK63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4598226 | PA      | $4854836.89   | 0.61%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 01/01/2051#FM7031                                                      | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331523 | PA      | $313781.12    | 0.04%             | 2051-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 02/01/2052#CB2886                                                      | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597348 | PA      | $523102.35    | 0.07%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 05/43 #MA1012                                                          | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     219600 | PA      | $204263.66    | 0.03%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#MA4494                                                      | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4246818 | PA      | $3709682.69   | 0.46%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 09/01/2055 #TBA                                                        | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37900000 | PA      | $38179599.67  | 4.78%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                       | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2161578 | PA      | $2127284.61   | 0.27%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 2YR NOTE (CBT) FUT DEC25 TUZ5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        406 | NC      | $147778.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 04/01/2037#BM1257                                                    | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440225 | PA      | $406590.50    | 0.05%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                           | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                         | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     991388 | PA      | $927458.67    | 0.12%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                            | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                           | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     220099 | PA      | $216398.74    | 0.03%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 12/01/2047#ZM5206                                                    | CUSIP: 3131XYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11485 | PA      | $10654.69     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                            | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                     | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     437000 | PA      | $437068.17    | 0.05%             | 2035-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 12/01/2051#RA6388                                                    | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155856 | PA      | $132060.50    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                       | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                      | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349520 | PA      | $341882.06    | 0.04%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 10/01/2049#SD8016                                                      | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336295 | PA      | $295546.97    | 0.04%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 03/20/44#MA1760                                                        | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2001 | PA      | $1861.11      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                    | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     165045 | PA      | $155686.65    | 0.02%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 11/01/2034#BO4944                                                    | CUSIP: 3140K0P69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9042 | PA      | $8592.39      | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#FA2176                                                      | CUSIP: 3140W2M24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1156144 | PA      | $936640.48    | 0.12%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 10/01/2053#CB7297                                                    | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1441568 | PA      | $1470202.34   | 0.18%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                         | BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A              | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56047 | PA      | $55696.26     | 0.01%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 03/20/2052#                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2168395 | PA      | $1776537.31   | 0.22%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 09/01/2036#MA4417                                                    | CUSIP: 31418D4B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49629 | PA      | $44487.27     | 0.01%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 06/01/2054#CB8689                                                    | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1088794 | PA      | $1098512.49   | 0.14%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 12/20/2051#785791                                                      | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     467883 | PA      | $395163.75    | 0.05%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 07/01/2051#FS4654                                                      | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299263 | PA      | $240294.76    | 0.03%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 02/01/2051#RA4575                                                    | CUSIP: 3133KLCL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     643174 | PA      | $539951.22    | 0.07%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                             | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                               | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189578 | PA      | $189518.93    | 0.02%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CZ030008 12/17/57 B                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $13293.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 11/20/2050#MA6994                                                        | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2159199 | PA      | $1768665.55   | 0.22%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 09/01/2047#ZM4241                                                    | CUSIP: 3131XXWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5983 | PA      | $5550.47      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 09/01/2053#CB7134                                                    | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     567701 | PA      | $595124.38    | 0.07%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 12/01/2051#CB2346                                                      | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373129 | PA      | $302054.43    | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 10/01/2051#FS6478                                                    | CUSIP: 3140XNFU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118828 | PA      | $99757.67     | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                       | MNGT SWAP CY873248 04/17/65 B                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     140000 | NC      | $22387.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 07/01/2052#SD3019                                                      | CUSIP: 3132DQK88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32486 | PA      | $28184.51     | 0.00%             | 2052-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 10/01/2051#RA6022                                                    | CUSIP: 3133KMVP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1129463 | PA      | $953842.92    | 0.12%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                     | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                 | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229000 | PA      | $222736.99    | 0.03%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                        | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     105062 | PA      | $93754.08     | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 12/01/2032#BM5345                                                      | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41622 | PA      | $40662.25     | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 10/01/2052#FS3047                                                      | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828421 | PA      | $826774.09    | 0.10%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 10/01/2051#MA4438                                                    | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1893815 | PA      | $1582183.46   | 0.20%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 12/01/2052#SD8275                                                    | CUSIP: 3132DWFQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1058976 | PA      | $1023187.85   | 0.13%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 03/20/2052#                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9055307 | PA      | $8025277.07   | 1.00%             | 2052-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 11/01/2041#BT9396                                                    | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93853 | PA      | $83890.36     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 09/01/2054#CB9216                                                      | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2169216 | PA      | $2220902.99   | 0.28%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                               | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2412193 | PA      | $2414904.08   | 0.30%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF 2% 05/25/2045                                            | CUSIP: 3136BBQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     446508 | PA      | $422992.46    | 0.05%             | 2045-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#FS9872                                                      | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197552 | PA      | $159921.44    | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A          | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027               | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     786189 | PA      | $786448.16    | 0.10%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 03/01/2054#CB8112                                                      | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563227 | PA      | $577175.61    | 0.07%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 04/01/2051#QC0798                                                    | CUSIP: 3133AJ3F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5141239 | PA      | $3902017.89   | 0.49%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.5% 04/20/2055#MB0306                                                      | CUSIP: 3618N5KU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4670180 | PA      | $4496926.35   | 0.56%             | 2055-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                 | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.67% 08/15/2029                      | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     700000 | PA      | $704540.27    | 0.09%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 07/01/2041#CB1071                                                      | CUSIP: 3140QLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400255 | PA      | $345926.44    | 0.04%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 2.5% 08/25/2048              | CUSIP: 3137H3S94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     189608 | PA      | $168344.72    | 0.02%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 10/01/2046#BC4754                                                      | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40784 | PA      | $39009.12     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 11/01/2050#CA7616                                                      | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364134 | PA      | $293179.20    | 0.04%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                      | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                            | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2506964 | PA      | $2514009.66   | 0.31%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 01/01/2035#CA5039                                                      | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15008 | PA      | $14516.94     | 0.00%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                     | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      73141 | PA      | $73357.43     | 0.01%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6% 04/01/2054#SD7569                                                      | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2656116 | PA      | $2754265.31   | 0.34%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 10/01/2051#CB1799                                                      | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1396519 | PA      | $1130505.19   | 0.14%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                           | AFFIRM MASTER TRUST 4.67% 07/15/2033 144A                                           | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1100000 | PA      | $1105952.21   | 0.14%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 1.5% 02/01/2041#MA4266                                                    | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115686 | PA      | $96736.14     | 0.01%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2051#MA4326                                                    | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755257 | PA      | $631686.26    | 0.08%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                               | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     820451 | PA      | $828805.07    | 0.10%             | 2053-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                     | UST NOTES 3.75% 04/15/2028                                                          | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      40000 | PA      | $40153.12     | 0.01%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 01/01/2037#FS2747                                                    | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     999846 | PA      | $896252.58    | 0.11%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                        | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                        | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     145000 | PA      | $145600.52    | 0.02%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 03/01/2052#CB3109                                                    | CUSIP: 3140QNN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     683777 | PA      | $577029.31    | 0.07%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 02/01/2052#CB2856                                                    | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88254 | PA      | $74696.74     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 06/01/2053#CB6539                                                      | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619858 | PA      | $641213.58    | 0.08%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 02/01/2053#CB5600                                                    | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285784 | PA      | $290120.65    | 0.04%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3.5% 10/01/2055 #TBA                                                      | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1950000 | PA      | $1761170.00   | 0.22%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                               | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1141386 | PA      | $1151152.34   | 0.14%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                              | GMF FLOORPLAN OWNER REVOLVING TR 5.34% 06/15/2028 144A                              | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1126000 | PA      | $1135585.64   | 0.14%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 02/20/2052#MA7881                                                      | CUSIP: 36179WXJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2828029 | PA      | $2410142.02   | 0.30%             | 2052-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 03/01/2036#BR4700                                                    | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42664 | PA      | $38269.85     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 07/01/2047#G61047                                                    | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32633 | PA      | $32193.05     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                   | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                   | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     900000 | PA      | $900611.37    | 0.11%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 09/01/2051#QC7480                                                      | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14712 | PA      | $13985.19     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#FM9919                                                      | CUSIP: 3140XEAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1538647 | PA      | $1348366.95   | 0.17%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                               | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     339427 | PA      | $341641.37    | 0.04%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 09/01/2051#MA4414                                                    | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36183 | PA      | $30228.99     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                       | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     603312 | PA      | $595408.96    | 0.07%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 07/01/2053#CB6673                                                    | CUSIP: 3140QSMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649799 | PA      | $661081.40    | 0.08%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1   | GREAT AMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2025-1 4.52% 10/15/2027 144A   | CUSIP: 39154GAH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $501118.40    | 0.06%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CZ030008 12/17/57 B                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     300000 | NC      | $19939.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP PAY 4.075 04/24/30                                                        | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    3400000 | NC      | $116904.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 05/01/2051#RA5077                                                    | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294464 | PA      | $249598.48    | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 06/36#SB8106                                                         | CUSIP: 3132D6AF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46748 | PA      | $41934.09     | 0.01%             | 2036-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                           | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                           | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     335657 | PA      | $318803.86    | 0.04%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 06/01/2053#CB6527                                                    | CUSIP: 3140QSHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     322355 | PA      | $328052.93    | 0.04%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                        | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+81.548 1 11/15/2036 144A              | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     942150 | PA      | $941560.90    | 0.12%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                     | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                    | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     581758 | PA      | $586174.73    | 0.07%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 30YR 2.5% 01/01/2052#FA0375                                               | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     746886 | PA      | $625151.28    | 0.08%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2050#SD7528                                                      | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16146 | PA      | $13080.46     | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 11/01/2050#QB6612                                                    | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76470 | PA      | $58659.08     | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 01/01/2053#SD2186                                                      | CUSIP: 3132DPNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     546810 | PA      | $545210.54    | 0.07%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY873248 04/17/65 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |      80000 | NC      | $12792.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                              | WELLS FARGO COML MTG TR 2019-C54 VAR 12/15/2052                                     | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5380087 | PA      | $162344.65    | 0.02%             | 2052-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                              | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     220446 | PA      | $203200.24    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 07/01/2049#RA1171                                                    | CUSIP: 3133KGJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1653360 | PA      | $1622285.83   | 0.20%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 09/01/2055 #TBA                                                          | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51100000 | PA      | $52119593.19  | 6.52%             | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 10/01/2051#FM9068                                                    | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286905 | PA      | $241128.73    | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 06/01/2052#RA7575                                                      | CUSIP: 3133KPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     520567 | PA      | $521484.47    | 0.07%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 5.5% 04/01/2055#SL1111                                                    | CUSIP: 31427NGV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3947917 | PA      | $4018934.36   | 0.50%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 05/51#SD7541                                                           | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5941873 | PA      | $4813758.42   | 0.60%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 09/01/2047#ZM4140                                                    | CUSIP: 3131XXS51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6405 | PA      | $5942.27      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 09/20/2040#004799                                                      | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3740 | PA      | $3517.70      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                               | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2061976 | PA      | $2064492.34   | 0.26%             | 2054-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32                | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 A3FL TSFR1M+153.448 01/15/2059       | CUSIP: 94989YBG7<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |     352163 | PA      | $352570.11    | 0.04%             | 2059-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 03/01/2052#SD3489                                                      | CUSIP: 3132DQ2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     660107 | PA      | $530241.69    | 0.07%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY451600 12/16/72 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     350000 | NC      | $-1246.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                               | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189918 | PA      | $185450.49    | 0.02%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                      | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     184904 | PA      | $162179.14    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 06/01/2041#MA4364                                                      | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17337 | PA      | $15002.14     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 11/01/2052#SD1863                                                      | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245920 | PA      | $245585.15    | 0.03%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                               | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     364022 | PA      | $363117.07    | 0.05%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 6% 07/01/2039#SB1215                                                      | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6739357 | PA      | $6958389.02   | 0.87%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 05/01/2054#                                                            | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1736100 | PA      | $1778009.39   | 0.22%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 11/01/2035#MA4178                                                    | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15623 | PA      | $14038.31     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 04/51#MA7311                                                             | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152606 | PA      | $125003.98    | 0.02%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 08/01/2032#MA3090                                                      | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123542 | PA      | $120406.75    | 0.02%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 03/01/2049#ZN6553                                                      | CUSIP: 3131YDH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     595403 | PA      | $564097.37    | 0.07%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 03/01/2053#SD7559                                                    | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2517811 | PA      | $2571758.03   | 0.32%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 11/51#MA7705                                                           | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244268 | PA      | $208135.11    | 0.03%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044                                      | CUSIP: 3137H9AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     156718 | PA      | $156128.24    | 0.02%             | 2044-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                      | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                       | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     703560 | PA      | $715387.75    | 0.09%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 01/20/2052#MA7827                                                      | CUSIP: 36179WVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4343393 | PA      | $3700908.38   | 0.46%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2052#FA1273                                                    | CUSIP: 3140W1MX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1813783 | PA      | $1532891.65   | 0.19%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 06/01/2054#SD7571                                                    | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1481250 | PA      | $1559284.62   | 0.20%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CZ030008 12/17/57 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     300000 | NC      | $19939.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 12/01/2051#BQ7458                                                      | CUSIP: 3140KTJC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     906538 | PA      | $721109.30    | 0.09%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CZ030008 12/17/57 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $6646.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 06/01/2047#ZM3532                                                    | CUSIP: 3131XW4R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70233 | PA      | $64803.04     | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 07/01/2048#SD6922                                                    | CUSIP: 3132DUVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1063223 | PA      | $978699.86    | 0.12%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 10/01/2053#RJ0002                                                    | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336620 | PA      | $352670.35    | 0.04%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 11/01/2051#RA6347                                                      | CUSIP: 3133KNBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216130 | PA      | $189469.56    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 08/20/2043#MA1225                                                      | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4444 | PA      | $4284.50      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 04/01/2052#SD7554                                                    | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311649 | PA      | $263774.84    | 0.03%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 09/01/2050#SD8090                                                      | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3913448 | PA      | $3142318.94   | 0.39%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#CB3038                                                      | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209568 | PA      | $168208.12    | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 04/01/2041#                                                            | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16716 | PA      | $14480.38     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 09/42#G07184                                                           | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135235 | PA      | $131347.70    | 0.02%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 08/01/2048#ZS4785                                                      | CUSIP: 3132A5J63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177873 | PA      | $168798.15    | 0.02%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 11/01/2041#RB5135                                                      | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233016 | PA      | $200829.79    | 0.03%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 1.5% 01/01/2051#MA4236                                                    | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1035235 | PA      | $785706.93    | 0.10%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FHLMC MULTIFAM STRUCTURED PASS THROUGH 2018-K072 A2 3.444% 12/25/2027               | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $494360.05    | 0.06%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIE MAE 3% 05/25/2048                                                            | CUSIP: 3136BMAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     193222 | PA      | $178147.34    | 0.02%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 11/01/2048#ZN4472                                                      | CUSIP: 3131YA6H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23427 | PA      | $20801.13     | 0.00%             | 2048-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY873248 04/17/65 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     110000 | NC      | $17589.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.35% 01/25/2028                                     | CUSIP: 3137FETN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $690762.66    | 0.09%             | 2028-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 09/01/2052#BW7430                                                      | CUSIP: 3140N0HG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21006 | PA      | $21227.16     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6% 09/01/2055 #TBA                                                        | CUSIP: 01F060691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -11800000 | PA      | $-12056281.84 | -1.51%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 12/01/2046#BM5096                                                    | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1521048 | PA      | $1431184.46   | 0.18%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 08/01/2036#SB8114                                                    | CUSIP: 3132D6AP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28722 | PA      | $25745.77     | 0.00%             | 2036-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                      | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     200104 | PA      | $175495.56    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 02/01/2055#CB9989                                                      | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1299085 | PA      | $1345566.29   | 0.17%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                        | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     139925 | PA      | $126768.51    | 0.02%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 1.5% 01/01/2051#FS2528                                                    | CUSIP: 3140XHY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86231 | PA      | $65553.68     | 0.01%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2050#MA4211                                                      | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     880005 | PA      | $771176.99    | 0.10%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 04/01/2052#SD0958                                                    | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1658763 | PA      | $1517176.81   | 0.19%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                              | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     311804 | PA      | $269174.48    | 0.03%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 07/01/2050#MA4077                                                      | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2846501 | PA      | $2285609.63   | 0.29%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CZ030008 12/17/57 B                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     200000 | NC      | $13293.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 03/01/2046#BM4980                                                      | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272238 | PA      | $264196.80    | 0.03%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 06/01/2046#ZT2237                                                    | CUSIP: 3132AEPW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14129 | PA      | $13076.31     | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 09/17/32                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -6192000 | NC      | $-50984.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 11/01/2052#FS3248                                                      | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     651757 | PA      | $651072.08    | 0.08%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 30YR 3% 12/01/2051#FA0145                                                 | CUSIP: 3140W0ET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7495605 | PA      | $6570988.05   | 0.82%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                     | UST NOTES 4.75% 02/15/2045                                                          | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6660000 | PA      | $6561140.63   | 0.82%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 12/01/2035#MA4205                                                    | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632504 | PA      | $568354.06    | 0.07%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/20/2049#BR8985                                                      | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7717 | PA      | $7077.91      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                   | SCLP 2025-2 4.82% 06/25/2034 144A                                                   | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1296557 | PA      | $1299731.82   | 0.16%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-NUGS                             | MORGAN STANLEY CAP I TR 2019-NUGS A TSFR1M+106.448 4 12/15/2021 144A                | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $757528.20    | 0.09%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 03/20/2050#MA6541                                                        | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     518152 | PA      | $460387.06    | 0.06%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30              | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 2.729% 09/15/2049                  | CUSIP: 61766NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44877 | PA      | $44739.33     | 0.01%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                            | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                             | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     561746 | PA      | $564953.14    | 0.07%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| POST ROAD EQUIPMENT FINANCE 2025-1 LLC                        | POST ROAD EQUIPMENT FINANCE 2025-1 LLC 4.9% 05/15/2031 144A                         | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     140000 | PA      | $140950.56    | 0.02%             | 2031-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 02/01/2052#FS0631                                                      | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     747822 | PA      | $654873.34    | 0.08%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 05/51#QC1514                                                           | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150926 | PA      | $122129.82    | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3% 02/25/2048                                        | CUSIP: 3137H65B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3383730 | PA      | $3135562.02   | 0.39%             | 2048-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                   | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                   | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     219512 | PA      | $221200.05    | 0.03%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                     | MFRA TRUST VAR 02/25/2066 144A                                                      | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     265720 | PA      | $251360.42    | 0.03%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 08/01/2051#MA4399                                                    | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82801 | PA      | $69175.61     | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 09/01/2054#CB9209                                                    | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     671580 | PA      | $677155.11    | 0.08%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 03/01/2048#ZM5941                                                      | CUSIP: 3131Y0S60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29335 | PA      | $25991.21     | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY562349 11/18/64 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     200000 | NC      | $28243.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                      | CUSIP: 3137F64V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     948091 | PA      | $801888.62    | 0.10%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2051#RA6308                                                      | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139514 | PA      | $112764.25    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DLLAA 2025-1 LLC                                              | DLLAA 2025-1 LLC 4.95% 09/20/2029 144A                                              | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1450000 | PA      | $1478699.85   | 0.18%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                      | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                      | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $403882.04    | 0.05%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2024-HB1                                     | OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A                                        | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      33542 | PA      | $33000.20     | 0.00%             | 2037-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 12/01/2051#BT9493                                                      | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314266 | PA      | $254010.33    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 04/01/2052#QE0316                                                    | CUSIP: 3133B9K52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1754247 | PA      | $1585871.40   | 0.20%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                       | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                             | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164530 | PA      | $164787.30    | 0.02%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051                                      | CUSIP: 3137H22J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     185900 | PA      | $157868.50    | 0.02%             | 2051-04-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                              | WHEELS FLEET LEASE FUNDING 1 LLC 6.46% 08/18/2038 144A                              | CUSIP: 96328GBG1<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     599455 | PA      | $607352.53    | 0.08%             | 2038-08-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 05/01/2031#BC0919                                                    | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8994 | PA      | $8708.82      | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3                             | SOFI CONSUMER LOAN PROGRAM 2025-3 4.47% 08/15/2034 144A                             | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     570000 | PA      | $570360.01    | 0.07%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050                                        | CUSIP: 3137H6K38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     274575 | PA      | $247056.04    | 0.03%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     300000 | NC      | $-4026.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2024-2                                   | CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029                                         | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     187000 | PA      | $189603.92    | 0.02%             | 2029-01-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 01/20/2051#MA7135                                                        | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10779995 | PA      | $8830220.49   | 1.10%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6% 03/01/2053#SD2518                                                      | CUSIP: 3132DPYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     453212 | PA      | $470525.31    | 0.06%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 07/01/2035#SB8065                                                    | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209996 | PA      | $189485.08    | 0.02%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 09/01/2051#BT0253                                                      | CUSIP: 3140LNH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10380 | PA      | $9867.33      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 03/20/2031#MA3496                                                      | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16596 | PA      | $16229.67     | 0.00%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 05/01/2035#SB0836                                                      | CUSIP: 3132CW4V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688237 | PA      | $664225.36    | 0.08%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3.5% 12/01/2035#FM7459                                                    | CUSIP: 3140XBJD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     279571 | PA      | $274574.21    | 0.03%             | 2035-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                        | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                    | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267352 | PA      | $267435.81    | 0.03%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 08/01/2054#CB9059                                                    | CUSIP: 3140QVB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283886 | PA      | $286420.42    | 0.04%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                              | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     232770 | PA      | $206514.75    | 0.03%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 08/01/2051#CB1281                                                    | CUSIP: 3140QLM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1652675 | PA      | $1386921.33   | 0.17%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 06/01/2052#FS6943                                                      | CUSIP: 3140XNWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     707535 | PA      | $614287.27    | 0.08%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                    | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50437 | PA      | $46789.57     | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 09/32#MA3125                                                           | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8078 | PA      | $7871.32      | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 05/01/2033#G16550                                                      | CUSIP: 3128MFQB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7271 | PA      | $7083.30      | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3.5% 02/01/2034#G16752                                                    | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55144 | PA      | $53915.01     | 0.01%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 04/01/2036#SB8097                                                    | CUSIP: 3132D57J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44885 | PA      | $40262.61     | 0.01%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2051#FM7352                                                    | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     903313 | PA      | $763422.02    | 0.10%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.9% 04/25/2028                                      | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $499178.15    | 0.06%             | 2028-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 10/01/2048#ZM8580                                                      | CUSIP: 3131Y3Q90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212194 | PA      | $201036.64    | 0.03%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 09/01/2055 #TBA                                                      | CUSIP: 01F022691<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -18625000 | PA      | $-15462387.46 | -1.93%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                      | GS MTG SECS TR 2018-GS10 A4 3.89% 07/10/2051                                        | CUSIP: 36250SAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $3128002.56   | 0.39%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 09/01/2041#FM8850                                                    | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522300 | PA      | $466140.91    | 0.06%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                         | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028                              | CUSIP: 58770JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     290000 | PA      | $293413.18    | 0.04%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 03/01/2046#G60440                                                    | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     767352 | PA      | $714455.10    | 0.09%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                | FHLMC REMI 30YR 5.5% 04/01/2055#RJ4005                                              | CUSIP: 3142GUNX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1179254 | PA      | $1188306.32   | 0.15%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C6 MTG TR                                           | BMO 2024-5C6 MTG TR 5.3161% 09/15/2057                                              | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1236074.40   | 0.15%             | 2057-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                              | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                      | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     638000 | PA      | $638988.58    | 0.08%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048                                        | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     188795 | PA      | $185566.82    | 0.02%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 09/01/2055 #TBA                                                        | CUSIP: 21H052694<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -35600000 | PA      | $-35862631.88 | -4.49%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 11/01/2041#CB2110                                                      | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337830 | PA      | $291255.24    | 0.04%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                     | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                 | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     868242 | PA      | $23402.25     | 0.00%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 30YR 2% 03/01/2052#                                                       | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1844154 | PA      | $1476736.64   | 0.18%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 12/01/2050#QB7301                                                    | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52129 | PA      | $39987.41     | 0.01%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 10/01/2047#CA0526                                                    | CUSIP: 3140Q7SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228881 | PA      | $212330.83    | 0.03%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 01/01/2052#SD4401                                                    | CUSIP: 3132E03J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85740 | PA      | $71979.40     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 1.5% 11/01/2041#MA4473                                                    | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1866912 | PA      | $1548437.06   | 0.19%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 07/01/2047#FM3371                                                    | CUSIP: 3140X6W98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     818150 | PA      | $817435.37    | 0.10%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 10/01/2051#FM9210                                                      | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1528904 | PA      | $1342217.64   | 0.17%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 05/20/2055#MB0365                                                        | CUSIP: 3618N5MP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8760394 | PA      | $8669275.03   | 1.08%             | 2055-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2051#BT0330                                                    | CUSIP: 3140LNLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     388912 | PA      | $326495.30    | 0.04%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 10/01/2055 #TBA                                                      | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   11975000 | PA      | $9942992.19   | 1.24%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 11/01/2051#FM9501                                                    | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1811648 | PA      | $1528822.78   | 0.19%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 06/01/2053#CB6538                                                      | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     846150 | PA      | $875830.99    | 0.11%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 02/01/2054#SD4976                                                    | CUSIP: 3132DSQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277484 | PA      | $279700.42    | 0.03%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY562349 11/18/64 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     300000 | NC      | $42365.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 08/20/2051#785602                                                      | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3215975 | PA      | $2716140.97   | 0.34%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 11/01/2047#ZM4743                                                      | CUSIP: 3131XYHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52010 | PA      | $46179.36     | 0.01%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 07/01/2041#SC0162                                                      | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1473767 | PA      | $1280799.94   | 0.16%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                            | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                            | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     850885 | PA      | $783432.96    | 0.10%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 09/20/2051#785616                                                      | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1445493 | PA      | $1220830.80   | 0.15%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 09/01/2052#FS2960                                                    | CUSIP: 3140XJJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     513392 | PA      | $521664.26    | 0.07%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 10/01/2040#FM4644                                                      | CUSIP: 3140X8ES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39698 | PA      | $34572.82     | 0.00%             | 2040-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 07/01/2047#Q49499                                                    | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14400 | PA      | $14192.78     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 11/01/2049#SD7507                                                      | CUSIP: 3132DVKU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     990594 | PA      | $877995.72    | 0.11%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 4.07 12/19/29                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    6940000 | NC      | $222775.04    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 09/01/2041#FM8862                                                      | CUSIP: 3140XCZ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262798 | PA      | $226539.35    | 0.03%             | 2041-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-L2                               | MORGAN STANLEY CAP I TR 2019-L2 A3 3.806% 03/15/2052                                | CUSIP: 61768HAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     449297 | PA      | $437638.97    | 0.05%             | 2052-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 03/01/2051#SD8133                                                    | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1088795 | PA      | $826356.58    | 0.10%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 4% 05/01/2038#C91994                                                      | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235580 | PA      | $229871.22    | 0.03%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019                                                     | BANK 2019 2.846% 12/15/2052                                                         | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86516 | PA      | $84081.72     | 0.01%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.85% 05/25/2028                                     | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1595201.12   | 0.20%             | 2028-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                  | Fidelity Cash Central Fund                                                          | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   33032652 | NS      | $33039258.90  | 4.13%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 12/20/2031#MA4102                                                      | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102790 | PA      | $100323.55    | 0.01%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                          | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                          | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     464000 | PA      | $469968.34    | 0.06%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                         | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A              | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475000 | PA      | $474704.36    | 0.06%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 10/01/2039#AL0939                                                    | CUSIP: 3138EHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     540850 | PA      | $540575.01    | 0.07%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                      | CUSIP: 3137F6YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1252486 | PA      | $1050475.03   | 0.13%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 05/01/2041#RB5111                                                      | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171491 | PA      | $148488.17    | 0.02%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DLLAD 2024-1 LLC                                              | DLLAD 2024-1 LLC 5.3% 07/20/2029 144A                                               | CUSIP: 23346MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      82000 | PA      | $83947.85     | 0.01%             | 2029-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 05/01/2052#RA7375                                                      | CUSIP: 3133KPFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     883187 | PA      | $773965.65    | 0.10%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 10/40 #004833                                                         | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12731 | PA      | $12342.58     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 02/01/2051#FM6338                                                      | CUSIP: 3140XABG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16669 | PA      | $13379.32     | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#QD3168                                                      | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233995 | PA      | $189130.23    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 01/01/2036#SB8083                                                    | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     555077 | PA      | $498779.93    | 0.06%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 11/01/2051#                                                            | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49386 | PA      | $39979.07     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2054#CB8857                                                      | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1034545 | PA      | $1059519.06   | 0.13%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    2800000 | NC      | $-37581.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046                                        | CUSIP: 3136BL5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     249187 | PA      | $234164.52    | 0.03%             | 2046-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 01/01/2052#QD4275                                                      | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187131 | PA      | $163872.35    | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 11/01/2041#CB2113                                                    | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83769 | PA      | $74947.34     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 10/01/2051#BU1269                                                      | CUSIP: 3140M2MT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     580351 | PA      | $469803.51    | 0.06%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 04/01/2053#FS4829                                                      | CUSIP: 3140XLLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     302826 | PA      | $305819.82    | 0.04%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                             | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                                  | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1827836 | PA      | $1827264.44   | 0.23%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 11/01/2041#BU6530                                                      | CUSIP: 3140M8HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172657 | PA      | $148801.27    | 0.02%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 09/01/2047#ZS4734                                                      | CUSIP: 3132A5HK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27139 | PA      | $24155.52     | 0.00%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 11/01/2041#FM9558                                                    | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     611385 | PA      | $544461.88    | 0.07%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                               | BANK 2020-BNK26 2.313% 03/15/2063                                                   | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     827247 | PA      | $796434.95    | 0.10%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 08/01/2050#FM7147                                                    | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1371292 | PA      | $1258849.48   | 0.16%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP PAY 3.9 07/08/26                                                          | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    1100000 | NC      | $22337.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 1.5% 12/01/2040#RB5089                                                    | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68430 | PA      | $57313.69     | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 10/01/2051#QC9113                                                      | CUSIP: 3133AUDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     258624 | PA      | $209360.21    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 12/01/2050#FM5305                                                      | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16672 | PA      | $13506.84     | 0.00%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 10/20/2052#MA8346                                                        | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3719974 | PA      | $3499686.91   | 0.44%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 06/01/2041#FM7891                                                      | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34279 | PA      | $29969.09     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 06/01/2053#MA5038                                                      | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85093 | PA      | $84286.03     | 0.01%             | 2053-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 1.5% 01/01/2041#MA4231                                                    | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113431 | PA      | $94929.55     | 0.01%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 30YR 2.5% 05/01/2052#FA0880                                               | CUSIP: 3140W06S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     971153 | PA      | $816203.16    | 0.10%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                            | PRPM 2024-RPL1 LLC A1 4.2% 12/25/2064 144A                                          | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     337829 | PA      | $332176.82    | 0.04%             | 2064-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 10/20/2043#MA1375                                                      | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2564 | PA      | $2390.95      | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 1.5% 12/01/2040#MA4202                                                    | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111495 | PA      | $93384.47     | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 08/20/2051#785564                                                      | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     837607 | PA      | $707424.25    | 0.09%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 3.8 08/10/26                                                          | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    6580000 | NC      | $194708.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068                           | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      32179 | PA      | $31330.16     | 0.00%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4.5% 09/01/2055 #TBA                                                      | CUSIP: 01F042699<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -16175000 | PA      | $-15558328.13 | -1.95%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 2.5% 07/01/2036#SB0535                                                    | CUSIP: 3132CWSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214138 | PA      | $202076.41    | 0.03%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 10/01/2035#BK5705                                                      | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     298362 | PA      | $275074.33    | 0.03%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY451600 12/16/72 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1300000 | NC      | $-4629.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 09/20/2031#MA3913                                                      | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8088 | PA      | $7899.84      | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 08/01/2031#BC2778                                                    | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12422 | PA      | $12019.43     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 01/01/2051#MA4237                                                      | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     799286 | PA      | $640541.00    | 0.08%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TR VII                               | WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A                           | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     185584 | PA      | $192488.06    | 0.02%             | 2048-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 01/01/2048#CA0990                                                    | CUSIP: 3140Q8C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246268 | PA      | $228459.95    | 0.03%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 08/01/2041#QK0985                                                    | CUSIP: 3133D4CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76293 | PA      | $68443.58     | 0.01%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 10YR NOTE FUT (CBT)DEC25 TYZ5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -89 | NC      | $-57182.06    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#RA6510                                                      | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     966980 | PA      | $781577.64    | 0.10%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 12/01/2051#CB2350                                                      | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     540473 | PA      | $435832.86    | 0.05%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 06/47#Q48876                                                         | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17852 | PA      | $17594.53     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 01/01/2048#BH9215                                                    | CUSIP: 3140GYGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62359 | PA      | $57401.62     | 0.01%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2050#SD8106                                                      | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1750180 | PA      | $1404220.20   | 0.18%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3% 08/25/2050                                        | CUSIP: 3137H6V28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     455966 | PA      | $421934.89    | 0.05%             | 2050-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 05/01/2041#FM7587                                                    | CUSIP: 3140XBND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139496 | PA      | $125393.32    | 0.02%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4.5% 01/01/2053#                                                          | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186302 | PA      | $179947.46    | 0.02%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | USTN TII 2.375% 02/15/2055                                                          | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2330000 | PA      | $2254278.66   | 0.28%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 11/01/2047#CA1757                                                    | CUSIP: 3140Q85T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80576 | PA      | $74749.80     | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 1.5% 04/01/2041#QK0705                                                    | CUSIP: 3133D3YA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     598217 | PA      | $499948.71    | 0.06%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-B                                 | OPORTUN ISSUANCE TRUST 2025-B 4.88% 05/09/2033 144A                                 | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $603582.96    | 0.08%             | 2033-05-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2017                                    | CITIGROUP COML MTG TR 2017-P7 3.509% 04/14/2050                                     | CUSIP: 17325HBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107397 | PA      | $106773.18    | 0.01%             | 2050-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 09/01/2051#QC7496                                                      | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96520 | PA      | $84613.76     | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 01/01/2052#CB2695                                                      | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26868 | PA      | $25522.43     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                              | WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A                              | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     360247 | PA      | $363060.90    | 0.05%             | 2039-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 12/01/2050#SD8115                                                      | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     520200 | PA      | $455868.61    | 0.06%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 04/48#BK3801                                                         | CUSIP: 3140HHGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36730 | PA      | $34028.32     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 02/52#RA6824                                                           | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2483362 | PA      | $2005666.85   | 0.25%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 02/01/2036#FM5367                                                    | CUSIP: 3140X86D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32547 | PA      | $29194.84     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 08/20/2051#785575                                                      | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     506809 | PA      | $428039.48    | 0.05%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 10/20/2052#MA8345                                                      | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     863603 | PA      | $788201.45    | 0.10%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 08/01/2054#CB8984                                                    | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     464310 | PA      | $474548.66    | 0.06%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                  | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                                  | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      78894 | PA      | $79481.49     | 0.01%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 11/01/2041#QK1203                                                    | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     127305 | PA      | $113787.64    | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 04/01/2051#FM6863                                                      | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23479 | PA      | $19021.45     | 0.00%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 06/01/2035#BP5615                                                      | CUSIP: 3140KDGZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1158706 | PA      | $1072975.39   | 0.13%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 07/01/2041#CB1069                                                      | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402515 | PA      | $349468.25    | 0.04%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 3.95 04/29/30                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2150000 | NC      | $70051.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                                  | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     314629 | PA      | $314824.88    | 0.04%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                      | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     165390 | PA      | $148860.89    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 08/20/2045#MA3035                                                      | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     373500 | PA      | $357930.09    | 0.04%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                              | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                     | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |     979194 | PA      | $990331.11    | 0.12%             | 2039-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#CB3101                                                      | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52149 | PA      | $42166.74     | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 09/01/2048#ZM8169                                                      | CUSIP: 3131Y3CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     222565 | PA      | $211350.10    | 0.03%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST                 | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A                 | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     723945 | PA      | $730937.75    | 0.09%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY451600 12/16/72 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1020000 | NC      | $-3632.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 07/01/2051#CB1142                                                      | CUSIP: 3140QLHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684206 | PA      | $601943.96    | 0.08%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 04/01/2052#CB3331                                                    | CUSIP: 3140QNVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4556535 | PA      | $4167604.59   | 0.52%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 07/01/2043#ZS3792                                                    | CUSIP: 3132A4F94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51275 | PA      | $45324.76     | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 03/01/2040#MA3965                                                    | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17944 | PA      | $16207.26     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 6/1/52#CB3785                                                          | CUSIP: 3140QPF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400642 | PA      | $376822.24    | 0.05%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 30YR 2.5% 04/01/2052#FA0063                                               | CUSIP: 3140W0B95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     414596 | PA      | $349353.05    | 0.04%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TR 2023-AIR                                              | OPEN TR 2023-AIR TSFR1M+308.92 10/15/2028 144A                                      | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20414 | PA      | $20426.62     | 0.00%             | 2040-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                   | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1017303 | PA      | $1020235.45   | 0.13%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 10/01/2037#BM1951                                                    | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55283 | PA      | $51021.44     | 0.01%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 12/01/2035#FM4701                                                    | CUSIP: 3140X8GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15819 | PA      | $14215.01     | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2051#QD0399                                                      | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83471 | PA      | $67466.63     | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                   | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     408397 | PA      | $408865.22    | 0.05%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 6% 09/01/2039#SB1334                                                      | CUSIP: 3132CXPT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11408661 | PA      | $11832925.54  | 1.48%             | 2039-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 12/01/2052#RA8291                                                      | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     499011 | PA      | $498331.12    | 0.06%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                 | BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A                               | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313000 | PA      | $313586.88    | 0.04%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 03/01/2051#RA4749                                                    | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600429 | PA      | $504066.17    | 0.06%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCG 2025-FLWR                                                 | SCG 2025-FLWR 5.65% 08/15/2030 144A                                                 | CUSIP: 78438AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $600750.60    | 0.08%             | 2042-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 03/01/2033#BM4614                                                      | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20459 | PA      | $19969.41     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 3.8 08/10/26                                                          | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    6580000 | NC      | $167476.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2024-1                                 | MARLETTE FUNDING TRUST 2024-1 5.95% 07/17/2034 144A                                 | CUSIP: 57108VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       4746 | PA      | $4748.86      | 0.00%             | 2034-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-B OWNER TR                       | TOYOTA AUTO RECEIVABLES 2025-B OWNER TR 4.34% 11/15/2029                            | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2100000 | PA      | $2117999.31   | 0.26%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1                | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                     | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      70000 | PA      | $70585.56     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+150 11/25/2053                               | CUSIP: 3136BQVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     636079 | PA      | $641259.52    | 0.08%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                               | VERD 2025-1A A2 4.85% 03/13/2028 144A                                               | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     230000 | PA      | $230920.09    | 0.03%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 05/20/2031#MA3639                                                      | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132741 | PA      | $129779.02    | 0.02%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V16 MORTGAGE TRUST                             | BENCHMARK 2025-V16 MORTGAGE TRUST VAR 08/15/2057 144A                               | CUSIP: 08164RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9000000 | PA      | $145260.00    | 0.02%             | 2058-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 02/01/2042#SC0248                                                    | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293349 | PA      | $262440.96    | 0.03%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.9% 08/25/2028                                      | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $299671.08    | 0.04%             | 2028-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2051#FM9633                                                      | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1202622 | PA      | $1055776.68   | 0.13%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 08/01/2041#FM8410                                                      | CUSIP: 3140XCKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50137 | PA      | $43268.52     | 0.01%             | 2041-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                      | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     592535 | PA      | $537127.46    | 0.07%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 11/01/2050#SD8108                                                      | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63686 | PA      | $55809.73     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 08/01/2051#CB1331                                                    | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1329247 | PA      | $1115501.12   | 0.14%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 5.5% 08/01/2053#RA9619                                                    | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1188780 | PA      | $1210907.73   | 0.15%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRMI SECURITIZATION TR 2024-CMG1                              | PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A                        | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     580505 | PA      | $579316.33    | 0.07%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.031% 09/25/2028                                    | CUSIP: 3137H4BY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $851274.00    | 0.11%             | 2028-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 11/01/2053#FS6498                                                      | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1441036 | PA      | $1481748.53   | 0.19%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2.5% 11/01/2031#MA2803                                                    | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93355 | PA      | $90160.59     | 0.01%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 04/01/2047#ZS4713                                                    | CUSIP: 3132A5GW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8189 | PA      | $7568.93      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 11/01/2051#RA6334                                                      | CUSIP: 3133KNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     245071 | PA      | $196474.40    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY451600 12/16/72 B                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1410000 | NC      | $-5020.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6% 06/01/2053#RA9276                                                      | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     464428 | PA      | $480573.63    | 0.06%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 12/01/2035#MA4206                                                      | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1974688 | PA      | $1818710.73   | 0.23%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 08/01/2035#SB8066                                                    | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     339645 | PA      | $306471.44    | 0.04%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 12/01/2042#AB7124                                                    | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9372 | PA      | $8849.57      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 02/01/2052#CB2837                                                      | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23220 | PA      | $18775.59     | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                                      | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     134669 | PA      | $121510.77    | 0.02%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6% 06/01/2054#RJ1709                                                      | CUSIP: 3142GR3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5958104 | PA      | $6165235.82   | 0.77%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                        | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP TSFR1M+123.468 02 11/15/2036 144A            | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     656530 | PA      | $655914.10    | 0.08%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 07/01/2051#CB1110                                                      | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33258 | PA      | $26683.98     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#FA0995                                                      | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1002201 | PA      | $808479.33    | 0.10%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6.5% 01/01/2055#RJ3341                                                    | CUSIP: 3142GTWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     555279 | PA      | $586657.35    | 0.07%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 4.065 05/02/30                                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3470000 | NC      | $121517.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 11/01/2053#SD6961                                                      | CUSIP: 3132DUWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2165125 | PA      | $2168264.14   | 0.27%             | 2053-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 07/01/2050#SD7521                                                    | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214156 | PA      | $181793.81    | 0.02%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 07/01/2051#RA5574                                                    | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1063183 | PA      | $896539.61    | 0.11%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                            | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                   | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $373700.36    | 0.05%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 30YR 5.5% 02/01/2055#FA0629                                               | CUSIP: 3140W0VX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5335390 | PA      | $5420528.53   | 0.68%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2049#FM2077                                                      | CUSIP: 3140X5JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2091661 | PA      | $1853254.62   | 0.23%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 10/01/2055 #TBA                                                          | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22975000 | PA      | $23411876.52  | 2.93%             | 2055-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 04/01/2049#FM1277                                                      | CUSIP: 3140X4M37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81299 | PA      | $76729.63     | 0.01%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 11/01/2051#                                                          | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690853 | PA      | $629293.37    | 0.08%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3.5% 09/01/2055 #TBA                                                      | CUSIP: 01F032690<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -2300000 | PA      | $-2078175.81  | -0.26%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049                                        | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     120886 | PA      | $110906.34    | 0.01%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 06/01/2051#QC3131                                                    | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40677 | PA      | $31240.84     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 01/01/2052#FS0286                                                      | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2412297 | PA      | $1948271.17   | 0.24%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 05/20/2049#BN2615                                                        | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91849 | PA      | $86230.75     | 0.01%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 09/01/2051#CB1703                                                      | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27546 | PA      | $26185.62     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 07/01/2052#QE5952                                                    | CUSIP: 3133BFTH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47794 | PA      | $43489.98     | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 04/01/2051#FM6944                                                      | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     821466 | PA      | $664733.36    | 0.08%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                     | BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062                                           | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8873232 | PA      | $181273.93    | 0.02%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 11/01/2048#ZN1277                                                      | CUSIP: 3131Y7M20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42336 | PA      | $40202.71     | 0.01%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 10/01/2049#CA4406                                                      | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     244268 | PA      | $216197.62    | 0.03%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-3 LLC                              | ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A                               | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     208907 | PA      | $212022.24    | 0.03%             | 2030-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 09/01/2041#SC0185                                                    | CUSIP: 3132D9F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168468 | PA      | $150977.49    | 0.02%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 09/01/2055 #TBA                                                          | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -41925000 | PA      | $-42761525.33 | -5.35%            | 2055-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 12/20/2051#785792                                                      | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     599380 | PA      | $506222.79    | 0.06%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 12/01/2051#CB2349                                                      | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2365363 | PA      | $1911844.21   | 0.24%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 04/01/2050#SD0516                                                      | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     614148 | PA      | $539350.09    | 0.07%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                       | MNGT SWAP CZ030008 12/17/57 B                                                       | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $6646.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 10/01/2041#BQ6615                                                      | CUSIP: 3140KSK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173484 | PA      | $149578.57    | 0.02%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 10/01/2051#QD0109                                                      | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97257 | PA      | $78609.46     | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 05/01/2051#RA5287                                                      | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79642 | PA      | $63899.30     | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 3% 04/01/2034#G16829                                                      | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16051 | PA      | $15568.37     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 12/01/2050#MA4208                                                      | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390024 | PA      | $312927.84    | 0.04%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 03/01/2050#BP2186                                                      | CUSIP: 3140K9NC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1003349 | PA      | $886479.36    | 0.11%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                               | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     265871 | PA      | $222610.88    | 0.03%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 05/01/2040#MA4016                                                    | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71422 | PA      | $64385.31     | 0.01%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 02/01/2051#SD7532                                                      | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1766345 | PA      | $1431541.77   | 0.18%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033                                     | CUSIP: 3136ADB57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      64906 | PA      | $60273.69     | 0.01%             | 2033-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CZ030008 12/17/57 B                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     100000 | NC      | $6646.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 11/01/2041#QK1180                                                      | CUSIP: 3133D4JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     314952 | PA      | $271281.26    | 0.03%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048                                        | CUSIP: 3137H8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     277977 | PA      | $280246.84    | 0.04%             | 2048-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 02/01/2033#BM5108                                                      | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136448 | PA      | $132927.38    | 0.02%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-4                                   | CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028                                           | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     225707 | PA      | $228649.65    | 0.03%             | 2028-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2018-C8                                | JPMDB COML MTG SECS TR 2018-C8 4.145% 06/15/2051                                    | CUSIP: 46591ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     539412 | PA      | $537469.12    | 0.07%             | 2051-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 10/01/2041#                                                            | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17595 | PA      | $15171.06     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 09/01/2051#QC7468                                                      | CUSIP: 3133ASJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     482285 | PA      | $390417.89    | 0.05%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                          | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A                 | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $399285.92    | 0.05%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 09/45#MA3106                                                           | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1879 | PA      | $1800.74      | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 04/01/2050#BK2249                                                      | CUSIP: 3140HFQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1033959 | PA      | $913523.65    | 0.11%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 09/01/2055 #TBA                                                          | CUSIP: 21H020691<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27725000 | PA      | $22696261.68  | 2.84%             | 2055-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 05/01/2041#SC0237                                                    | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     625176 | PA      | $563114.42    | 0.07%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                               | BANK 2021-BNK33 VAR 05/15/2064                                                      | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2989632 | PA      | $120518.66    | 0.02%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 08/01/2051#SD8163                                                    | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1153485 | PA      | $1050341.35   | 0.13%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL LEASING TRUST 2023-3                             | GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026                                  | CUSIP: 379929AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      33854 | PA      | $33896.16     | 0.00%             | 2026-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 10/01/2052#CB5405                                                    | CUSIP: 3140QRAF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     867228 | PA      | $837919.96    | 0.10%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 09/01/2055 #TBA                                                        | CUSIP: 21H022697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14900000 | PA      | $12691802.12  | 1.59%             | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF 4.62% 04/25/2030                                         | CUSIP: 3136BV4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $3249372.16   | 0.41%             | 2030-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                             | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     370709 | PA      | $323311.48    | 0.04%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 11/32#BJ6650                                                           | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11578 | PA      | $11276.29     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-CP1                                      | NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A                                      | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     343146 | PA      | $323437.79    | 0.04%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 01/01/2051#FM5651                                                    | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     218479 | PA      | $183347.10    | 0.02%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2017-HR2                              | MORGAN STANLEY CAP I TR 2017-HR2 3.33% 12/15/2050                                   | CUSIP: 61691NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297068 | PA      | $291235.94    | 0.04%             | 2050-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 08/01/2051#SD2230                                                      | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151643 | PA      | $121667.87    | 0.02%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#CB3105                                                      | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35964 | PA      | $29079.35     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                      | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                    | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     554343 | PA      | $555728.51    | 0.07%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 11/01/2051#MA4466                                                    | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2153229 | PA      | $1798910.60   | 0.23%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 4.01 05/07/30                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    2810000 | NC      | $100611.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                          | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                          | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     783333 | PA      | $730688.51    | 0.09%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#FM9777                                                      | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247092 | PA      | $216921.18    | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 12/01/2052#SD1924                                                      | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     955235 | PA      | $953933.57    | 0.12%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 11/01/2035#CA7953                                                    | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315247 | PA      | $283273.73    | 0.04%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 06/01/2048#BM4426                                                    | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1401403 | PA      | $1295250.29   | 0.16%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051                                      | CUSIP: 3136BJHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     243745 | PA      | $210011.56    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048                                        | CUSIP: 3136BLFC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     629979 | PA      | $562699.15    | 0.07%             | 2048-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 02/20/2043#MA0783                                                      | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2519 | PA      | $2355.32      | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 05/01/2036#BR1069                                                    | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45936 | PA      | $41205.02     | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                  | BX 2021-MFM1 A TSFR1M+81.448 01/15/2034 144A                                        | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65937 | PA      | $65916.52     | 0.01%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 30YR 2.5% 06/01/2052#FA0543                                               | CUSIP: 3140W0S97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1472074 | PA      | $1247782.00   | 0.16%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                             | ENTERPRISE FLEET FINANCING 2024-2 5.61% 04/20/2028 144A                             | CUSIP: 29375RAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     171000 | PA      | $174194.47    | 0.02%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP CY451600 12/16/72 S                                                       | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2060000 | NC      | $7335.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 07/01/2034#FM8940                                                      | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117199 | PA      | $114879.57    | 0.01%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 10/01/2041#FM9396                                                      | CUSIP: 3140XDNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     827048 | PA      | $712100.53    | 0.09%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 11/20/2031#MA4044                                                      | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67680 | PA      | $66039.98     | 0.01%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                        | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                  | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134093 | PA      | $134093.16    | 0.02%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 04/01/2036#FM6100                                                    | CUSIP: 3140X9X67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44706 | PA      | $40101.80     | 0.01%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 07/01/2036#SB8110                                                    | CUSIP: 3132D6AK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39558 | PA      | $35459.72     | 0.00%             | 2036-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3                                                | PRET 2025-RPL3 A1 STEP 4.15% 04/25/2065 144A                                        | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     684806 | PA      | $665204.43    | 0.08%             | 2065-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                      | CUSIP: 3137H2UC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     242258 | PA      | $208037.87    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 02/01/2036#MA4260                                                    | CUSIP: 31418DWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34750 | PA      | $31171.69     | 0.00%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD        | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051              | CUSIP: 3137H3V82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     305556 | PA      | $262985.43    | 0.03%             | 2051-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GC13                                      | GS MTG SECS TR 2013-GC13 AS CSTR 07/10/2046 144A                                    | CUSIP: 36198EAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35893 | PA      | $35355.32     | 0.00%             | 2046-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 04/20/2052#                                                            | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     498913 | PA      | $425190.62    | 0.05%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027                                    | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     684585 | PA      | $674226.81    | 0.08%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                            | CFMT 2024-HB13 LLC VAR 05/25/2034 144A                                              | CUSIP: 12530VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     131973 | PA      | $129815.69    | 0.02%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 11/01/2053#CB7520                                                    | CUSIP: 3140QTLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     777608 | PA      | $814685.71    | 0.10%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 05/01/2042#RB0710                                                    | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49643 | PA      | $44274.72     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 4.07 12/19/29                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    6940000 | NC      | $245709.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 02/01/2051#SD7535                                                    | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1664424 | PA      | $1411344.67   | 0.18%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 08/01/2049#FM1338                                                    | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1011045 | PA      | $986671.88    | 0.12%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 1.5% 11/01/2040#MA4175                                                    | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109678 | PA      | $91940.31     | 0.01%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5.5% 08/01/2053#CB6911                                                    | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     453319 | PA      | $462465.61    | 0.06%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 10/01/2050#SD7525                                                    | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1172468 | PA      | $994558.14    | 0.12%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 12/01/2052#CB5273                                                      | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419331 | PA      | $418759.47    | 0.05%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                        | GSCM SWAP PAY 3.804 08/25/26                                                        | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |    1970000 | NC      | $51322.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3.5% 09/01/2055 #TBA                                                      | CUSIP: 01F032690<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    3050000 | PA      | $2755841.84   | 0.34%             | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885802 12/15/56 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     100000 | NC      | $12610.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                                 | DLLAA 2023-1A 5.64% 02/22/2028 144A                                                 | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     102000 | PA      | $103182.19    | 0.01%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 11/01/2035#SB8073                                                    | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     420845 | PA      | $378162.43    | 0.05%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 11/01/2054#CB9501                                                      | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469819 | PA      | $488207.19    | 0.06%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 08/20/2052#MA8199                                                      | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2717532 | PA      | $2480264.01   | 0.31%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 4.5% 10/01/2055 #TBA                                                      | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    7475000 | PA      | $7184467.68   | 0.90%             | 2055-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY873248 04/17/65 B                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      80000 | NC      | $12792.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 03/01/2052#SD8199                                                      | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145834 | PA      | $116323.60    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 05/01/2052#MA4600                                                    | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     842235 | PA      | $762711.82    | 0.10%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 12/34#FM0045                                                           | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20938 | PA      | $20233.34     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2051#                                                            | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17675 | PA      | $15605.21     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 01/20/2044#MA1600                                                      | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4125 | PA      | $3839.47      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 03/01/2052#FS9368                                                      | CUSIP: 3140XRMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     597369 | PA      | $483206.64    | 0.06%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6% 05/01/2054#SD7570                                                      | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1202348 | PA      | $1248656.40   | 0.16%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                       | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     878179 | PA      | $864267.33    | 0.11%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 10/01/2054#CB9336                                                      | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1029134 | PA      | $1069092.52   | 0.13%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 03/01/2052#RA6988                                                      | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     407892 | PA      | $356174.37    | 0.04%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-A | STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-A 4.63% 07/20/2027 144A | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3650586 | PA      | $3662543.69   | 0.46%             | 2027-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5% 12/01/2052#RA8292                                                      | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     457708 | PA      | $456512.63    | 0.06%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 03/01/2050#SD8049                                                    | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     748259 | PA      | $629807.68    | 0.08%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                      | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                      | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     400000 | PA      | $402041.40    | 0.05%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 12/20/2041#005258                                                      | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1932 | PA      | $1813.21      | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                | BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A                                      | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     531000 | PA      | $525399.22    | 0.07%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 05/46#MA3664                                                             | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19377 | PA      | $18518.83     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2051#FS9709                                                      | CUSIP: 3140XRYF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1166040 | PA      | $1032406.71   | 0.13%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2023-C                      | WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028                           | CUSIP: 98164FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     106688 | PA      | $107296.59    | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 5% 09/01/2052#BW9350                                                      | CUSIP: 3140N2L82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34728 | PA      | $35093.07     | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 11/20/2042#MA0535                                                        | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61825 | PA      | $59697.69     | 0.01%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                             | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                            | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     681785 | PA      | $685325.33    | 0.09%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 04/01/2045#FM2986                                                      | CUSIP: 3140X6J85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2397138 | PA      | $2307325.99   | 0.29%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 07/01/2041#                                                            | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17236 | PA      | $14900.69     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2.5% 11/01/2051#SD7548                                                    | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     282524 | PA      | $239477.26    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 10/01/2051#QC9114                                                      | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275436 | PA      | $222626.07    | 0.03%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                | CITI SWAP PAY 4.01 12/20/29                                                         | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    2000000 | NC      | $66381.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 1.5% 02/01/2041#RB5099                                                    | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116859 | PA      | $97707.50     | 0.01%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK14                                               | BANK 2018-BNK14 4.185% 09/15/2060                                                   | CUSIP: 06035RAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177197 | PA      | $176826.97    | 0.02%             | 2060-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 03/20/2043 #MA1090                                                     | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30395 | PA      | $28385.29     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 05/01/2051#CB0443                                                    | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1453382 | PA      | $1231937.84   | 0.15%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 4.5% 05/01/2039#FM1194                                                    | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     364884 | PA      | $365893.69    | 0.05%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4.5% 01/01/2049#BN2228                                                    | CUSIP: 3140JJPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82452 | PA      | $80464.56     | 0.01%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 01/01/2050#FS3728                                                    | CUSIP: 3140XKEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1530806 | PA      | $1441657.23   | 0.18%             | 2050-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                          | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                           | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     228424 | PA      | $228628.70    | 0.03%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 10/01/2053#SD4820                                                      | CUSIP: 3132DSK92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41186 | PA      | $35700.07     | 0.00%             | 2053-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                              | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     265388 | PA      | $239041.76    | 0.03%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                            | PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A                                           | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     527080 | PA      | $512921.29    | 0.06%             | 2054-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -159 | NC      | $-85984.02    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP PAY 3.87 11/07/29                                                         | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    3100000 | NC      | $107812.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 01/01/2045#G61419                                                    | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11306 | PA      | $10672.89     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 01/01/2052#SD0892                                                      | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41386 | PA      | $33502.71     | 0.00%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 09/46#BC2843                                                           | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42698 | PA      | $40853.30     | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                               | BANK 2017-BNK4 3.428% 02/15/2061                                                    | CUSIP: 065404BA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226622 | PA      | $222907.54    | 0.03%             | 2061-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                           | MSCS SWAP REC 4.075 04/24/30                                                        | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    3400000 | NC      | $119857.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                             | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                              | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     780000 | PA      | $787411.56    | 0.10%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 01/01/2051#SD8120                                                    | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1026281 | PA      | $778911.16    | 0.10%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 01/46#MA3377                                                           | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8447 | PA      | $8078.57      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY885799 12/15/56 S                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     900000 | NC      | $-12079.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 12/20/2050#MA7051                                                        | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4475454 | PA      | $3664930.58   | 0.46%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 09/01/2052#CB4669                                                      | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43227 | PA      | $41048.34     | 0.01%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                  | SBNA AUTO LEASE TRUST 2024-B 5.56% 11/22/2027 144A                                  | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     258000 | PA      | $259936.16    | 0.03%             | 2027-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                              | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                               | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      37392 | PA      | $35256.67     | 0.00%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3.5% 07/01/2034#BO1835                                                    | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16195 | PA      | $15879.99     | 0.00%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 06/01/2040#MA4054                                                    | CUSIP: 31418DQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     431554 | PA      | $388849.61    | 0.05%             | 2040-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 02/01/2052#FS8764                                                      | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     718053 | PA      | $581051.64    | 0.07%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 04/01/2042#SC0270                                                    | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80763 | PA      | $71966.06     | 0.01%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 02/01/2052#CB2924                                                      | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18952 | PA      | $17997.03     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 02/20/2031#MA3428                                                      | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8191 | PA      | $8014.03      | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                        | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1749825 | PA      | $1546469.95   | 0.19%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 10/01/2041#RB5131                                                      | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17946 | PA      | $15474.68     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 09/01/2053#QH0300                                                    | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159560 | PA      | $167168.25    | 0.02%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                             | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     266774 | PA      | $234558.76    | 0.03%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 04/01/2051#SD8139                                                    | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6810334 | PA      | $5168802.06   | 0.65%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 07/01/2054#CB8875                                                    | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     713007 | PA      | $740430.89    | 0.09%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-C                                 | OPORTUN ISSUANCE TRUST 2025-C 4.49% 07/08/2033 144A                                 | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     495000 | PA      | $495591.72    | 0.06%             | 2033-07-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 12/20/2045#MA3311                                                        | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11070 | PA      | $10586.93     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 07/01/2050#FM3611                                                    | CUSIP: 3140X7AM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     845175 | PA      | $714287.01    | 0.09%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                  | RCO VIII MORTGAGE LLC 2025-3 VAR 05/25/2030 144A                                    | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     352212 | PA      | $352998.74    | 0.04%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US LONG BOND(CBT) FUT DEC25 USZ5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         27 | NC      | $20575.53     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 04/01/2042#BV7699                                                    | CUSIP: 3140MMRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89326 | PA      | $79636.46     | 0.01%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2% 06/01/2041#RB5114                                                      | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     291525 | PA      | $252231.23    | 0.03%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                   | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                   | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $500607.70    | 0.06%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 09/01/2030#AL7320                                                      | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     810093 | PA      | $795123.10    | 0.10%             | 2030-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 04/01/2050#FM3830                                                      | CUSIP: 3140X7HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42700 | PA      | $37672.54     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 02/20/2050#BS8922                                                        | CUSIP: 3617MK4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199384 | PA      | $176595.61    | 0.02%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 07/20/2052#MA8149                                                      | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4672395 | PA      | $4264447.67   | 0.53%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 04/01/2052#FS8195                                                      | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2066894 | PA      | $1655099.94   | 0.21%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4% 04/20/2047#MA4383                                                        | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     526854 | PA      | $502858.52    | 0.06%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                    | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7345 | PA      | $5641.07      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2% 07/01/2050#CA6275                                                      | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413725 | PA      | $334012.48    | 0.04%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 03/01/2052#SD2219                                                      | CUSIP: 3132DPPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     462467 | PA      | $404986.21    | 0.05%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 10/20/2031#MA3979                                                      | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63458 | PA      | $61949.86     | 0.01%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 15YR 1.5% 03/01/2036#SB8092                                                    | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26455 | PA      | $23730.71     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 10/01/2053#RJ0001                                                    | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     337993 | PA      | $354320.30    | 0.04%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 03/48#BJ6757                                                         | CUSIP: 3140H8QK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89307 | PA      | $82737.51     | 0.01%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049                             | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      75708 | PA      | $74521.69     | 0.01%             | 2049-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FHLMC MULTIFAM STRUCTURED PASS THROUGH K071 A2 3.286% 11/25/2027                    | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $492833.80    | 0.06%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 07/20/2031#MA3778                                                      | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2382 | PA      | $2326.82      | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY451600 12/16/72 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      20000 | NC      | $-71.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 4.08 04/24/30                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3150000 | NC      | $111323.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 10/01/2055 #TBA                                                          | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10200000 | PA      | $8347940.10   | 1.04%             | 2055-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                        | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     191573 | PA      | $180205.95    | 0.02%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                            | ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028                                 | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     245128 | PA      | $246596.64    | 0.03%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 09/20/2050#MA6864                                                        | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1744082 | PA      | $1429175.21   | 0.18%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                               | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                            | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     602579 | PA      | $588854.70    | 0.07%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C                | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C 4.62% 04/17/2028 144A                | CUSIP: 448984AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1300000 | PA      | $1306979.70   | 0.16%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 05/01/2047#FM2438                                                    | CUSIP: 3140X5V83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6237 | PA      | $5777.76      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TR                                             | PRET 2024-RPL1 TR 3.9% 10/25/2063 144A                                              | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     562366 | PA      | $537704.48    | 0.07%             | 2063-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                      | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     167811 | PA      | $147131.39    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 3.25% 03/25/2049                                     | CUSIP: 3136BMAZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     317672 | PA      | $298002.88    | 0.04%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 09/20/2043#MA1285                                                      | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2603 | PA      | $2427.95      | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2054#CB8821                                                      | CUSIP: 3140QUYT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3356359 | PA      | $3458357.81   | 0.43%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6% 10/01/2054#RJ2642                                                      | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     866922 | PA      | $900582.24    | 0.11%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C5                                | JPMDB 2017-C5 ASB 3.4919% 03/50                                                     | CUSIP: 46590TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112112 | PA      | $111357.22    | 0.01%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2051#FM9632                                                      | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     735705 | PA      | $646561.92    | 0.08%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 10/01/2051#RA6076                                                      | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1860491 | PA      | $1500284.59   | 0.19%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 08/01/2051#FM9973                                                      | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     440430 | PA      | $387477.59    | 0.05%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MTG TR                                      | BENCHMARK MTG TR 2018-B1 ASB 3.602% 01/15/2051                                      | CUSIP: 08162PAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191072 | PA      | $189518.35    | 0.02%             | 2051-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                    | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1175952 | PA      | $1233033.03   | 0.15%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 08/20/2043#MA1224                                                      | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2456 | PA      | $2292.72      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                    | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                               | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147422 | PA      | $144102.86    | 0.02%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 1.5% 04/01/2041#RB5107                                                    | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119795 | PA      | $100004.91    | 0.01%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 07/01/2050#CA6312                                                      | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331629 | PA      | $292275.33    | 0.04%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 08/20/2044#MA2149                                                      | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83320 | PA      | $80054.98     | 0.01%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2020-2PAC                            | NATIXIS COML MTG SECS TR 2020-2PAC 2.966% 12/15/2038 144A                           | CUSIP: 63875DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     628554 | PA      | $603109.49    | 0.08%             | 2038-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                               | BX TR 2025-TAIL A VAR 06/15/2035 144A                                               | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201000 | PA      | $201251.25    | 0.03%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 2% 01/01/2037#FS0216                                                      | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1636036 | PA      | $1514476.86   | 0.19%             | 2037-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-H1                        | MORGAN STANLEY CAPITAL I TRUST 2017-H1 A4 3.259% 06/15/2050                         | CUSIP: 61691JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700000 | PA      | $687562.89    | 0.09%             | 2050-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                    | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2231558 | PA      | $2338659.34   | 0.29%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 01/01/2052#SD2072                                                      | CUSIP: 3132DPJR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197024 | PA      | $159247.88    | 0.02%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DBJPM 2017-C6 MTG TR                                          | DBJPM 2017-C6 ASB 3.121% 06/50                                                      | CUSIP: 23312JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232819 | PA      | $230670.53    | 0.03%             | 2050-06-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+160 08/25/2054                                   | CUSIP: 3136BVVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1133493 | PA      | $1141648.27   | 0.14%             | 2054-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                           | GSCOFI SWAP CY873248 04/17/65 B                                                     | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |      60000 | NC      | $9594.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                         | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     737403 | PA      | $740083.67    | 0.09%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3.5% 06/01/2046#G08711                                                    | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5299 | PA      | $4910.72      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2% 11/01/2040#                                                            | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2049884 | PA      | $1783025.45   | 0.22%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 01/20/2052#785831                                                      | CUSIP: 3622ABLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     566712 | PA      | $478632.46    | 0.06%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 5.5% 01/01/2055#SL0002                                                    | CUSIP: 31427MAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3776832 | PA      | $3841231.44   | 0.48%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                      | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     105028 | PA      | $87505.97     | 0.01%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 09/01/2051#RA5901                                                      | CUSIP: 3133KMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194969 | PA      | $170796.92    | 0.02%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 10/01/2055 #TBA                                                          | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9600000 | PA      | $8500440.96   | 1.06%             | 2055-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 01/01/2054#CB7801                                                    | CUSIP: 3140QTU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2721123 | PA      | $2850657.20   | 0.36%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 12/01/2051#CB2289                                                    | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1211917 | PA      | $1017795.25   | 0.13%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 01/20/2055#787767                                                      | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1037102 | PA      | $1052004.58   | 0.13%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 4% 6/1/52#CB3766                                                          | CUSIP: 3140QPFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     387066 | PA      | $364053.21    | 0.05%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3.5% 07/01/2034#CA3925                                                    | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49258 | PA      | $48300.73     | 0.01%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 4.08 04/24/30                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3150000 | NC      | $107976.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 2.5% 11/01/2051#FM9505                                                    | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     692959 | PA      | $582395.65    | 0.07%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| USAA AUTO OWNER TR 2024-A                                     | USAA AUTO OWNER TR 2024-A 5.03% 03/15/2029 144A                                     | CUSIP: 90327VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1900000 | PA      | $1916473.00   | 0.24%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 08/01/2050#SD7524                                                      | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1794691 | PA      | $1589011.34   | 0.20%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2023-HB12 LLC                                            | CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A                                            | CUSIP: 12530QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       6323 | PA      | $6315.45      | 0.00%             | 2033-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TR 2024-1                                           | BOFA AUTO TR 2024-1A A3 5.35% 11/15/2028 144A                                       | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      98000 | PA      | $98888.06     | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                              | SBLOFI SWAP CY873248 04/17/65 B                                                     | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |      80000 | NC      | $12792.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 04/20/2052#MA7988                                                        | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3191953 | PA      | $2828872.21   | 0.35%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                      | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     467292 | PA      | $467815.17    | 0.06%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.5% 09/01/2055 #TBA                                                        | CUSIP: 21H042695<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -4500000 | PA      | $-4332687.75  | -0.54%            | 2055-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#RA6579                                                      | CUSIP: 3133KNJY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190277 | PA      | $151773.18    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 1.5% 03/01/2036#                                                          | CUSIP: 31418DXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43588 | PA      | $39098.87     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3.5% 07/01/2052#FS5486                                                    | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     413471 | PA      | $378016.76    | 0.05%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 2% 12/01/2051#QD3434                                                      | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109822 | PA      | $88491.19     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                        | GREENSKY HOME IMPROVEMENT TRUST 2024-2 5.25% 10/27/2059 144A                        | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     885787 | PA      | $888289.35    | 0.11%             | 2059-10-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                             | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                             | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1436326 | PA      | $1416173.95   | 0.18%             | 2057-09-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                       | BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258479 | PA      | $258963.83    | 0.03%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 4% 10/01/2052#SD1772                                                      | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     626600 | PA      | $592675.06    | 0.07%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2049#BO4757                                                      | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1699451 | PA      | $1499375.43   | 0.19%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                      | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                       | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $196507.40    | 0.02%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3% 09/01/2055 #TBA                                                        | CUSIP: 01F030694<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1600000 | PA      | $-1386249.92  | -0.17%            | 2055-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B                | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2025-B 4.58% 09/15/2027 144A                | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1200000 | PA      | $1204256.28   | 0.15%             | 2027-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 01/01/2051#MA4239                                                      | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     478043 | PA      | $418775.38    | 0.05%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TR 2024-B                            | MERCEDES-BENZ AUTO LEASE TR 2024-B 4.89% 02/15/2028                                 | CUSIP: 58769GAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1001015.40   | 0.13%             | 2028-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 15YR 3% 09/01/2035#FS0112                                                      | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251833 | PA      | $246056.95    | 0.03%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1               | GM FINANCIAL REVOLVING RECEIVABLES TRUST 2024-1 4.98% 12/11/2036 144A               | CUSIP: 36269KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     704000 | PA      | $723832.60    | 0.09%             | 2036-12-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer