# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007188
**Filing Date:** 2026-5
**Character Count:** 844736
**Document Hash:** 8e1c1559e143ebcf5ea8e80501dae216
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007188.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007188

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043348

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

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

## Series and Classes Contracts Data

### PIMCO GNMA and Government Securities Fund (Series ID: S000009684)

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO GNMA and Government Securities Fund

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

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

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

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

- **b. Date as of which information is reported:** 2026-03-31

**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:** $9728202993.09

**Total Liabilities:** $8394276658.68

**Net Assets:** $1333926334.41

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 119398.674600 | **1-Year:** 193759.009400 | **5-Year:** 711281.727400 | **10-Year:** 45206.005600 | **30-Year:** 5814.653600

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

- **3-Month:** 0.000000 | **1-Year:** 1318.333500 | **5-Year:** 864.383900 | **10-Year:** 0.000000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026542 | 0.64%                | 1.89%                | -1.66%               |
| Class ID C000026544 | 0.57%                | 1.83%                | -1.72%               |
| Class ID C000064137 | 0.66%                | 1.91%                | -1.63%               |
| Class ID C000203300 | 0.66%                | 1.91%                | -1.64%               |
| Class ID C000026541 | 0.67%                | 1.92%                | -1.63%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2609475.26              | $1214039.86                                |
| Month 2  | $5146143.48              | $17657779.60                               |
| Month 3  | $-1883783.10             | $-27718384.67                              |

**Designated Index Information**

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

- **Index Identifier:** LGNMTRUU

### Schedule of Portfolio Investments

| Name                                                              | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6000000 | NC      | $355481.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5593                                           | FREDDIE MAC FHR 5593 FB                                | CUSIP: 3137HNV47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10873134 | PA      | $10934223.70   | 0.82%             | 2055-11-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AC4308 GN 01/46 FIXED 3                      | CUSIP: 36179DYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268471 | PA      | $241990.60     | 0.02%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4777 G2 10/47 FIXED 3                   | CUSIP: 36179TJW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70981 | PA      | $64254.51      | 0.00%             | 2047-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4830 G2 11/47 FIXED 4.5                 | CUSIP: 36179TLK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     863005 | PA      | $840654.24     | 0.06%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW2501 FN 02/56 FIXED 5                      | CUSIP: 3140MTX73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1347092 | PA      | $1343184.29    | 0.10%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782314 GN 04/38 FIXED 5.5                    | CUSIP: 36241KSB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8538 | PA      | $8882.06       | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC9LA5 PIMCO SWAPTION 4.095 PUT USD 2026040         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9000000 | NC      | $1438.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 1A       | CUSIP: 3137G1BK2<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    1831173 | PA      | $1578451.11    | 0.12%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8211 FN 05/28 FIXED 4.55                   | CUSIP: 3140LKDR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $100795.55     | 0.01%             | 2028-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032443<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7400000 | PA      | $7124617.21    | 0.53%             | 2041-04-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4071 FN 06/53 FIXED 5                      | CUSIP: 3140NLQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210308 | PA      | $209585.18     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603589 GN 04/33 FIXED 6                      | CUSIP: 36200KRJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15407 | PA      | $15651.30      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE  ASSOCIATION GNR-2019-H11            | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H11 FM         | CUSIP: 38380LVB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     498902 | PA      | $499295.83     | 0.04%             | 2069-05-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 614518 GN 06/33 FIXED 5.5                    | CUSIP: 36290QVK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $560.95        | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH0299 FN 04/47 FIXED 4                      | CUSIP: 3140GNKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56868 | PA      | $54566.42      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH0033 G2 05/48 FIXED 4.5                 | CUSIP: 3617GWBA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1039724 | PA      | $1014159.11    | 0.08%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 563677 GN 11/32 FIXED 6                      | CUSIP: 36213TFS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        195 | PA      | $201.63        | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY5374 FN 07/53 FIXED 6                      | CUSIP: 3140NM6L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     496628 | PA      | $514616.89     | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002675 G2 11/28 FIXED 7                   | CUSIP: 36202C6L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $141.86        | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM7559 G2 12/61 FIXED 4.5                 | CUSIP: 3617YTMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110587 | PA      | $106252.28     | 0.01%             | 2061-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2833 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205443 | PA      | $205960.37     | 0.02%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3803 G2 07/46 FIXED 3.5                 | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     566784 | PA      | $530263.52     | 0.04%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SL03 PIMCO CDSOPT CALL USD 102.25781250 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -21500000 | NC      | $-6271.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4367                                           | FREDDIE MAC FHR 4367 GS                                | CUSIP: 3137BCL55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41669 | PA      | $2172.04       | 0.00%             | 2037-03-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H040657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   99000000 | PA      | $92690106.30   | 6.95%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2185 FN 06/47 FIXED 4                      | CUSIP: 3140GQNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8804 | PA      | $8418.10       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4656 G2 08/47 FIXED 5.5                 | CUSIP: 36179TE50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     966197 | PA      | $973899.10     | 0.07%             | 2047-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005017 G2 04/41 FIXED 4.5                 | CUSIP: 36202FSE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4310620 | PA      | $4275724.46    | 0.32%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0640 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3V97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     308186 | PA      | $284885.05     | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005092 G2 06/41 FIXED 4                   | CUSIP: 36202FUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        648 | PA      | $611.34        | 0.00%             | 2041-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5            | CUSIP: 3132A9UB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442802 | PA      | $424814.20     | 0.03%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD2836 G2 01/48 FIXED 4                   | CUSIP: 3617BJEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     795302 | PA      | $751845.72     | 0.06%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q51096 FG 09/47 FIXED 3.5            | CUSIP: 3132XTGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     241981 | PA      | $225882.43     | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM7303 GN 01/46 FIXED 3                      | CUSIP: 36184YDG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29325 | PA      | $26346.06      | 0.00%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA SA 2019-1A                                         | LA HIPOTECARIA SA LHIPO 2019 1A AAA 144A               | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2797452 | PA      | $2562874.44    | 0.19%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5126 FN 08/43 FIXED 4.5                    | CUSIP: 31418EVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     754538 | PA      | $752541.75     | 0.06%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 128 ZN         | CUSIP: 38378HP59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     562978 | PA      | $464290.92     | 0.03%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004461 G2 06/39 FIXED 4.5                 | CUSIP: 36202E5W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48682 | PA      | $48091.07      | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO6478 G2 07/62 FIXED 4.5                 | CUSIP: 3617FJFT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     278922 | PA      | $267989.22     | 0.02%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003121 G2 08/31 FIXED 7                   | CUSIP: 36202DPE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $133.80        | 0.00%             | 2031-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780717 GN 02/28 FIXED 7                      | CUSIP: 36225AYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        220 | PA      | $223.01        | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 714117 GN 08/39 FIXED 6                      | CUSIP: 36297KK67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        990 | PA      | $1018.83       | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782917 GN 04/40 FIXED 4.5                    | CUSIP: 36241LG26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     932556 | PA      | $926638.17     | 0.07%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2640 FR 06/55 FIXED 6.5            | CUSIP: 31427P5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165904 | PA      | $175664.42     | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS6888 G2 03/46 FIXED 3.5                 | CUSIP: 36193SUM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     690400 | PA      | $642582.96     | 0.05%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31490 FG 01/38 FIXED 5              | CUSIP: 31281BUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3440 | PA      | $3471.43       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4574 FN 11/26 FIXED 3                      | CUSIP: 3138AWCL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26327 | PA      | $26185.60      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72300000 | PA      | $63514967.99   | 4.76%             | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7001 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     454665 | PA      | $388045.33     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764423 GN 04/41 FIXED 5                      | CUSIP: 36176FAY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3040 | PA      | $3066.85       | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030658<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -10000000 | PA      | $-8921247.60   | -0.67%            | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-10                                         | FANNIE MAE FNR 2015 10 SA                              | CUSIP: 3136AMZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300920 | PA      | $16156.87      | 0.00%             | 2045-03-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA4844 GN 06/42 FIXED 3.5                    | CUSIP: 36178CLZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120453 | PA      | $113249.33     | 0.01%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546616 GN 10/34 FIXED 5.93                   | CUSIP: 36212XGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34676 | PA      | $35874.23      | 0.00%             | 2034-10-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 458068 GN 03/29 FIXED 6                      | CUSIP: 36208QZ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        677 | PA      | $699.68        | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004498 G2 07/39 FIXED 6                   | CUSIP: 36202E7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1507 | PA      | $1579.90       | 0.00%             | 2039-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785944 G2 02/52 FIXED 3                   | CUSIP: 3622ABP55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1054721 | PA      | $935621.45     | 0.07%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7275 FN 10/53 FIXED 6.5                    | CUSIP: 3140QTCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1197824 | PA      | $1259244.56    | 0.09%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-167                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 167 PO         | CUSIP: 38378ATQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186422 | PA      | $164966.02     | 0.01%             | 2037-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 619466 GN 03/35 FIXED 6                      | CUSIP: 36290WFF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48538 | PA      | $50460.18      | 0.00%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 579868 GN 12/31 FIXED 6                      | CUSIP: 36201DFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $392.09        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1991 G2 03/50 FIXED 3.5                 | CUSIP: 3617MQF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     706659 | PA      | $654647.37     | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 520485 GN 12/35 FIXED 5.5                    | CUSIP: 36211RF20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1711 | PA      | $1714.21       | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX0428 FN 11/52 FIXED 6                      | CUSIP: 3140N4PN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     219151 | PA      | $227822.81     | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4255                                           | FREDDIE MAC FHR 4255 SN                                | CUSIP: 3137B5HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     402776 | PA      | $404443.25     | 0.03%             | 2035-05-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003106 G2 07/31 FIXED 6                   | CUSIP: 36202DNX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3547 | PA      | $3672.48       | 0.00%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005246 G2 11/26 FIXED 3                   | CUSIP: 36202FZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3761 | PA      | $3743.34       | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7020 FR 03/52 FIXED 2.5            | CUSIP: 3133KNYR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156596 | PA      | $133569.97     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBW2A6 PIMCO SWAPTION 3.724 PUT USD 2026051         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -14200000 | NC      | $-122740.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5212 FR 02/43 FIXED 4.5            | CUSIP: 3133KYYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     593549 | PA      | $591954.39     | 0.04%             | 2043-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5183 G2 05/48 FIXED 4.5                 | CUSIP: 36179TXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209488 | PA      | $204059.82     | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AU0736 GN 05/46 FIXED 3.5                    | CUSIP: 36194MY96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     472237 | PA      | $442780.23     | 0.03%             | 2046-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DP1074 G2 01/56 FIXED 6                   | CUSIP: 3618MFFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1093661 | PA      | $1111064.53    | 0.08%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA5561 FN 04/50 FIXED 3.5                    | CUSIP: 3140QDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     731807 | PA      | $682007.90     | 0.05%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-10                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 10 LI          | CUSIP: 38379TXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     833962 | PA      | $137431.28     | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ6054 FN 12/26 FIXED 3                      | CUSIP: 3138AXWQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23630 | PA      | $23491.86      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6161 FR 07/55 FIXED 6.5            | CUSIP: 3133N3Z23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3632238 | PA      | $3704071.56    | 0.28%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711175 GN 02/40 FIXED 4.5                    | CUSIP: 36297GCL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83237 | PA      | $82705.09      | 0.01%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB6642 FR 12/50 FIXED 1.5            | CUSIP: 3133ADLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130589 | PA      | $101348.38     | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0334 FN 01/59 FIXED 3.5                    | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3813669 | PA      | $3461498.71    | 0.26%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q50235 FG 08/47 FIXED 4              | CUSIP: 3132XSHM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     891135 | PA      | $859332.34     | 0.06%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOO8 PIMCO CDSOPT CALL USD 94.31250000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-11815.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3432 FN 02/48 FIXED 3.5                    | CUSIP: 3140H4Y65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     369452 | PA      | $341318.06     | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97VA2 PIMCO FPPSWAPTION 4.3075 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7200000 | NC      | $459928.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0406 FN 02/47 FIXED VAR                    | CUSIP: 3140XFNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     686342 | PA      | $627898.04     | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602555 GN 03/36 FIXED 6                      | CUSIP: 36200JMC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2258 | PA      | $2373.38       | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607533 GN 06/34 FIXED 6.5                    | CUSIP: 36201Y4S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47614 | PA      | $51103.41      | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780622 GN 08/27 FIXED 8                      | CUSIP: 36225AVP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $267.34        | 0.00%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-160                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 160 IG         | CUSIP: 38382KQ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23863072 | PA      | $2688518.66    | 0.20%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-43                                         | FANNIE MAE FNR 2014 43 BS                              | CUSIP: 3136AKKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179414 | PA      | $11480.53      | 0.00%             | 2044-07-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4825                                           | FREDDIE MAC FHR 4825 NI                                | CUSIP: 3137FH6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111237 | PA      | $17855.34      | 0.00%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BG9709 GN 07/48 FIXED 4                      | CUSIP: 3617GUYE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26572 | PA      | $25887.00      | 0.00%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB8509 FR 01/36 FIXED 2              | CUSIP: 3132D6N22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39117 | PA      | $36114.01      | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                          | FANNIEMAE ACES FNA 2020 M33 X2                         | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     580545 | PA      | $26496.42      | 0.00%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003429 G2 08/33 FIXED 5.5                 | CUSIP: 36202DY21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $976.91        | 0.00%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA3439 FN 11/53 FIXED 6.5                    | CUSIP: 3140A3ZD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2380799 | PA      | $2463464.45    | 0.18%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782448 GN 10/38 FIXED 6                      | CUSIP: 36241KWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22061 | PA      | $23266.17      | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0302 G2 04/55 FIXED 2.5                 | CUSIP: 3618N5KQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3687621 | PA      | $3178027.46    | 0.24%             | 2055-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1907 FN 07/47 FIXED VAR                    | CUSIP: 3140XHDM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     694602 | PA      | $656050.90     | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC1RA6 PIMCO SWAPTION 4.75 PUT USD 20260904         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   34200000 | NC      | $81560.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 493532 GN 09/29 FIXED 6                      | CUSIP: 36210JHH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $232.17        | 0.00%             | 2029-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7988 G2 04/52 FIXED 3                   | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10851411 | PA      | $9701417.84    | 0.73%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD7460 FN 11/40 FIXED 4                      | CUSIP: 31418VJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42962 | PA      | $41563.69      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT0789 FR 10/48 FIXED 4              | CUSIP: 3132AC2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7344732 | PA      | $7027299.44    | 0.53%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5081 G2 03/48 FIXED 5.5                 | CUSIP: 36179TUE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1276260 | PA      | $1315877.55    | 0.10%             | 2048-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6400 G2 01/50 FIXED 3.5                 | CUSIP: 36179VDD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36338 | PA      | $32978.53      | 0.00%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO2879 FR 12/39 FIXED 5.5            | CUSIP: 3133WMFU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2868087 | PA      | $2933299.91    | 0.22%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AM4671 FN 10/43 FIXED 5.32                   | CUSIP: 3138L5FM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187721 | PA      | $193658.67     | 0.01%             | 2043-10-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G60344 FG 12/45 FIXED 4              | CUSIP: 31335ALZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2966086 | PA      | $2869479.51    | 0.22%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5467 G2 09/48 FIXED 4.5                 | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55727 | PA      | $54897.18      | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BQ7172 GN 10/49 FIXED 3.5                    | CUSIP: 3617LR6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209848 | PA      | $193324.30     | 0.01%             | 2049-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5295 FN 03/54 FIXED 6                      | CUSIP: 31418E3D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     355456 | PA      | $362534.54     | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4522 FN 10/26 FIXED 3                      | CUSIP: 3138AWAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11386 | PA      | $11329.94      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO2928 FR 12/39 FIXED 5.5            | CUSIP: 3133WMHD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1516521 | PA      | $1555262.11    | 0.12%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 683960 GN 02/38 FIXED 6                      | CUSIP: 36295XZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $115.01        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 553080 GN 02/33 FIXED 5.5                    | CUSIP: 36213FM59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        795 | PA      | $799.93        | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO9464 G2 01/47 FIXED 3                   | CUSIP: 3617FMQR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     484784 | PA      | $435384.59     | 0.03%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA5970 G2 01/43 FIXED 3                   | CUSIP: 36178DT35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     305262 | PA      | $280461.26     | 0.02%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003261 G2 07/32 FIXED 6.5                 | CUSIP: 36202DTS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4283 | PA      | $4451.81       | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKVA0 PIMCO SWAPTION 3.78 PUT USD 20260714         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -32000000 | NC      | $-350880.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AS4938 GN 05/46 FIXED 3.5                    | CUSIP: 36193PPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     301051 | PA      | $278012.04     | 0.02%             | 2046-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050452<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9400000 | PA      | $9461295.14    | 0.71%             | 2041-05-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686944 GN 06/38 FIXED 5.5                    | CUSIP: 36296CER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        640 | PA      | $657.37        | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005175 G2 09/41 FIXED 4.5                 | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11636 | PA      | $11538.88      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8573 FN 06/54 FIXED VAR                    | CUSIP: 3140XQQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1335477 | PA      | $1404566.78    | 0.11%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 738340 G2 09/38 FIXED 5.5                 | CUSIP: 3620ASHR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212623 | PA      | $217511.17     | 0.02%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AF0311 GN 08/43 FIXED 2.5                    | CUSIP: 36181FKY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125314 | PA      | $108835.11     | 0.01%             | 2043-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3663 G2 05/46 FIXED 3.5                 | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1540891 | PA      | $1443981.22    | 0.11%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CB5074 G2 03/51 FIXED 2.5                 | CUSIP: 3617UQT72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9587815 | PA      | $8117805.47    | 0.61%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004767 G2 08/40 FIXED 4.5                 | CUSIP: 36202FJL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3615 | PA      | $3556.69       | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 513701 GN 06/29 FIXED 7.5                    | CUSIP: 36211HU25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $312.40        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004261 G2 10/38 FIXED 6.5                 | CUSIP: 36202EWW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3446 | PA      | $3467.19       | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 470154 GN 03/29 FIXED 7                      | CUSIP: 36209FH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $105.26        | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 630117 GN 06/34 FIXED 5                      | CUSIP: 36291KAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15687 | PA      | $15651.35      | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004834 G2 10/40 FIXED 4.5                 | CUSIP: 36202FLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55312 | PA      | $54878.07      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004880 G2 12/40 FIXED 4.5                 | CUSIP: 36202FM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4462 | PA      | $4374.30       | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18641 FG 04/32 FIXED 3              | CUSIP: 3128MMWB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1889940 | PA      | $1838662.39    | 0.14%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     283000 | PA      | $282230.48     | 0.02%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS4009 FN 12/39 FIXED 3.5                    | CUSIP: 3138WDN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     348399 | PA      | $331818.82     | 0.02%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3862 FN 01/38 FIXED 3                      | CUSIP: 3140H5JG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     359844 | PA      | $338778.48     | 0.03%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 572126 GN 08/34 FIXED 5.5                    | CUSIP: 36200TSP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1087.02       | 0.00%             | 2034-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3346 G2 11/62 FIXED 7                   | CUSIP: 3618AHWF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126057 | PA      | $131696.06     | 0.01%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655652 GN 05/36 FIXED 6.5                    | CUSIP: 36294PL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43189 | PA      | $46059.98      | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DJ9049 G2 06/55 FIXED 7                   | CUSIP: 3618KWBS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     638672 | PA      | $650658.89     | 0.05%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002699 G2 01/29 FIXED 6                   | CUSIP: 36202C7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $210.31        | 0.00%             | 2029-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC1290 G2 08/47 FIXED 3.5                 | CUSIP: 3617B4NF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     848251 | PA      | $789480.55     | 0.06%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005230 G2 11/41 FIXED 4                   | CUSIP: 36202FY34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1112 | PA      | $1049.27       | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7271 FN 09/41 FLOATING VAR                 | CUSIP: 3138EQCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83929 | PA      | $86149.59      | 0.01%             | 2041-09-01      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 685946 GN 08/38 FIXED 6                      | CUSIP: 36296BBP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        872 | PA      | $907.83        | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18652 FG 07/32 FIXED 3              | CUSIP: 3128MMWN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700726 | PA      | $681917.28     | 0.05%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002563 G2 03/28 FIXED 6.5                 | CUSIP: 36202CZ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $300.07        | 0.00%             | 2028-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN1124 G2 06/62 FIXED 4.5                 | CUSIP: 3617YYG91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114074 | PA      | $109602.12     | 0.01%             | 2062-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS         | CUSIP: 38379MX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162247 | PA      | $7921.62       | 0.00%             | 2043-06-20      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 587223 GN 08/32 FIXED 6                      | CUSIP: 36201MLC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        443 | PA      | $463.88        | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                          | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A    | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2984101 | PA      | $2740079.45    | 0.21%             | 2042-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   90750000 | PA      | $89395280.37   | 6.70%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH6574 FN 08/47 FIXED 4                      | CUSIP: 3140GVJU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39368 | PA      | $37786.87      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 726380 GN 10/39 FIXED 4.5                    | CUSIP: 3620AC6R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5692 | PA      | $5641.86       | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG8417 G2 05/48 FIXED 4                   | CUSIP: 3617GTK63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159451 | PA      | $150445.64     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1841 G2 04/44 FIXED 5                   | CUSIP: 36179QBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32937 | PA      | $33460.78      | 0.00%             | 2044-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AP4977 G2 09/45 FIXED 3.5                 | CUSIP: 36188SQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104044 | PA      | $96298.18      | 0.01%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4463                                           | FREDDIE MAC FHR 4463 IO                                | CUSIP: 3137BHGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70021 | PA      | $3684.73       | 0.00%             | 2038-02-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6584 G2 02/62 FIXED 4                   | CUSIP: 3618FFJ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106796 | PA      | $100535.14     | 0.01%             | 2062-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 702082 GN 06/39 FIXED 4.5                    | CUSIP: 36296U6T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14760 | PA      | $14552.97      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   47300000 | PA      | $45655853.89   | 3.42%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                 | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4999999 | PA      | $4590734.14    | 0.34%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1314 FN 01/48 FIXED 4                      | CUSIP: 3140Q8N84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124853 | PA      | $119793.45     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4660 FN 07/42 FIXED 3                      | CUSIP: 31418EFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1044870 | PA      | $969565.29     | 0.07%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-126                                        | FANNIE MAE FNR 2010 126 LS                             | CUSIP: 31398SAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2231796 | PA      | $112007.14     | 0.01%             | 2040-11-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA2311 G2 05/47 FIXED 4.5                 | CUSIP: 3617AER81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1164783 | PA      | $1128772.77    | 0.08%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433705 GN 04/28 FIXED 6.5                    | CUSIP: 36207JYA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1687 | PA      | $1709.15       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1990 G2 03/50 FIXED 3.5                 | CUSIP: 3617MQF76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128026 | PA      | $118681.95     | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QH0440 FR 09/53 FIXED 5              | CUSIP: 3133CCPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     265951 | PA      | $265647.32     | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 538299 GN 01/32 FIXED 6                      | CUSIP: 36212M7L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.76         | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 516767 GN 10/29 FIXED 7.5                    | CUSIP: 36211MCC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17076 | PA      | $17341.45      | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3621                                           | FREDDIE MAC FHR 3621 WI                                | CUSIP: 31398W2S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29873 | PA      | $1604.15       | 0.00%             | 2037-05-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658915 GN 08/36 FIXED 6.5                    | CUSIP: 36294TAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66331 | PA      | $70065.89      | 0.01%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004224 G2 08/38 FIXED 7                   | CUSIP: 36202EVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        610 | PA      | $636.23        | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 693467 GN 06/38 FIXED 5.5                    | CUSIP: 36296KMQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5726 | PA      | $5917.15       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2858 G2 05/48 FIXED 4                   | CUSIP: 3617G9E72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49028 | PA      | $46288.01      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004372 G2 02/39 FIXED 6.5                 | CUSIP: 36202E2D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        668 | PA      | $723.56        | 0.00%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BV9175 G2 09/49 FIXED 4                   | CUSIP: 3617NPFQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     289513 | PA      | $260652.59     | 0.02%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004796 G2 09/40 FIXED 4.5                 | CUSIP: 36202FKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6505 | PA      | $6376.59       | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                 | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3351208 | PA      | $3094016.89    | 0.23%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8091 FN 06/44 FIXED VAR                    | CUSIP: 3138EQ7D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     381120 | PA      | $368302.55     | 0.03%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638685 GN 09/36 FIXED 6.5                    | CUSIP: 36291URE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44885 | PA      | $47868.37      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1642 G2 01/48 FIXED 4                   | CUSIP: 3617BUZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133072 | PA      | $128923.02     | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781328 GN 09/31 FIXED 7                      | CUSIP: 36225BPM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3055 | PA      | $3168.98       | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1412 G2 11/50 FIXED 3.5                 | CUSIP: 3617U8R90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     680362 | PA      | $632382.85     | 0.05%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003248 G2 06/32 FIXED 5.5                 | CUSIP: 36202DTD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        207 | PA      | $208.14        | 0.00%             | 2032-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF         | CUSIP: 38382YAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1922786 | PA      | $1975929.41    | 0.15%             | 2071-08-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4309 G2 03/47 FIXED 3                   | CUSIP: 36179SYE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87886 | PA      | $77968.91      | 0.01%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003025 G2 01/31 FIXED 6.5                 | CUSIP: 36202DLE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        715 | PA      | $742.73        | 0.00%             | 2031-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 719229 GN 07/40 FIXED 4.5                    | CUSIP: 3620A5A66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2379 | PA      | $2359.92       | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H24 FA         | CUSIP: 38384LJ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10318781 | PA      | $10341415.19   | 0.78%             | 2073-02-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8343 FR 07/53 FIXED 6              | CUSIP: 3132DWHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34835853 | PA      | $35736345.31   | 2.68%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U69JA5 PIMCO SWAPTION 3.3125 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17000000 | NC      | $44568.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RC1932 FR 04/36 FIXED 2              | CUSIP: 3133L8ED3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1810944 | PA      | $1668514.06    | 0.13%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4487 FN 02/27 FIXED 3                      | CUSIP: 31417A6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62541 | PA      | $62146.24      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DN9259 G2 12/55 FIXED 6                   | CUSIP: 3618MCJC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6177190 | PA      | $6260298.30    | 0.47%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0250 FR 06/48 FIXED 4              | CUSIP: 3132DMH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53662 | PA      | $51437.86      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5766 G2 02/49 FIXED 5.5                 | CUSIP: 36179UMP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2077294 | PA      | $2128049.93    | 0.16%             | 2049-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781997 GN 11/30 FIXED 8                      | CUSIP: 36241KGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2121 | PA      | $2208.22       | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT0681 FN 03/43 FIXED 3                      | CUSIP: 3138WMXK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     201937 | PA      | $185123.54     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AX5929 GN 02/47 FIXED 4.5                    | CUSIP: 36196HSS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134528 | PA      | $131944.61     | 0.01%             | 2047-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4643 FN 05/42 FIXED 3                      | CUSIP: 31418EER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     581471 | PA      | $536194.42     | 0.04%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AK0730 FN 02/42 FLOATING VAR                 | CUSIP: 3138E4Y47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52529 | PA      | $54235.77      | 0.00%             | 2042-02-01      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 564919 GN 10/31 FIXED 7.5                    | CUSIP: 36213USG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3004 | PA      | $3058.88       | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 783294 G2 03/41 FIXED 4.5                 | CUSIP: 36241LUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55868 | PA      | $54834.22      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 605695 GN 09/34 FIXED 6.5                    | CUSIP: 36200N3C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2444 | PA      | $2590.41       | 0.00%             | 2034-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 467451 GN 01/29 FIXED 6.5                    | CUSIP: 36209CH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        364 | PA      | $377.23        | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BR6606 GN 02/50 FIXED 3                      | CUSIP: 3617M5KT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331832 | PA      | $296629.98     | 0.02%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN1152 FN 11/48 FIXED 4.5                    | CUSIP: 3140JHH63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150300 | PA      | $146941.05     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CK7653 G2 02/52 FIXED 3                   | CUSIP: 3617Y3QE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     728688 | PA      | $650489.43     | 0.05%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                           | FREDDIE MAC FHR 4182 YA                                | CUSIP: 3137B12V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1237314 | PA      | $1212247.63    | 0.09%             | 2028-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BT0861 GN 03/50 FIXED 3                      | CUSIP: 3617MN5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     549227 | PA      | $490957.82     | 0.04%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9974 FN 11/28 FIXED 5.85                   | CUSIP: 3140LMCL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2303000 | PA      | $2399234.56    | 0.18%             | 2028-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9441 FN 09/33 FIXED 5.07                   | CUSIP: 3140LLP39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     818636 | PA      | $848416.26     | 0.06%             | 2033-09-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5272 FN 02/54 FIXED 6                      | CUSIP: 31418E2E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     356623 | PA      | $364497.20     | 0.03%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3500000 | NC      | $178263.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 605066 G2 03/34 FIXED 6                   | CUSIP: 36200NFF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7626 | PA      | $7854.23       | 0.00%             | 2034-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE9832 G2 06/48 FIXED 4.5                 | CUSIP: 3617G44R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9475 | PA      | $9171.97       | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY8301 FN 08/53 FIXED 5                      | CUSIP: 3140NRGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     654619 | PA      | $652874.08     | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB0828 FN 04/54 FIXED 6                      | CUSIP: 3140A94N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4151459 | PA      | $4271958.21    | 0.32%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 713471 GN 06/39 FIXED 4.5                    | CUSIP: 36297JT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41214 | PA      | $41026.64      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE2689 FN 05/47 FIXED 4                      | CUSIP: 3140FM7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15145 | PA      | $14534.97      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004469 G2 06/39 FIXED 5                   | CUSIP: 36202E6E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     264666 | PA      | $269842.27     | 0.02%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004649 G2 03/40 FIXED 4.5                 | CUSIP: 36202FEW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133379 | PA      | $129890.62     | 0.01%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004398 G2 03/39 FIXED 5                   | CUSIP: 36202E3F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $485.40        | 0.00%             | 2039-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB0571 FR 10/36 FIXED 2              | CUSIP: 3132CWT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     180910 | PA      | $166673.44     | 0.01%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785086 G2 06/50 FIXED 3.5                 | CUSIP: 3622AARF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272317 | PA      | $246725.69     | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9974 G2 11/47 FIXED 3.5                 | CUSIP: 3617BSCK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     884563 | PA      | $823269.65     | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12800000 | NC      | $670769.92     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2971 FN 08/45 FIXED VAR                    | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     544280 | PA      | $527377.06     | 0.04%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781345 GN 10/31 FIXED 6                      | CUSIP: 36225BP69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $63.46         | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7090 FN 10/37 FLOATING VAR                 | CUSIP: 3138EP2Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     855253 | PA      | $892778.47     | 0.07%             | 2037-10-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS3767 FR 07/43 FIXED 3.5            | CUSIP: 3132A4FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2067 | PA      | $1952.83       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781995 GN 10/35 FIXED 7.5                    | CUSIP: 36241KGC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $531.46        | 0.00%             | 2035-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                   | KKR FINANCIAL CLO LTD KKR 36A AR 144A                  | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3400000 | PA      | $3404162.42    | 0.26%             | 2034-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 576520 GN 02/32 FIXED 6                      | CUSIP: 36200YPD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        367 | PA      | $381.87        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784283 GN 09/45 FIXED 3.5                    | CUSIP: 3622A2XL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     589715 | PA      | $554929.35     | 0.04%             | 2045-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3500000 | NC      | $208384.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3742 G2 09/39 FIXED 6.5                 | CUSIP: 36179SEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6884 | PA      | $7214.08       | 0.00%             | 2039-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3802 G2 07/46 FIXED 3                   | CUSIP: 36179SGK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     861973 | PA      | $781999.99     | 0.06%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q54427 FG 02/48 FIXED 4              | CUSIP: 3132XW4M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31535 | PA      | $30256.60      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO9700 FN 07/42 FIXED 3.5                    | CUSIP: 3138M1X60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        931 | PA      | $878.77        | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2477 FN 10/48 FIXED 4.5                    | CUSIP: 3140Q9XF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2924902 | PA      | $2872282.89    | 0.22%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546625 GN 12/34 FIXED 5.68                   | CUSIP: 36212XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106078 | PA      | $110456.21     | 0.01%             | 2034-12-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 627038 G2 10/43 FIXED 3.5                 | CUSIP: 36291FS33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1580451 | PA      | $1466615.13    | 0.11%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 635320 GN 12/34 FIXED 5.5                    | CUSIP: 36291QYR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $123.18        | 0.00%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680512 GN 01/40 FIXED 6                      | CUSIP: 36295UAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        925 | PA      | $950.96        | 0.00%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                   | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A           | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     335713 | PA      | $337302.42     | 0.03%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3684                                           | FREDDIE MAC FHR 3684 JI                                | CUSIP: 3137A06E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114336 | PA      | $6314.19       | 0.00%             | 2036-11-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA0244 GN 04/47 FIXED 4                      | CUSIP: 3617ACHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     777147 | PA      | $737551.64     | 0.06%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782382 GN 08/38 FIXED 5.5                    | CUSIP: 36241KUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9030 | PA      | $9306.84       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 755820 GN 11/40 FIXED 4.05                   | CUSIP: 36230QPD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109135 | PA      | $104004.20     | 0.01%             | 2040-11-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 923823 FN 04/37 FIXED 6                      | CUSIP: 31412FLC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202656 | PA      | $210239.82     | 0.02%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5            | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2658451 | PA      | $2750808.55    | 0.21%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 760018 G2 01/39 FIXED 5.5                 | CUSIP: 36176ADX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26221 | PA      | $26266.07      | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4068                                           | FREDDIE MAC FHR 4068 UF                                | CUSIP: 3137ARPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     486094 | PA      | $485125.32     | 0.04%             | 2042-06-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z1A3 PIMCO FPPSWAPTION 4.46 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9600000 | NC      | $574896.96     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4535 FN 11/26 FIXED 3                      | CUSIP: 3138AWBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15053 | PA      | $14971.92      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1425 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1756952 | PA      | $1513662.03    | 0.11%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 787212 G2 10/47 FIXED 3.5                 | CUSIP: 3622AC3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8095986 | PA      | $7461340.95    | 0.56%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 570662 GN 10/31 FIXED 7                      | CUSIP: 36200R5X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        526 | PA      | $534.77        | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL4893 GN 02/45 FIXED 3                      | CUSIP: 36184BNJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12038 | PA      | $10819.26      | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 773221 GN 03/42 FIXED 3.5                    | CUSIP: 36176QYS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2023 | PA      | $1917.53       | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3060 FN 07/32 FIXED 3                      | CUSIP: 31418CMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1043124 | PA      | $1014097.25    | 0.08%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-19                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 19 IO          | CUSIP: 38378BDL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2397938 | PA      | $23.98         | 0.00%             | 2052-08-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ0031 G2 12/62 FIXED 7                   | CUSIP: 3618A2A83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51752 | PA      | $54067.03      | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF1310 G2 03/48 FIXED 4                   | CUSIP: 3617G7N35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45868 | PA      | $43536.94      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3389 FN 06/38 FIXED 4                      | CUSIP: 31418CXT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     335837 | PA      | $329309.42     | 0.02%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H05                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H05 FJ         | CUSIP: 38380QF23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     207157 | PA      | $207714.20     | 0.02%             | 2071-03-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18644 FG 05/32 FIXED 3              | CUSIP: 3128MMWE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1286998 | PA      | $1253051.69    | 0.09%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671330 GN 07/37 FIXED 6                      | CUSIP: 36295HY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        360 | PA      | $371.71        | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 840291 FH 11/41 FLOATING VAR         | CUSIP: 31347AKC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     509192 | PA      | $534315.59     | 0.04%             | 2041-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004182 G2 07/38 FIXED 5.5                 | CUSIP: 36202EUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12259 | PA      | $12241.62      | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 943996 FN 08/37 FIXED 6                      | CUSIP: 31413FGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1237 | PA      | $1268.28       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO DEUTSCHE REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -223721311 | PA      | $-224191125.76 | -16.81%           |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 565091 GN 06/32 FIXED 6.5                    | CUSIP: 36213UXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1146 | PA      | $1180.17       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 450142 GN 12/27 FIXED 7                      | CUSIP: 36208GBK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        850 | PA      | $850.61        | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD0270 GN 05/43 FIXED 4                      | CUSIP: 36180BJP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120439 | PA      | $115551.67     | 0.01%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW6985 FN 07/34 FIXED 4                      | CUSIP: 3138XWXP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     288528 | PA      | $282524.56     | 0.02%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H02 JA         | CUSIP: 38380LQA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2747840 | PA      | $2639521.32    | 0.20%             | 2068-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.25000 03/20/24-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-583114.62    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DM4041 G2 08/52 FIXED 7                   | CUSIP: 3618LTP29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     281371 | PA      | $286337.70     | 0.02%             | 2052-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 737973 G2 01/40 FIXED 5.5                 | CUSIP: 3620AR2E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156481 | PA      | $160079.22     | 0.01%             | 2040-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-29                                         | FANNIE MAE FNR 2013 29 CD                              | CUSIP: 3136ADLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2495684 | PA      | $2444901.67    | 0.18%             | 2028-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2937 FN 04/43 FIXED VAR                    | CUSIP: 3140XJHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3440978 | PA      | $3324051.06    | 0.25%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 631113 GN 06/34 FIXED 6.5                    | CUSIP: 36291LDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1710 | PA      | $1845.65       | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003863 G2 06/36 FIXED 5                   | CUSIP: 36202EJG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2506 | PA      | $2545.30       | 0.00%             | 2036-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7650 G2 10/51 FIXED 3                   | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     830689 | PA      | $743025.30     | 0.06%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030633<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -10000000 | PA      | $-8934767.30   | -0.67%            | 2056-03-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6000000 | NC      | $308064.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ50 | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ50 A2            | CUSIP: 3137HDV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10211920 | PA      | $10061828.26   | 0.75%             | 2034-10-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5654 G2 12/48 FIXED 5.5                 | CUSIP: 36179UH70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2583113 | PA      | $2652654.91    | 0.20%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RC1860 FR 04/36 FIXED 2              | CUSIP: 3133L8B53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3511872 | PA      | $3236773.77    | 0.24%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8835 FN 01/42 FIXED VAR                    | CUSIP: 3138ETY91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1155777 | PA      | $1144463.08    | 0.09%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 736771 G2 11/42 FIXED 3.15                | CUSIP: 3620AQQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     241422 | PA      | $217615.09     | 0.02%             | 2042-11-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA2134 FR 02/50 FIXED 3.5            | CUSIP: 3133KHLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     655546 | PA      | $612827.32     | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-85                                         | FANNIE MAE FNR 2018 85 IO                              | CUSIP: 3136B3QF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     386222 | PA      | $48801.66      | 0.00%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 580971 GN 02/32 FIXED 6                      | CUSIP: 36201EMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        259 | PA      | $267.12        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BR9006 G2 03/50 FIXED 3                   | CUSIP: 3617M8AF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1298249 | PA      | $1160564.46    | 0.09%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 628389 G2 03/35 FIXED 5.5                 | CUSIP: 36291HC28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $429.02        | 0.00%             | 2035-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040669<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -65600000 | PA      | $-61774713.12  | -4.63%            | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE3071 G2 02/48 FIXED 3.5                 | CUSIP: 3617BWMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1134111 | PA      | $1055526.24    | 0.08%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 591849 GN 01/33 FIXED 5.5                    | CUSIP: 36201SQA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        639 | PA      | $642.67        | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-187                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 187 FQ         | CUSIP: 38382LD73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2209415 | PA      | $2061775.86    | 0.15%             | 2050-12-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-22                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 22 ZC          | CUSIP: 38383MRW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9993465 | PA      | $6559649.27    | 0.49%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     369000 | PA      | $366463.02     | 0.03%             | 2026-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 386                                     | FANNIEMAE STRIP FNS 386 14                             | CUSIP: 3136FFSR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36909 | PA      | $8185.56       | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BR8755 G2 02/50 FIXED 3                   | CUSIP: 3617M7WQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8021870 | PA      | $7106397.39    | 0.53%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12069000 | PA      | $11661232.66   | 0.87%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 575443 GN 12/31 FIXED 6                      | CUSIP: 36200XHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        600 | PA      | $608.33        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5663 FN 03/45 FIXED 6                      | CUSIP: 31418FJH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     421486 | PA      | $430780.47     | 0.03%             | 2045-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 543812 GN 02/31 FIXED 6                      | CUSIP: 36212UDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $155.86        | 0.00%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BRYANT PARK FUNDING 2024-22A LTD                                  | BRYANT PARK FUNDING LTD BRYPK 2024 22A A1 144A         | CUSIP: 11766CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2005163.78    | 0.15%             | 2037-04-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 555835 GN 07/31 FIXED 6                      | CUSIP: 36213JPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        420 | PA      | $423.25        | 0.00%             | 2031-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 138 WI         | CUSIP: 38376MCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88723 | PA      | $3584.50       | 0.00%             | 2045-08-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5694 FN 03/55 FIXED 6.5                    | CUSIP: 31418FKG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     345738 | PA      | $354545.68     | 0.03%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY8507 FN 08/53 FIXED 5.5                    | CUSIP: 3140NRNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     811098 | PA      | $827119.93     | 0.06%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 403384 G2 08/33 FIXED 6                   | CUSIP: 36205XCV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1028 | PA      | $1039.87       | 0.00%             | 2033-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8678 FN 06/33 FIXED 4.59                   | CUSIP: 3140LKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8060000 | PA      | $8120174.35    | 0.61%             | 2033-06-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU7598 FN 09/43 FIXED 3                      | CUSIP: 3138X7NQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23353 | PA      | $21351.05      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-14                                                | FANNIE MAE FNR 2002 14 A3                              | CUSIP: 31392CAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     341509 | PA      | $344144.09     | 0.03%             | 2040-10-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8N9A3 PIMCO FPPSWAPTION 4.073 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4200000 | NC      | $167072.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO2621 FR 10/39 FIXED 5.5            | CUSIP: 3133WL4E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1170727 | PA      | $1197203.51    | 0.09%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 439811 GN 01/27 FIXED 7.25                   | CUSIP: 36207RR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        287 | PA      | $287.82        | 0.00%             | 2027-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8561 G2 01/53 FIXED 6                   | CUSIP: 36179XQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1193342 | PA      | $1206927.18    | 0.09%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FA         | CUSIP: 38376RMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $416.62        | 0.00%             | 2065-10-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9367 FN 08/33 FIXED 4.58                   | CUSIP: 3140LLMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1011586.89    | 0.08%             | 2033-08-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 500075 GN 12/29 FIXED 8                      | CUSIP: 36210RQ45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        468 | PA      | $476.75        | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA         | CUSIP: 38379FDK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154571 | PA      | $6810.86       | 0.00%             | 2042-06-20      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6160 FR 05/55 FIXED 6.5            | CUSIP: 3133N3ZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     671187 | PA      | $683654.56     | 0.05%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005095 G2 06/41 FIXED 4.5                 | CUSIP: 36202FUU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5539 | PA      | $5429.49       | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005240 G2 11/41 FIXED 6                   | CUSIP: 36202FZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1517 | PA      | $1595.16       | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-INV2                                  | SEQUOIA MORTGAGE TRUST SEMT 2026 INV2 A26F 144A        | CUSIP: 81750PBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $801971.28     | 0.06%             | 2056-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 464761 GN 08/28 FIXED 7                      | CUSIP: 36208YJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        769 | PA      | $787.77        | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-115                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 115 IO         | CUSIP: 38376GCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13435 | PA      | $0.13          | 0.00%             | 2051-11-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004946 G2 02/41 FIXED 4.5                 | CUSIP: 36202FP75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64517 | PA      | $63997.73      | 0.00%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLW3 PIMCO CDSOPT PUT USD 97.28125000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16500000 | NC      | $-56555.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AY3790 G2 03/47 FIXED 4.5                 | CUSIP: 36196TF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147519 | PA      | $144141.24     | 0.01%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 490925 GN 11/28 FIXED 6                      | CUSIP: 36210FLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $208.72        | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004268 G2 10/38 FIXED 6                   | CUSIP: 36202EW54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        939 | PA      | $987.07        | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB9690 G2 09/47 FIXED 3.5                 | CUSIP: 3617B1XT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     377192 | PA      | $350587.71     | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003910 G2 10/36 FIXED 6                   | CUSIP: 36202EKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $246.30        | 0.00%             | 2036-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3898 FN 11/26 FIXED 3                      | CUSIP: 31417AKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58519 | PA      | $58230.59      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004243 G2 09/38 FIXED 5                   | CUSIP: 36202EWC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1851 | PA      | $1885.97       | 0.00%             | 2038-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 586313 GN 12/34 FIXED 5.5                    | CUSIP: 36201LK29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $272.64        | 0.00%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3345 G2 10/62 FIXED 7                   | CUSIP: 3618AHWE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103419 | PA      | $107053.69     | 0.01%             | 2062-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 675733 G2 07/47 FIXED 3.5                 | CUSIP: 36295NV20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     215533 | PA      | $200336.56     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8455 FR 08/54 FIXED 6.5            | CUSIP: 3132DWMC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10111748 | PA      | $10462930.63   | 0.78%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8447 FR 07/54 FIXED 6              | CUSIP: 3132DWL43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2227236 | PA      | $2272757.40    | 0.17%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CZ8792 G2 05/62 FIXED 4                   | CUSIP: 3618GLXV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162139 | PA      | $152634.73     | 0.01%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5573                                           | FREDDIE MAC FHR 5573 FB                                | CUSIP: 3137HMSG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9855957 | PA      | $9910792.00    | 0.74%             | 2055-09-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0480 G2 07/55 FIXED 3                   | CUSIP: 3618N5RA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1996065 | PA      | $1784529.24    | 0.13%             | 2055-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD2437 GN 05/43 FIXED 3.5                    | CUSIP: 36180DV61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3672 | PA      | $3452.61       | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 755137 GN 01/41 FIXED 3.5                    | CUSIP: 36230PV64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3261 | PA      | $3078.00       | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8659 FN 06/33 FIXED 4.44                   | CUSIP: 3140LKTR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1999161.34    | 0.15%             | 2033-06-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5084 FR 06/53 FIXED 5              | CUSIP: 3133C5UH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106756 | PA      | $106727.16     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2644 FR 09/55 FIXED 6.5            | CUSIP: 31427P5E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     692403 | PA      | $730023.52     | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL1741 FR 12/54 FIXED 6.5            | CUSIP: 31427N5B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1682969 | PA      | $1770722.84    | 0.13%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4843 FN 02/48 FIXED 4                      | CUSIP: 3140H6LZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47863 | PA      | $45857.89      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP1937 G2 09/62 FIXED 5                   | CUSIP: 3617FREJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83305 | PA      | $82957.07      | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AZ8592 GN 04/47 FIXED 4                      | CUSIP: 36197MRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34796 | PA      | $33039.89      | 0.00%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 464451 GN 01/29 FIXED 6                      | CUSIP: 36208X5L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $403.54        | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8AVA6 PIMCO FPPSWAPTION 4.098 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $117246.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11100000 | PA      | $10466608.47   | 0.78%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BO5356 FN 12/49 FIXED 3                      | CUSIP: 3140K05S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     362473 | PA      | $323966.67     | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 565165 GN 10/33 FIXED 6                      | CUSIP: 36213UZ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $228.36        | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ1436 FR 05/54 FIXED 6.5            | CUSIP: 3142GRS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1979931 | PA      | $2084696.67    | 0.16%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724675 GN 04/30 FIXED 4.5                    | CUSIP: 3620ABCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72336 | PA      | $72332.51      | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS7499 G2 02/50 FIXED 3                   | CUSIP: 3617MJKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1886132 | PA      | $1659211.41    | 0.12%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL3873 FR 12/55 FIXED 5              | CUSIP: 31427RJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3289559 | PA      | $3274508.32    | 0.25%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT5929 FN 06/33 FIXED 4                      | CUSIP: 3138WTST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37662 | PA      | $37097.95      | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1152 G2 07/43 FIXED 4.5                 | CUSIP: 36179NH50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122627 | PA      | $120207.15     | 0.01%             | 2043-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4240                                           | FREDDIE MAC FHR 4240 DI                                | CUSIP: 3137B3UJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1107374 | PA      | $173036.74     | 0.01%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0426 FR 07/54 FIXED 6.5            | CUSIP: 31427MPL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1008949 | PA      | $1065893.94    | 0.08%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781356 GN 12/29 FIXED 6.5                    | CUSIP: 36225BQH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.76         | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 535337 GN 09/30 FIXED 7.5                    | CUSIP: 36212JV60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $544.09        | 0.00%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486960 GN 02/29 FIXED 6                      | CUSIP: 36210A5V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.64         | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8743 FN 06/30 FIXED 4.68                   | CUSIP: 3140LKWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11282967 | PA      | $11435847.82   | 0.86%             | 2030-06-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS3013 G2 04/46 FIXED 3.5                 | CUSIP: 36193MK27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     315852 | PA      | $291972.86     | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CT7585 G2 08/62 FIXED 3.5                 | CUSIP: 3618BDNA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127927 | PA      | $116915.82     | 0.01%             | 2062-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO5772 G2 07/62 FIXED 4.5                 | CUSIP: 3617FHMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58782 | PA      | $56478.02      | 0.00%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB9007 FR 02/51 FIXED 1.5            | CUSIP: 3133AGAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32883 | PA      | $25556.49      | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SECURITIES T-48                     | FHLMC STRUCTURED PASS THROUGH FSPC T 48 2A             | CUSIP: 31392UZ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     404748 | PA      | $387552.46     | 0.03%             | 2033-07-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004923 G2 01/41 FIXED 4.5                 | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     260984 | PA      | $258898.16     | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN5170 G2 08/62 FIXED 4.5                 | CUSIP: 3617F4W74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100903 | PA      | $96948.45      | 0.01%             | 2062-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN8190 FN 05/49 FIXED 4                      | CUSIP: 3140JRC41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     184635 | PA      | $175871.28     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-33                                                | FANNIE MAE FNR 2002 33 A3                              | CUSIP: 31392DGW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1398371 | PA      | $1409229.46    | 0.11%             | 2031-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCV5 PIMCO CDSOPT PUT USD 103.53125000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -88000000 | NC      | $-89240.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603840 GN 12/32 FIXED 6                      | CUSIP: 36200KZD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        542 | PA      | $552.72        | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5080                                           | FREDDIE MAC FHR 5080 IQ                                | CUSIP: 3137FXV62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26348365 | PA      | $5356274.76    | 0.40%             | 2050-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647978 GN 08/35 FIXED 5.5                    | CUSIP: 36292F2K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $326.84        | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 456866 GN 05/28 FIXED 7.5                    | CUSIP: 36208PQT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7248 | PA      | $7325.58       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BZ4383 G2 01/52 FIXED 3                   | CUSIP: 3617QY2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21922372 | PA      | $19379686.83   | 1.45%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5534                                           | FREDDIE MAC FHR 5534 FD                                | CUSIP: 3137HLEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1420054 | PA      | $1427839.75    | 0.11%             | 2055-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4250 G2 02/47 FIXED 3                   | CUSIP: 36179SWK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     270778 | PA      | $240226.83     | 0.02%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD8952 FN 11/46 FIXED 3                      | CUSIP: 3140FG5N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     236585 | PA      | $213242.02     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 753768 GN 10/40 FIXED 3.5                    | CUSIP: 36230NFH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132431 | PA      | $124912.50     | 0.01%             | 2040-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257438 FN 10/48 FIXED 6                      | CUSIP: 31371N4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        679 | PA      | $688.21        | 0.00%             | 2048-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5652 G2 12/48 FIXED 4.5                 | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3936449 | PA      | $3875399.60    | 0.29%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 562352 GN 01/34 FIXED 5.5                    | CUSIP: 36213RWM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        462 | PA      | $465.70        | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BS5195 GN 01/50 FIXED 3.5                    | CUSIP: 3617MFXY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52434 | PA      | $48285.03      | 0.00%             | 2050-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 664500 GN 12/37 FIXED 6                      | CUSIP: 36295AGH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        667 | PA      | $691.88        | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5296 FN 03/54 FIXED 5.5                    | CUSIP: 31418E3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9276583 | PA      | $9335300.26    | 0.70%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                           | FREDDIE MAC FHR 4182 QI                                | CUSIP: 3137B0ZL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46553 | PA      | $2058.05       | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003306 G2 11/32 FIXED 5.5                 | CUSIP: 36202DU74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $327.81        | 0.00%             | 2032-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                               | MFRA TRUST MFRA 2020 NQM2 A1 144A                      | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     866987 | PA      | $852552.90     | 0.06%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                     | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A              | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500669.77     | 0.04%             | 2034-07-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 783590 G2 06/41 FIXED 4.5                 | CUSIP: 36241L7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43684 | PA      | $43323.65      | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA         | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5810875 | PA      | $5893760.48    | 0.44%             | 2073-08-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2638 FR 06/55 FIXED 6.5            | CUSIP: 31427P4Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178169 | PA      | $189024.57     | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1360 FN 03/48 FIXED 3.5                    | CUSIP: 3140Q8QN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1165868 | PA      | $1076605.33    | 0.08%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030447<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -10800000 | PA      | $-10316167.88  | -0.77%            | 2041-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG7328 FR 07/53 FIXED 5.5            | CUSIP: 3133C8D93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     365697 | PA      | $372141.01     | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0385 FN 09/40 FIXED VAR                    | CUSIP: 31419ANB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     963338 | PA      | $931539.24     | 0.07%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7183 FN 01/36 FLOATING VAR                 | CUSIP: 3138EP6V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141936 | PA      | $147771.56     | 0.01%             | 2036-01-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 608956 GN 06/36 FIXED 6.5                    | CUSIP: 36202TQH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4035 | PA      | $4293.68       | 0.00%             | 2036-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782288 GN 12/37 FIXED 6.5                    | CUSIP: 36241KRH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10447 | PA      | $11247.01      | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9OPA2 PIMCO FPPSWAPTION 4.4 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   15000000 | NC      | $732381.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $379067.89     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607650 GN 02/33 FIXED 6                      | CUSIP: 36202SBT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        131 | PA      | $135.01        | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA8528 FN 01/51 FIXED 2.5                    | CUSIP: 3140QGPN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5894300 | PA      | $4979113.62    | 0.37%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-97                                         | FANNIE MAE FNR 2017 97 BF                              | CUSIP: 3136B0DY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3495327 | PA      | $3419279.75    | 0.26%             | 2047-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004285 G2 11/38 FIXED 6                   | CUSIP: 36202EXN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35146 | PA      | $35360.18      | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL8208 GN 03/45 FIXED 3.5                    | CUSIP: 36184FDM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16687 | PA      | $15688.12      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G67722 FG 03/49 FIXED 5              | CUSIP: 3132XCSK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1132266 | PA      | $1142315.88    | 0.09%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 559326 GN 11/31 FIXED 6                      | CUSIP: 36213NLF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $376.23        | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2455 G2 05/48 FIXED 4                   | CUSIP: 3617GLWQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34567 | PA      | $32592.69      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6646 G2 05/50 FIXED 3                   | CUSIP: 36179VL32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     380202 | PA      | $332001.46     | 0.02%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP8745 G2 07/62 FIXED 4.5                 | CUSIP: 3617FYWE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     457863 | PA      | $439916.65     | 0.03%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA5366 FN 02/47 FIXED 4                      | CUSIP: 3140QC6C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157953 | PA      | $152537.49     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3287 FN 11/47 FIXED 4                      | CUSIP: 3140H4UM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39359 | PA      | $37716.63      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6321 G2 11/48 FIXED 4.5                 | CUSIP: 3617HGAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97981 | PA      | $95043.27      | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782405 GN 09/38 FIXED 5.5                    | CUSIP: 36241KU63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16881 | PA      | $17560.95      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004426 G2 04/39 FIXED 6                   | CUSIP: 36202E4K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        467 | PA      | $491.07        | 0.00%             | 2039-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003986 G2 05/37 FIXED 6                   | CUSIP: 36202ENB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1473 | PA      | $1563.42       | 0.00%             | 2037-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6029 G2 07/49 FIXED 3                   | CUSIP: 36179UVW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82125 | PA      | $73463.45      | 0.01%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE5651 G2 07/48 FIXED 4.5                 | CUSIP: 3617G0H45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     662485 | PA      | $649724.56     | 0.05%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45 | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ45 A2            | CUSIP: 3137HA4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $3337133.58    | 0.25%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS6229 G2 07/62 FIXED 4                   | CUSIP: 3618AY4N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61483 | PA      | $58030.02      | 0.00%             | 2062-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90133 FG 08/42 FIXED 4              | CUSIP: 3132H3EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1191307 | PA      | $1159379.81    | 0.09%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552557 GN 05/32 FIXED 6                      | CUSIP: 36213EZW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        782 | PA      | $790.32        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ2755 FN 05/48 FIXED 3.5                    | CUSIP: 3140H4BZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     919721 | PA      | $848064.68     | 0.06%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6158 FR 02/55 FIXED 6.5            | CUSIP: 3133N3ZX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1025726 | PA      | $1041087.17    | 0.08%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2006-22                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2006 22 JO          | CUSIP: 38374M2X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     455123 | PA      | $383224.42     | 0.03%             | 2036-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2252 GN 03/45 FIXED 4                      | CUSIP: 36183XQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48523 | PA      | $46526.25      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0810 FN 06/51 FIXED 1.5                    | CUSIP: 3140QK3U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154733 | PA      | $119991.71     | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CF9201 G2 06/47 FIXED 3.5                 | CUSIP: 3617WBGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1166421 | PA      | $1071326.83    | 0.08%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                              | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1        | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     503375 | PA      | $360223.30     | 0.03%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5356 FR 06/53 FIXED 5              | CUSIP: 3133C55R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58697 | PA      | $58548.68      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AR0791 G2 05/46 FIXED 3.5                 | CUSIP: 36192S2Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     659079 | PA      | $605283.61     | 0.05%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AZ1638 GN 02/47 FIXED 4                      | CUSIP: 36197DZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     524755 | PA      | $498019.55     | 0.04%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                           | FREDDIE MAC FHR 4324 IO                                | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51985 | PA      | $3650.84       | 0.00%             | 2036-08-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                 | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89785 | PA      | $88223.90      | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 751206 GN 10/40 FIXED 4.875                  | CUSIP: 36230KKT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44373 | PA      | $44816.84      | 0.00%             | 2040-10-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655661 GN 07/36 FIXED 6.5                    | CUSIP: 36294PMJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38371 | PA      | $40921.94      | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG6222 FR 06/53 FIXED 5              | CUSIP: 3133C64F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67634 | PA      | $67522.59      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3306 FN 03/48 FIXED 4                      | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8377 | PA      | $7970.62       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6607 G2 05/62 FIXED 4                   | CUSIP: 3618FFKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115194 | PA      | $108440.56     | 0.01%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003038 G2 02/31 FIXED 6                   | CUSIP: 36202DLT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $157.72        | 0.00%             | 2031-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5648                                           | FREDDIE MAC FHR 5648 CF                                | CUSIP: 3137HQXV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34400000 | PA      | $34225595.44   | 2.57%             | 2055-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003319 G2 12/32 FIXED 5                   | CUSIP: 36202DVL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        173 | PA      | $175.58        | 0.00%             | 2032-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0056 FR 01/48 FIXED 3.5            | CUSIP: 3132DMBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4931608 | PA      | $4639563.36    | 0.35%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BO1327 FN 08/49 FIXED 3                      | CUSIP: 3140JVPM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1750215 | PA      | $1542367.64    | 0.12%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCA3A2 PIMCO SWAPTION 4.75 PUT USD 20260630         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12100000 | NC      | $10863.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BG5674 GN 07/48 FIXED 4                      | CUSIP: 3617GQJT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248080 | PA      | $241683.82     | 0.02%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4744 FN 01/48 FIXED 4                      | CUSIP: 3140H6HW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22371 | PA      | $21437.58      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462605 GN 03/28 FIXED 7                      | CUSIP: 36208V3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1624 | PA      | $1639.03       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 473539 GN 04/28 FIXED 6.5                    | CUSIP: 36209KBG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4277 | PA      | $4357.62       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0900 FN 07/43 FIXED VAR                    | CUSIP: 3140XGAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7909752 | PA      | $7483041.55    | 0.56%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 770741 G2 06/41 FIXED 4.5                 | CUSIP: 36176NBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84677 | PA      | $82744.29      | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2234 FN 08/38 FIXED 4                      | CUSIP: 3140Q9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77115 | PA      | $75938.84      | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 469689 GN 11/28 FIXED 6                      | CUSIP: 36209EXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $35.13         | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6531 G2 03/50 FIXED 3                   | CUSIP: 36179VHG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1047020 | PA      | $924957.27     | 0.07%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H15 FB         | CUSIP: 38384AV59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1991653 | PA      | $2013801.97    | 0.15%             | 2073-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-195792.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-19                                         | FANNIE MAE FNR 2015 19 AI                              | CUSIP: 3136ANJM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220055 | PA      | $10398.28      | 0.00%             | 2055-04-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003795 G2 12/35 FIXED 5                   | CUSIP: 36202EGC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        928 | PA      | $942.32        | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617705 GN 09/37 FIXED 6                      | CUSIP: 36290UGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        403 | PA      | $423.59        | 0.00%             | 2037-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE4503 G2 12/47 FIXED 3.5                 | CUSIP: 3617BYAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     358339 | PA      | $333370.49     | 0.02%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003932 G2 12/36 FIXED 6.5                 | CUSIP: 36202ELM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        426 | PA      | $455.34        | 0.00%             | 2036-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2756 G2 04/45 FIXED 4.5                 | CUSIP: 36179RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4899815 | PA      | $4846548.29    | 0.36%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOX8 PIMCO CDSOPT PUT USD 96.10156250 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7000000 | NC      | $-11673.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0867 G2 01/56 FIXED 3                   | CUSIP: 3618N56D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5489771 | PA      | $4907984.66    | 0.37%             | 2056-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS5536 G2 06/62 FIXED 4.5                 | CUSIP: 3617MGEH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86786 | PA      | $83384.27      | 0.01%             | 2062-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE9337 G2 12/47 FIXED 3.5                 | CUSIP: 3617G4LS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194751 | PA      | $181266.28     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -171300000 | PA      | $-150231398.45 | -11.26%           | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 489575 GN 12/28 FIXED 6                      | CUSIP: 36210D2G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $115.89        | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004310 G2 12/38 FIXED 6                   | CUSIP: 36202EYF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15238 | PA      | $15322.80      | 0.00%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E03003 FG 01/27 FIXED 3              | CUSIP: 31294MKQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102203 | PA      | $101761.43     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ9940 GN 12/44 FIXED 3.5                    | CUSIP: 36183GBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49855 | PA      | $46870.75      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  121734995 | PA      | $123911942.96  | 9.29%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617223 GN 09/36 FIXED 7                      | CUSIP: 36290TVQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64029 | PA      | $67851.16      | 0.01%             | 2036-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0724 FN 07/54 FIXED VAR                    | CUSIP: 3140W0YW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     802301 | PA      | $846966.07     | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9746 FN 10/28 FIXED 5.61                   | CUSIP: 3140LLZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392000 | PA      | $394091.69     | 0.03%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784896 G2 11/34 FIXED 3.5                 | CUSIP: 3622AAKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     262350 | PA      | $256737.28     | 0.02%             | 2034-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9639 FN 11/36 FIXED VAR                    | CUSIP: 3140XDV94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11186534 | PA      | $10306327.24   | 0.77%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-30                                         | FANNIE MAE FNR 2013 30 JI                              | CUSIP: 3136ADNA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     324986 | PA      | $35270.60      | 0.00%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7651 FN 12/53 FIXED 6.5                    | CUSIP: 3140QTQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2091801 | PA      | $2198462.84    | 0.16%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ3974 G2 09/62 FIXED 5                   | CUSIP: 3618A6MX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     231669 | PA      | $230701.47     | 0.02%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002590 G2 05/28 FIXED 6.5                 | CUSIP: 36202C2X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $80.79         | 0.00%             | 2028-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IMS ECUADORIAN MORTGAGE 2021-1 TRUST                              | IMS ECUADORIAN MORTAGAGE TRUST IMSVA 2021 1 GA 144A    | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6622123 | PA      | $6467354.19    | 0.48%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q61017 FG 01/49 FIXED 4              | CUSIP: 3132VMDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1300082 | PA      | $1247024.31    | 0.09%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1827 FN 05/33 FIXED 4                      | CUSIP: 3140Q9A52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     752861 | PA      | $749493.62     | 0.06%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3598                                           | FREDDIE MAC FHR 3598 JI                                | CUSIP: 31398KZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18509 | PA      | $823.92        | 0.00%             | 2037-10-15      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA5067 GN 07/42 FIXED 3.5                    | CUSIP: 36178CTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9834 | PA      | $9245.65       | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004015 G2 08/37 FIXED 5                   | CUSIP: 36202EN88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $421.84        | 0.00%             | 2037-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2859 G2 06/30 FIXED 3                   | CUSIP: 36179RE88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71293 | PA      | $70083.43      | 0.01%             | 2030-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3243 FN 02/50 FIXED VAR                    | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3292157 | PA      | $3053715.56    | 0.23%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711380 GN 06/33 FIXED 5.5                    | CUSIP: 36297GJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1013 | PA      | $1016.12       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 485602 GN 07/31 FIXED 6.5                    | CUSIP: 36209YNT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        343 | PA      | $352.48        | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8682 FR 01/33 FIXED 3              | CUSIP: 3132A9UF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227935 | PA      | $221221.82     | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8644 G2 02/53 FIXED 3.5                 | CUSIP: 36179XS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8525998 | PA      | $7918795.77    | 0.59%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-65                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 65 YI          | CUSIP: 38382E5Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     873958 | PA      | $129687.94     | 0.01%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670160 GN 01/39 FIXED 6                      | CUSIP: 36295GQM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35109 | PA      | $36239.34      | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOM2 PIMCO CDSOPT CALL USD 94.27343750 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-12581.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU6648 FN 08/28 FIXED 2                      | CUSIP: 3138X6L60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37704 | PA      | $36837.56      | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781719 GN 02/34 FIXED 6                      | CUSIP: 36225B4C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        423 | PA      | $437.60        | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -113 | NC      | $165495.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942320 FN 08/37 FIXED 6                      | CUSIP: 31413DK97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7063 | PA      | $7371.56       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BR9001 G2 03/50 FIXED 3                   | CUSIP: 3617M8AA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200722 | PA      | $179738.76     | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 644856 GN 06/35 FIXED 5                      | CUSIP: 36292CMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6789 | PA      | $6784.94       | 0.00%             | 2035-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0715 FN 12/40 FIXED VAR                    | CUSIP: 31419AYM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     457068 | PA      | $441792.03     | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004369 G2 02/39 FIXED 5                   | CUSIP: 36202E2A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10277 | PA      | $10446.31      | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A    | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278871 | PA      | $280232.57     | 0.02%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP9288 G2 09/62 FIXED 5                   | CUSIP: 3618A0J96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1134672 | PA      | $1129933.78    | 0.08%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA5482 G2 07/42 FIXED 3.5                 | CUSIP: 36178DCT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72006 | PA      | $66456.67      | 0.00%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA83A9 PIMCO FPPSWAPTION 4.693 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $323929.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA9016 G2 07/53 FIXED 5                   | CUSIP: 36179YAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4049932 | PA      | $4030026.66    | 0.30%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A97631 FG 03/41 FIXED 5.5            | CUSIP: 312946PQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40357 | PA      | $41457.17      | 0.00%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN0932 FN 12/48 FIXED 4                      | CUSIP: 3140JHBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     254336 | PA      | $243616.52     | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781389 GN 01/32 FIXED 7.5                    | CUSIP: 36225BRJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5240 | PA      | $5457.73       | 0.00%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H02 FY         | CUSIP: 38380QXB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8620495 | PA      | $8799907.32    | 0.66%             | 2071-01-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 466542 GN 02/29 FIXED 6.5                    | CUSIP: 36209BHT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $107.75        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 705752 GN 01/39 FIXED 6                      | CUSIP: 36297ABV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        308 | PA      | $317.92        | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DM6236 G2 09/55 FIXED 7                   | CUSIP: 3618LV4V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1274811 | PA      | $1316863.84    | 0.10%             | 2055-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4747 G2 03/48 FIXED 4                   | CUSIP: 3617GBHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159500 | PA      | $150362.19     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 345                                            | FREDDIEMAC STRIP FHS 345 C13                           | CUSIP: 31325VRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     397402 | PA      | $65005.58      | 0.00%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-64                                         | FANNIE MAE FNR 2016 64 IA                              | CUSIP: 3136ATUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53175 | PA      | $5849.61       | 0.00%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q56894 FG 06/48 FIXED 4              | CUSIP: 3132Y0UU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61300 | PA      | $58816.06      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP6913 G2 08/61 FIXED 3.5                 | CUSIP: 3617FWVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160426 | PA      | $145877.95     | 0.01%             | 2061-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 HF         | CUSIP: 38380QMV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7672732 | PA      | $7835779.56    | 0.59%             | 2070-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995650 FN 10/38 FIXED VAR                    | CUSIP: 31416CBT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33326 | PA      | $33293.45      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 845233 FN 12/35 FIXED 5                      | CUSIP: 31408ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1717 | PA      | $1699.61       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 659217 GN 09/36 FIXED 7                      | CUSIP: 36294TK61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81020 | PA      | $84538.13      | 0.01%             | 2036-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2616                                                  | FREDDIE MAC FHR 2616 JS                                | CUSIP: 31393QTG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15893 | PA      | $192.14        | 0.00%             | 2027-02-15      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 594845 GN 08/32 FIXED 7                      | CUSIP: 36201VZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5515 | PA      | $5590.71       | 0.00%             | 2032-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 691752 GN 07/38 FIXED 5.5                    | CUSIP: 36296HQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4184 | PA      | $4308.14       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1073 FN 11/39 FIXED VAR                    | CUSIP: 3140W1FP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199203 | PA      | $203224.55     | 0.02%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4394                                           | FREDDIE MAC FHR 4394 WI                                | CUSIP: 3137BEV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37111 | PA      | $2002.00       | 0.00%             | 2041-08-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676291 GN 12/37 FIXED 6                      | CUSIP: 36295PKC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $92.48         | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 451999 GN 11/27 FIXED 8                      | CUSIP: 36208JDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        142 | PA      | $143.45        | 0.00%             | 2027-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5764 G2 02/49 FIXED 4.5                 | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1085641 | PA      | $1067805.74    | 0.08%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9OQA1 PIMCO FPPSWAPTION 4.4 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7500000 | NC      | $460558.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682907 GN 11/40 FIXED 6                      | CUSIP: 36295WU88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6458 | PA      | $6663.95       | 0.00%             | 2040-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 FA         | CUSIP: 38375B8G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50359 | PA      | $50767.15      | 0.00%             | 2063-09-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433717 GN 04/28 FIXED 7                      | CUSIP: 36207JYN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $134.44        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6              | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1113998 | PA      | $1139167.75    | 0.09%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5353 FN 05/54 FIXED 5.5                    | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2973157 | PA      | $2991294.54    | 0.22%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1377 G2 02/50 FIXED 3                   | CUSIP: 3617MPQ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1511815 | PA      | $1329939.50    | 0.10%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H30 FA         | CUSIP: 38376RKZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4867 | PA      | $4884.29       | 0.00%             | 2061-08-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2465902.55    | 0.18%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002549 G2 02/28 FIXED 7.5                 | CUSIP: 36202CZN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $93.00         | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 657482 GN 12/36 FIXED 5.5                    | CUSIP: 36294RM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2179 | PA      | $2245.67       | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-73                                         | FANNIE MAE FNR 2015 73 ES                              | CUSIP: 3136AP7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     282532 | PA      | $185126.17     | 0.01%             | 2045-10-25      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ1959 G2 04/47 FIXED 4                   | CUSIP: 36197EE85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     325654 | PA      | $298783.51     | 0.02%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB6965 G2 07/47 FIXED 3.5                 | CUSIP: 3617AXW26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     864245 | PA      | $801149.79     | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS         | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1531772 | PA      | $180774.85     | 0.01%             | 2049-09-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL TA2342 FR 12/55 FIXED 5              | CUSIP: 3142JQS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3837982 | PA      | $3819665.46    | 0.29%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G61254 FG 01/48 FIXED 4              | CUSIP: 31335BMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186245 | PA      | $178698.35     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 615272 GN 07/33 FIXED 4.5                    | CUSIP: 36290RQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        900 | PA      | $903.57        | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5            | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85064975 | PA      | $85540163.35   | 6.41%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 497372 GN 12/28 FIXED 8                      | CUSIP: 36210NQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        610 | PA      | $618.75        | 0.00%             | 2028-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4632 FN 06/42 FIXED 3                      | CUSIP: 31418EEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     559345 | PA      | $515869.44     | 0.04%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW3079 FN 06/42 FIXED 3                      | CUSIP: 3140MUM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26727 | PA      | $24678.05      | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  109000000 | PA      | $93731484.92   | 7.03%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/20/23-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $754213.03     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9690 FN 10/28 FIXED 4.9                    | CUSIP: 3140LLXU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     353273 | PA      | $358858.98     | 0.03%             | 2028-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004342 G2 01/39 FIXED 5                   | CUSIP: 36202EZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115800 | PA      | $117779.75     | 0.01%             | 2039-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18632 FG 02/32 FIXED 3              | CUSIP: 3128MMV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     370156 | PA      | $360715.07     | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE7249 GN 05/43 FIXED 4                      | CUSIP: 36181BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63990 | PA      | $61393.17      | 0.00%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2641 FR 08/55 FIXED 6.5            | CUSIP: 31427P5B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337513 | PA      | $357166.62     | 0.03%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AK8796 G2 12/45 FIXED 3.75                | CUSIP: 36183SXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1611788 | PA      | $1501435.78    | 0.11%             | 2045-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7107 FN 09/53 FIXED 5.5                    | CUSIP: 3140QS3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     553116 | PA      | $568610.19     | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31313 FG 09/36 FIXED 5.5            | CUSIP: 31281BN63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9888 | PA      | $10162.45      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 891588 G2 03/58 FLOATING VAR              | CUSIP: 36208AZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113818 | PA      | $114512.79     | 0.01%             | 2058-03-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 751958 G2 06/36 FIXED 5.5                 | CUSIP: 36230LE70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11259 | PA      | $11420.41      | 0.00%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ1891 G2 09/48 FIXED 5.5                 | CUSIP: 3617HPC44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25912 | PA      | $25876.27      | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433571 GN 02/28 FIXED 7                      | CUSIP: 36207JT45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.20         | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697857 GN 02/39 FIXED 6                      | CUSIP: 36296QJA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4987 | PA      | $5150.95       | 0.00%             | 2039-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4457 G2 02/39 FIXED 6.5                 | CUSIP: 36179S5S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5725 | PA      | $6168.82       | 0.00%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9465 FN 05/43 FIXED 3.5                    | CUSIP: 31417GQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5922 | PA      | $5581.72       | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 798851 G2 01/43 FIXED 3.5                 | CUSIP: 36177TZR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     633068 | PA      | $583952.36     | 0.04%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4771 G2 10/47 FIXED 4.5                 | CUSIP: 36179TJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115589 | PA      | $112595.28     | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552317 GN 01/32 FIXED 6                      | CUSIP: 36213ESE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        256 | PA      | $260.01        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA2860 FR 01/28 FIXED 2.5            | CUSIP: 31329LE99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17239 | PA      | $17022.81      | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                         | CENTEX HOME EQUITY CXHE 2002 A AV                      | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3369 | PA      | $3359.66       | 0.00%             | 2032-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CI6409 G2 01/52 FIXED 3                   | CUSIP: 3617XBDN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2954642 | PA      | $2645735.23    | 0.20%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782522 GN 12/38 FIXED 7                      | CUSIP: 36241KYT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2279 | PA      | $2392.33       | 0.00%             | 2038-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9461 FN 05/43 FIXED 3                      | CUSIP: 31417GQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141237 | PA      | $129321.75     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8453 FR 08/54 FIXED 5.5            | CUSIP: 3132DWMA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19647715 | PA      | $19763574.15   | 1.48%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3937 G2 09/46 FIXED 3.5                 | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     401340 | PA      | $377876.40     | 0.03%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6527 G2 02/48 FIXED 3.5                 | CUSIP: 3617G1HC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239965 | PA      | $223040.11     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0398 GN 06/42 FIXED 4                      | CUSIP: 36177WNP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     970263 | PA      | $927226.98     | 0.07%             | 2042-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655648 GN 04/36 FIXED 6.5                    | CUSIP: 36294PL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35580 | PA      | $37943.63      | 0.00%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4276 FN 01/27 FIXED 3                      | CUSIP: 31417AXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84841 | PA      | $84389.14      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 738895 GN 10/41 FIXED 4.5                    | CUSIP: 3620AS3C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1027911 | PA      | $1015006.06    | 0.08%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH0034 G2 05/48 FIXED 4.5                 | CUSIP: 3617GWBB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     767322 | PA      | $747951.38     | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 15 WI          | CUSIP: 38380CSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169390 | PA      | $7197.84       | 0.00%             | 2045-11-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS5127 G2 01/62 FIXED 3.5                 | CUSIP: 3618AXVU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     746380 | PA      | $678434.33     | 0.05%             | 2062-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607129 GN 04/34 FIXED 5.5                    | CUSIP: 36201YPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2946 | PA      | $2996.80       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A    | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     987600 | PA      | $823521.32     | 0.06%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618781 GN 01/37 FIXED 5.5                    | CUSIP: 36290VM68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5730 | PA      | $5905.71       | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603710 GN 05/33 FIXED 6.5                    | CUSIP: 36200KVB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8299 | PA      | $8544.65       | 0.00%             | 2033-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784073 G2 11/45 FIXED 4                   | CUSIP: 3622A2Q21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4301263 | PA      | $4107591.68    | 0.31%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5434 FN 01/48 FLOATING VAR                 | CUSIP: 3140JABC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2894317 | PA      | $2902908.45    | 0.22%             | 2048-01-01      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 330                                            | FREDDIEMAC STRIP FHS 330 F4                            | CUSIP: 31351DDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183803 | PA      | $181631.90     | 0.01%             | 2037-10-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3369 G2 01/46 FIXED 4                   | CUSIP: 36179RW62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     386275 | PA      | $364502.31     | 0.03%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM6188 FN 08/49 FLOATING VAR                 | CUSIP: 3140JA2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     628573 | PA      | $655757.04     | 0.05%             | 2049-08-01      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DP3164 G2 01/56 FIXED 6                   | CUSIP: 3618MHQR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5123663 | PA      | $5208304.03    | 0.39%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -178150000 | PA      | $-178740896.83 | -13.40%           | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 593228 GN 09/32 FIXED 7                      | CUSIP: 36201UA53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10807 | PA      | $10980.85      | 0.00%             | 2032-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004164 G2 06/38 FIXED 6                   | CUSIP: 36202ETV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13193 | PA      | $13345.69      | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-73                                         | FANNIE MAE FNR 2014 73 MS                              | CUSIP: 3136ALMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1313033 | PA      | $134188.99     | 0.01%             | 2044-11-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCQ6 PIMCO CDSOPT PUT USD 102.23437500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -23000000 | NC      | $-74319.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9CWA0 PIMCO FPPSWAPTION 4.63 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $212600.88     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 667682 GN 10/38 FIXED 6                      | CUSIP: 36295DXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7070 | PA      | $7379.49       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EFA5 PIMCO FPPSWAPTION 4.52 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $204612.33     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1389 FN 01/29 FIXED 3.82                   | CUSIP: 3140HSRK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     723492 | PA      | $720255.69     | 0.05%             | 2029-01-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 708139 GN 01/39 FIXED 6                      | CUSIP: 36297CV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3577 | PA      | $3729.05       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638425 GN 06/35 FIXED 5.475                  | CUSIP: 36291UHA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101229 | PA      | $104756.96     | 0.01%             | 2035-06-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1015 G2 05/43 FIXED 5                   | CUSIP: 36179NDU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162463 | PA      | $165640.58     | 0.01%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1963 FN 02/45 FIXED VAR                    | CUSIP: 3140J6FD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     131388 | PA      | $123979.71     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY0125 FN 05/53 FIXED 5.5                    | CUSIP: 3140NGD72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     189968 | PA      | $193322.91     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA         | CUSIP: 38379TGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     168314 | PA      | $9442.17       | 0.00%             | 2042-06-20      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC23A0 PIMCO SWAPTION 4.75 PUT USD 20261207         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   16400000 | NC      | $77098.04      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-84                                         | FANNIE MAE FNR 2014 84 AI                              | CUSIP: 3136AL2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     292020 | PA      | $1600.30       | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5198 FR 12/42 FIXED 4.5            | CUSIP: 3133KYX38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285405 | PA      | $284640.73     | 0.02%             | 2042-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6209 G2 10/49 FIXED 3                   | CUSIP: 36179U3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     534145 | PA      | $469886.05     | 0.04%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003582 G2 07/34 FIXED 5                   | CUSIP: 36202D6T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $346.57        | 0.00%             | 2034-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 FG         | CUSIP: 38380QMP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7162473 | PA      | $7299309.55    | 0.55%             | 2070-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003347 G2 02/33 FIXED 6                   | CUSIP: 36202DWG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        264 | PA      | $274.27        | 0.00%             | 2033-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785568 G2 08/51 FIXED 2.5                 | CUSIP: 3622ABCD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392014 | PA      | $337730.21     | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5742 FN 06/45 FIXED 6                      | CUSIP: 31418FLY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     338532 | PA      | $345841.70     | 0.03%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673821 GN 09/38 FIXED 6                      | CUSIP: 36295LSJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3860 | PA      | $4042.15       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9731 FN 10/28 FIXED 5.61                   | CUSIP: 3140LLY54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     266629 | PA      | $268051.68     | 0.02%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784792 G2 08/49 FIXED 4.5                 | CUSIP: 3622AAF90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89666 | PA      | $84194.79      | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1195 FN 01/55 FIXED VAR                    | CUSIP: 3140W1KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3396633 | PA      | $3518502.23    | 0.26%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8420 FR 04/54 FIXED 5.5            | CUSIP: 3132DWK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17551333 | PA      | $17658402.24   | 1.32%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2414 G2 04/48 FIXED 4                   | CUSIP: 3617GLVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28488 | PA      | $26861.35      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462690 GN 04/28 FIXED 7                      | CUSIP: 36208V7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        883 | PA      | $896.47        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0726 FN 01/55 FIXED VAR                    | CUSIP: 3140W0YY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1423379 | PA      | $1502975.13    | 0.11%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004216 G2 08/38 FIXED 6                   | CUSIP: 36202EVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8224 | PA      | $8278.16       | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626938 GN 04/45 FIXED 4                      | CUSIP: 36291FPX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200878 | PA      | $195704.27     | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX7752 G2 11/46 FIXED 3.5                 | CUSIP: 36196KTH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221819 | PA      | $206451.11     | 0.02%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 616069 GN 11/33 FIXED 6                      | CUSIP: 36290SMS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8360 | PA      | $8567.74       | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4594 FR 08/55 FIXED 6.5            | CUSIP: 3142GVC82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4642727 | PA      | $4892753.52    | 0.37%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO7486 G2 08/49 FIXED 3                   | CUSIP: 3617KPJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2563108 | PA      | $2254758.42    | 0.17%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4616 FN 02/48 FIXED 4                      | CUSIP: 3140H6DW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220036 | PA      | $210855.07     | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA7886 GN 05/47 FIXED 4                      | CUSIP: 3617ALXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24535 | PA      | $23296.62      | 0.00%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4034 G2 02/48 FIXED 3.5                 | CUSIP: 3617GAPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     230340 | PA      | $209257.53     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -12500000 | NC      | $-2661.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8376 FN 05/46 FIXED VAR                    | CUSIP: 3138ETJW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     281737 | PA      | $265483.71     | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1102 GN 07/47 FIXED 4                      | CUSIP: 3617B4GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19205 | PA      | $18236.15      | 0.00%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 701840 G2 11/35 FIXED 5.5                 | CUSIP: 36296UV98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3876 | PA      | $3801.37       | 0.00%             | 2035-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS4344 G2 07/46 FIXED 3.5                 | CUSIP: 36193NZH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116785 | PA      | $107227.98     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1138 GN 08/47 FIXED 4                      | CUSIP: 3617B4HP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33791 | PA      | $32086.10      | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 745526 G2 08/30 FIXED 4.5                 | CUSIP: 3620C1HB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40894 | PA      | $40856.53      | 0.00%             | 2030-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                 | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6249289 | PA      | $5781256.49    | 0.43%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680594 GN 12/37 FIXED 6                      | CUSIP: 36295UC74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        823 | PA      | $865.19        | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0909 FN 03/52 FIXED VAR                    | CUSIP: 3140XGAK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2785371 | PA      | $2596283.74    | 0.19%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004849 G2 11/40 FIXED 4                   | CUSIP: 36202FL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47098 | PA      | $44445.70      | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1422 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2583625 | PA      | $2219462.44    | 0.17%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB1457 FR 03/40 FIXED 5.5            | CUSIP: 3132CXTN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2002160 | PA      | $2042584.92    | 0.15%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B7A0 PIMCO FPPSWAPTION 4.43 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $230161.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE2157 FN 03/41 FIXED 4                      | CUSIP: 31419CMF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6429 | PA      | $6223.16       | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8943 FN 12/31 FIXED 5.41                   | CUSIP: 3140LK5D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     814000 | PA      | $851778.68     | 0.06%             | 2031-12-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC9MA4 PIMCO SWAPTION 4.075 PUT USD 2026040         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     400000 | NC      | $86.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 548626 GN 11/32 FIXED 6                      | CUSIP: 36213APK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        553 | PA      | $557.88        | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD8130 G2 11/47 FIXED 3.5                 | CUSIP: 3617BQA73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     395180 | PA      | $367645.32     | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9862 FR 09/53 FIXED 6.5            | CUSIP: 3133KR5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     170233 | PA      | $178761.77     | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 648643 GN 12/35 FIXED 6                      | CUSIP: 36292GS89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        479 | PA      | $492.18        | 0.00%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783177 GN 09/40 FIXED 4.5                    | CUSIP: 36241LQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25112 | PA      | $24982.95      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL4308 FR 02/56 FIXED 5              | CUSIP: 31427RYE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4218398 | PA      | $4206162.04    | 0.32%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QC2713 FR 04/51 FIXED 1.5            | CUSIP: 3133AMAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69712 | PA      | $54323.79      | 0.00%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U63001 FG 07/43 FIXED 3              | CUSIP: 3132JRKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     641753 | PA      | $586914.95     | 0.04%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6475 G2 01/49 FIXED 4.5                 | CUSIP: 3617HGFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36183 | PA      | $35353.94      | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK1962 FN 03/48 FIXED 4                      | CUSIP: 3140HFFC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72527 | PA      | $69323.95      | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                             | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60000000 | PA      | $60945090.60   | 4.57%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q60520 FG 12/48 FIXED 4              | CUSIP: 3132VLSJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165797 | PA      | $159112.26     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 759339 G2 02/41 FIXED 4.5                 | CUSIP: 36230ULU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     499295 | PA      | $487902.11     | 0.04%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1994 G2 03/50 FIXED 3.5                 | CUSIP: 3617MQGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     840562 | PA      | $777138.09     | 0.06%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6217 G2 10/48 FIXED 5                   | CUSIP: 3617HF4A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49861 | PA      | $49625.58      | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 447202 GN 06/27 FIXED 8                      | CUSIP: 36208CX77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $48.32         | 0.00%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5166 FR 07/42 FIXED 3              | CUSIP: 3133KYW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     571729 | PA      | $530185.89     | 0.04%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675612 GN 10/38 FIXED 6                      | CUSIP: 36295NR90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2626 | PA      | $2727.47       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 588160 GN 01/33 FIXED 6                      | CUSIP: 36201NMH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        410 | PA      | $417.21        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH5368 FN 08/47 FIXED 3.5                    | CUSIP: 3140GT6E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159439 | PA      | $149508.86     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 596796 GN 12/32 FIXED 7                      | CUSIP: 36200B7H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        773 | PA      | $786.15        | 0.00%             | 2032-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N30991 FG 07/33 FIXED 5              | CUSIP: 31281BC40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2153 | PA      | $2156.88       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8934767.30    | 0.67%             | 2056-03-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM3927 FN 03/38 FIXED VAR                    | CUSIP: 3140J8LH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     598083 | PA      | $589430.75     | 0.04%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1513 FN 06/53 FIXED 5                      | CUSIP: 3140NHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     224891 | PA      | $224125.10     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784551 G2 11/46 FIXED 3                   | CUSIP: 3622A3BU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4110365 | PA      | $3723880.15    | 0.28%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4421 FN 06/31 FIXED 5.26                   | CUSIP: 3140NY4F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1214163 | PA      | $1264326.14    | 0.09%             | 2031-06-01      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DO7178 G2 01/56 FIXED 6                   | CUSIP: 3618V36P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1465283 | PA      | $1488598.62    | 0.11%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 628130 GN 05/34 FIXED 5.5                    | CUSIP: 36291GY34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        941 | PA      | $944.57        | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG5675 G2 07/48 FIXED 4                   | CUSIP: 3617GQJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32854 | PA      | $31829.53      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784657 G2 01/49 FIXED 5                   | CUSIP: 3622AAB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55527 | PA      | $54672.56      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE2334 G2 11/47 FIXED 4.5                 | CUSIP: 3617BVSX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     418998 | PA      | $408013.47     | 0.03%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 03/18/26-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-84372.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003444 G2 09/33 FIXED 6                   | CUSIP: 36202DZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $389.72        | 0.00%             | 2033-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS3285 FN 09/39 FIXED 3.5                    | CUSIP: 3138WCUK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73406 | PA      | $69999.82      | 0.01%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-20                                         | FANNIE MAE FNR 2013 20 YZ                              | CUSIP: 3136ACVY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     796709 | PA      | $673539.76     | 0.05%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604142 GN 03/33 FIXED 5.5                    | CUSIP: 36200MEP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        654 | PA      | $668.25        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928169 FN 05/35 FIXED 5.5                    | CUSIP: 31412LFJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1018 | PA      | $1027.79       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BR9416 GN 02/50 FIXED 3.5                    | CUSIP: 3617M8N93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     701461 | PA      | $646250.50     | 0.05%             | 2050-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003571 G2 06/34 FIXED 6.5                 | CUSIP: 36202D6G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        526 | PA      | $549.28        | 0.00%             | 2034-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004336 G2 01/39 FIXED 5.5                 | CUSIP: 36202EY94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        782 | PA      | $786.43        | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA5610 G2 05/47 FIXED 3.5                 | CUSIP: 3617AJGT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     317885 | PA      | $295739.08     | 0.02%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2021-104                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 104 IH         | CUSIP: 38382UJG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4303109 | PA      | $723623.28     | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FD         | CUSIP: 38383KZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500694 | PA      | $5584800.18    | 0.42%             | 2074-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1060 G2 06/28 FIXED 3                   | CUSIP: 36179NE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25329 | PA      | $25005.94      | 0.00%             | 2028-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 732484 GN 02/40 FIXED 6                      | CUSIP: 3620AKXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24513 | PA      | $25154.79      | 0.00%             | 2040-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004560 G2 10/39 FIXED 5.5                 | CUSIP: 36202FB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     287880 | PA      | $297243.29     | 0.02%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2639 FR 07/55 FIXED 6.5            | CUSIP: 31427P4Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     302609 | PA      | $320684.21     | 0.02%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS9993 FN 03/54 FIXED VAR                    | CUSIP: 3140XSC76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1110444 | PA      | $1166078.78    | 0.09%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA5646 FR 07/51 FIXED 3              | CUSIP: 3133KMHX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10988792 | PA      | $9683404.36    | 0.73%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780570 GN 05/27 FIXED 7                      | CUSIP: 36225AT34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.50         | 0.00%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 636507 GN 04/35 FIXED 6                      | CUSIP: 36291SDL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74474 | PA      | $78328.20      | 0.01%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RD5261 FR 09/35 FIXED 5.5            | CUSIP: 3133LPZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     313365 | PA      | $320448.09     | 0.02%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 429667 GN 11/33 FIXED 6                      | CUSIP: 36207EJL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        715 | PA      | $724.19        | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6.5 JUMBOS                           | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   65500000 | PA      | $67882845.46   | 5.09%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0395 G2 09/42 FIXED 5                   | CUSIP: 36179MNL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6274 | PA      | $6396.64       | 0.00%             | 2042-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY9999 FN 09/53 FIXED 5                      | CUSIP: 3140NTDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     465228 | PA      | $464410.00     | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL WN2384 FR 06/30 FIXED 4.4            | CUSIP: 3132XGUJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     613318 | PA      | $612302.35     | 0.05%             | 2030-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CG8355 G2 08/51 FIXED 3                   | CUSIP: 3617WNH88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     857458 | PA      | $758569.59     | 0.06%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF8197 G2 04/48 FIXED 4                   | CUSIP: 3617GFDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20673 | PA      | $19390.53      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO2929 FR 01/40 FIXED 5.5            | CUSIP: 3133WMHE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86615 | PA      | $88368.52      | 0.01%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ6392 FN 11/26 FIXED 3                      | CUSIP: 3138AYC64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2930 | PA      | $2911.64       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003931 G2 12/36 FIXED 6                   | CUSIP: 36202ELL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33374 | PA      | $35035.08      | 0.00%             | 2036-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 579538 GN 03/32 FIXED 6                      | CUSIP: 36201CZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $128.85        | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX2488 FN 10/44 FIXED 4                      | CUSIP: 3138Y3XS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304501 | PA      | $296449.38     | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004673 G2 04/40 FIXED 4.5                 | CUSIP: 36202FFN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4344 | PA      | $4258.32       | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 561562 GN 08/31 FIXED 7                      | CUSIP: 36213QZ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.90         | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H27                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H27 FA         | CUSIP: 38383KHN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19683966 | PA      | $19962591.00   | 1.50%             | 2073-11-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780992 GN 12/28 FIXED 8                      | CUSIP: 36225BC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $351.47        | 0.00%             | 2028-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3962                                           | FREDDIE MAC FHR 3962 KS                                | CUSIP: 3137AJKA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96420 | PA      | $5613.63       | 0.00%             | 2038-06-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2633 FN 11/48 FIXED 4.5                    | CUSIP: 3140Q94T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1195360 | PA      | $1173855.13    | 0.09%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN6663 GN 06/45 FIXED 3.5                    | CUSIP: 36186PML5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     208781 | PA      | $196288.16     | 0.01%             | 2045-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 647070 G2 07/35 FIXED 5.5                 | CUSIP: 36292E2B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6350 | PA      | $6460.70       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AY8218 GN 01/47 FIXED 4                      | CUSIP: 36196YDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105414 | PA      | $100043.26     | 0.01%             | 2047-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8813 G2 04/48 FIXED 4                   | CUSIP: 3617B0YJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176655 | PA      | $165694.97     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 659146 GN 08/36 FIXED 7                      | CUSIP: 36294THX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16573 | PA      | $16898.82      | 0.00%             | 2036-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BC9026 FN 11/46 FIXED 3                      | CUSIP: 3140F5A45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     676365 | PA      | $612579.57     | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673066 GN 09/38 FIXED 6                      | CUSIP: 36295KW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50381 | PA      | $53131.97      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2815 FN 05/35 FLOATING VAR                 | CUSIP: 3138EKDV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79711 | PA      | $82104.13      | 0.01%             | 2035-05-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 436760 GN 02/27 FIXED 7.5                    | CUSIP: 36207NE91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1800 | PA      | $1804.48       | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781574 GN 03/33 FIXED 6                      | CUSIP: 36225BXB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        279 | PA      | $288.52        | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5976 G2 06/49 FIXED 3.5                 | CUSIP: 36179UT93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     474658 | PA      | $433106.75     | 0.03%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-17                                         | FANNIE MAE FNR 2016 17 CS                              | CUSIP: 3136ARWA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97225 | PA      | $4623.98       | 0.00%             | 2046-04-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1680 G2 02/44 FIXED 5                   | CUSIP: 36179N2M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43409 | PA      | $44098.40      | 0.00%             | 2044-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677194 GN 06/38 FIXED 5.5                    | CUSIP: 36295QKF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6465 | PA      | $6706.16       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                                  | FREDDIE MAC FHR 4836 PO                                | CUSIP: 3137FJE21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1246442 | PA      | $791595.29     | 0.06%             | 2058-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5764 GN 07/45 FIXED 4                      | CUSIP: 36186NMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     462123 | PA      | $440889.67     | 0.03%             | 2045-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 635459 GN 03/36 FIXED 6                      | CUSIP: 36291Q5U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        489 | PA      | $503.92        | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4280 FN 01/27 FIXED 3                      | CUSIP: 31417AXJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79182 | PA      | $78729.75      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SNT8 PIMCO CDSOPT CALL USD 100.00000000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -9000000 | NC      | $-11449.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY9525 FN 08/53 FIXED 5                      | CUSIP: 3140NSSP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     674339 | PA      | $672096.03     | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 180 WI         | CUSIP: 38376T6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     261818 | PA      | $11078.20      | 0.00%             | 2045-09-20      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 476985 GN 03/29 FIXED 6                      | CUSIP: 36209N2S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $615.52        | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 082088 G2 06/38 FLOATING VAR              | CUSIP: 36225EKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21487 | PA      | $21873.38      | 0.00%             | 2038-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004316 G2 12/38 FIXED 6                   | CUSIP: 36202EYM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     193146 | PA      | $203066.74     | 0.02%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5548 FN 05/38 FLOATING VAR                 | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     480250 | PA      | $499397.42     | 0.04%             | 2038-05-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9CVA1 PIMCO FPPSWAPTION 4.63 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $210908.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                 | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     267202 | PA      | $263146.72     | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004211 G2 08/38 FIXED 6.5                 | CUSIP: 36202EVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5859 | PA      | $6013.99       | 0.00%             | 2038-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1130 G2 07/28 FIXED 3                   | CUSIP: 36179NHF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41147 | PA      | $40690.36      | 0.00%             | 2028-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX3590 FN 06/41 FIXED 4.5                    | CUSIP: 3138Y47C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     440685 | PA      | $428250.87     | 0.03%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052458<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -36000000 | PA      | $-36674267.76  | -2.75%            | 2041-05-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -282800000 | PA      | $-258696678.86 | -19.39%           | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5711 G2 01/49 FIXED 4.5                 | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     628817 | PA      | $619456.63     | 0.05%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ0963 FN 05/34 FIXED 5.41                   | CUSIP: 3140NVB97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9494684 | PA      | $9968296.18    | 0.75%             | 2034-05-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -20500000 | PA      | $-18862694.11  | -1.41%            | 2041-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS5746 G2 02/63 FIXED 2.5                 | CUSIP: 3618AYL32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     421070 | PA      | $346918.65     | 0.03%             | 2063-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD4642 FR 01/54 FIXED 6.5            | CUSIP: 3132DSEP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1508074 | PA      | $1584358.68    | 0.12%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004483 G2 07/39 FIXED 4                   | CUSIP: 36202E6U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4252 | PA      | $3970.83       | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784674 G2 04/48 FIXED 3.5                 | CUSIP: 3622AACK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     595527 | PA      | $554569.24     | 0.04%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4712 G2 09/47 FIXED 4.5                 | CUSIP: 36179TGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53101 | PA      | $51725.94      | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675215 GN 03/38 FIXED 7                      | CUSIP: 36295NDU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        303 | PA      | $305.59        | 0.00%             | 2038-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8736 FN 01/49 FIXED 4.5                    | CUSIP: 3140HNV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74163 | PA      | $72771.44      | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31276 FG 01/36 FIXED 4.5            | CUSIP: 31281BMZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18735 | PA      | $18763.56      | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2997 FN 05/32 FIXED 3                      | CUSIP: 31418CKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     517166 | PA      | $502563.54     | 0.04%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552566 GN 05/32 FIXED 6.5                    | CUSIP: 36213EZ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $115.03        | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 793047 GN 02/42 FIXED 4                      | CUSIP: 36177ML59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9177 | PA      | $8804.24       | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD6727 FR 07/54 FIXED 6.5            | CUSIP: 3132DUPL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1704619 | PA      | $1793299.58    | 0.13%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 596696 GN 11/32 FIXED 6.5                    | CUSIP: 36200B3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1043 | PA      | $1086.86       | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8910 FN 03/31 FIXED 4.99                   | CUSIP: 3140LK3U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     977846 | PA      | $998791.39     | 0.07%             | 2031-03-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0898 FN 10/41 FIXED 4.5                    | CUSIP: 31417Y7L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22125 | PA      | $21281.85      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS5790 G2 04/46 FIXED 3.5                 | CUSIP: 36193QNF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     374308 | PA      | $348382.94     | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 528149 GN 05/33 FIXED 5.5                    | CUSIP: 36212AWJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2246 | PA      | $2252.91       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 726253 GN 10/42 FIXED 3.5                    | CUSIP: 3620ACZS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25500 | PA      | $23959.71      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1497 FN 07/37 FIXED VAR                    | CUSIP: 3140J5UX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     602664 | PA      | $591864.66     | 0.04%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3493 FN 05/35 FIXED VAR                    | CUSIP: 3140X63B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     845457 | PA      | $828954.04     | 0.06%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ2604 G2 09/48 FIXED 4                   | CUSIP: 3617HP3M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     242583 | PA      | $229325.05     | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2903 FN 02/32 FIXED 3                      | CUSIP: 31418CGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     361412 | PA      | $351970.49     | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AQ7377 GN 12/45 FIXED 3                      | CUSIP: 36189YFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442531 | PA      | $398907.21     | 0.03%             | 2045-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 03/18/26-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7756.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QX7955 FR 03/55 FIXED 6.5            | CUSIP: 31426DZV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     201704 | PA      | $213210.72     | 0.02%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q56464 FG 06/48 FIXED 4              | CUSIP: 3132Y0FE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89653 | PA      | $86020.63      | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4096                                           | FREDDIE MAC FHR 4096 PI                                | CUSIP: 3137ATCE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63143 | PA      | $791.57        | 0.00%             | 2027-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5128 G2 04/48 FIXED 4.5                 | CUSIP: 36179TVV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46384 | PA      | $45181.88      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA3450 GN 07/42 FIXED 3                      | CUSIP: 36178AZP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18531 | PA      | $16949.61      | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA8234 FN 12/50 FIXED 3                      | CUSIP: 3140QGEG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7813326 | PA      | $6999227.71    | 0.52%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AU5890 G2 05/46 FIXED 3.5                 | CUSIP: 36194TRK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     283630 | PA      | $257760.11     | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462422 GN 12/27 FIXED 7.5                    | CUSIP: 36208VVP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $7.32          | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0937 G2 04/43 FIXED 5                   | CUSIP: 36179NBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27359 | PA      | $27893.56      | 0.00%             | 2043-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 782156 G2 05/37 FIXED 5                   | CUSIP: 36241KMD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43421 | PA      | $44155.51      | 0.00%             | 2037-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-72                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 72 ID          | CUSIP: 38380WH28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3219622 | PA      | $596883.50     | 0.04%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH8543 G2 07/48 FIXED 4.5                 | CUSIP: 3617H6P42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39295 | PA      | $38055.27      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4277 FN 01/27 FIXED 3                      | CUSIP: 31417AXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42870 | PA      | $42625.13      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0615 FN 11/38 FIXED VAR                    | CUSIP: 31419AVH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9826 | PA      | $10313.38      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U91486 FG 05/43 FIXED 4              | CUSIP: 3132HBRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     866325 | PA      | $843109.16     | 0.06%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5680 FN 04/45 FIXED 6                      | CUSIP: 31418FJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     360047 | PA      | $367986.55     | 0.03%             | 2045-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-214                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 214 HI         | CUSIP: 38383FCZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2630834 | PA      | $335353.48     | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FD         | CUSIP: 38382Y5F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1396162 | PA      | $1420681.56    | 0.11%             | 2073-05-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004771 G2 08/40 FIXED 4.5                 | CUSIP: 36202FJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48664 | PA      | $48194.08      | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2178                                                  | FREDDIE MAC FHR 2178 PI                                | CUSIP: 3133TLUJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        310 | PA      | $25.64         | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3244 G2 11/45 FIXED 3.5                 | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9561929 | PA      | $8964245.47    | 0.67%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462737 GN 05/28 FIXED 6.5                    | CUSIP: 36208WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $72.63         | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA6009 FN 05/50 FIXED 3.5                    | CUSIP: 3140QDVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256840 | PA      | $236649.26     | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                    | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A         | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      68076 | PA      | $68160.27      | 0.01%             | 2029-10-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6600000 | NC      | $327398.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH6393 G2 07/48 FIXED 4.5                 | CUSIP: 3617H4C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59982 | PA      | $58078.49      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724182 GN 08/39 FIXED 5.5                    | CUSIP: 3620AARB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51519 | PA      | $53236.09      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546621 GN 10/34 FIXED 5.87                   | CUSIP: 36212XG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47734 | PA      | $49584.86      | 0.00%             | 2034-10-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE5659 G2 04/48 FIXED 4                   | CUSIP: 3617G0JC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258414 | PA      | $243669.89     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY5041 FN 07/53 FIXED 4.5                    | CUSIP: 3140NMS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     683830 | PA      | $664116.95     | 0.05%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9315 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216194 | PA      | $203145.17     | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004638 G2 02/40 FIXED 5.5                 | CUSIP: 36202FEK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34029 | PA      | $35135.37      | 0.00%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE0537 FN 11/46 FIXED 3                      | CUSIP: 3140FKS35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251261 | PA      | $227564.17     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SH32 PIMCO CDSOPT PUT USD 94.09375000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8500000 | NC      | $-20199.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 497343 GN 12/28 FIXED 6                      | CUSIP: 36210NP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1407 | PA      | $1428.81       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1670 G2 06/48 FIXED 4                   | CUSIP: 3617BU2B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34641 | PA      | $33560.71      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2087 FN 05/47 FIXED 4                      | CUSIP: 3140GQJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52529 | PA      | $50490.15      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0091 G2 05/42 FIXED 5                   | CUSIP: 36179MC40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69386 | PA      | $70743.32      | 0.01%             | 2042-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5444                                           | FREDDIE MAC FHR 5444 FC                                | CUSIP: 3137HFD77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1584590 | PA      | $1594828.55    | 0.12%             | 2054-08-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004194 G2 07/38 FIXED 5.5                 | CUSIP: 36202EUT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1166 | PA      | $1198.53       | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0461 FR 11/50 FIXED 3              | CUSIP: 3132DMQN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14326995 | PA      | $12704883.39   | 0.95%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5066 G2 03/48 FIXED 3                   | CUSIP: 36179TTX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     373734 | PA      | $331554.41     | 0.02%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3090 FN 08/32 FIXED 3                      | CUSIP: 31418CNG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     458680 | PA      | $445772.77     | 0.03%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1278 G2 09/43 FIXED 3                   | CUSIP: 36179NM39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28828 | PA      | $25578.04      | 0.00%             | 2043-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004222 G2 08/38 FIXED 6                   | CUSIP: 36202EVP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        695 | PA      | $740.10        | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 612430 GN 01/34 FIXED 5.5                    | CUSIP: 36202XLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        726 | PA      | $727.82        | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784346 G2 07/47 FIXED 3.5                 | CUSIP: 3622A2ZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     750411 | PA      | $704132.38     | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781402 GN 02/32 FIXED 7.5                    | CUSIP: 36225BRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7928 | PA      | $8320.56       | 0.00%             | 2032-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 749776 GN 09/41 FIXED 3.5                    | CUSIP: 3620C56M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17376 | PA      | $16389.73      | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CF9202 G2 06/51 FIXED 3.5                 | CUSIP: 3617WBGK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     692126 | PA      | $638909.09     | 0.05%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A       | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5848473 | PA      | $5090440.50    | 0.38%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLG8 PIMCO CDSOPT PUT USD 101.97656250 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -14000000 | NC      | $-58136.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 496465 GN 01/29 FIXED 6.5                    | CUSIP: 36210MQS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4525 | PA      | $4710.17       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2678 FN 01/52 FIXED VAR                    | CUSIP: 3140XH6Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5868799 | PA      | $4987233.69    | 0.37%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI8200 G2 09/48 FIXED 4.5                 | CUSIP: 3617HJDD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     712702 | PA      | $690213.53     | 0.05%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS         | CUSIP: 38379QFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     519191 | PA      | $336765.69     | 0.03%             | 2045-09-20      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785399 G2 03/51 FIXED 2.5                 | CUSIP: 3622AA3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35943277 | PA      | $31088535.70   | 2.33%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004839 G2 12/38 FIXED 7                   | CUSIP: 36202FLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8392 | PA      | $8643.60       | 0.00%             | 2038-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781929 GN 06/35 FIXED 6                      | CUSIP: 36241KEA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2357 | PA      | $2467.18       | 0.00%             | 2035-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBW3A5 PIMCO SWAPTION 3.224 CALL USD 202605         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10400000 | NC      | $12918.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 705724 GN 12/38 FIXED 6                      | CUSIP: 36297AAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1064 | PA      | $1106.64       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2007-28                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 28 BO          | CUSIP: 38375J8N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4840 | PA      | $3962.09       | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 791069 GN 02/42 FIXED 3.5                    | CUSIP: 36177KFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12432 | PA      | $11688.17      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0025 G2 04/42 FIXED 5                   | CUSIP: 36179MA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     302842 | PA      | $308768.62     | 0.02%             | 2042-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W6                                      | FANNIEMAE WHOLE LOAN FNW 2002 W6 3A                    | CUSIP: 31392DG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     746990 | PA      | $726281.01     | 0.05%             | 2042-01-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 774325 GN 06/42 FIXED 3.5                    | CUSIP: 36176SA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8676 | PA      | $8156.70       | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        161 | NC      | $-421419.43    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AK8789 G2 06/45 FIXED 3.75                | CUSIP: 36183SXS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     773199 | PA      | $720738.75     | 0.05%             | 2045-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 723526 GN 12/39 FIXED 4.5                    | CUSIP: 3620A9YX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55087 | PA      | $54375.25      | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM1222 G2 05/49 FIXED 3.5                 | CUSIP: 3617JRLB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     131128 | PA      | $120421.73     | 0.01%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS3885 FN 11/51 FIXED VAR                    | CUSIP: 3140XKJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1669008 | PA      | $1469781.90    | 0.11%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DP1011 G2 12/55 FIXED 6                   | CUSIP: 3618MFDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     452194 | PA      | $459470.96     | 0.03%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783202 GN 12/40 FIXED 4.5                    | CUSIP: 36241LRX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     288165 | PA      | $285662.07     | 0.02%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 464766 GN 08/28 FIXED 7.5                    | CUSIP: 36208YJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        330 | PA      | $333.38        | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785663 G2 10/51 FIXED 2.5                 | CUSIP: 3622ABFC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320990 | PA      | $276540.92     | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700829 GN 10/38 FIXED 5.5                    | CUSIP: 36296TSS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        924 | PA      | $943.92        | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO4573 GN 08/45 FIXED 3.5                    | CUSIP: 3617A5CJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105114 | PA      | $98760.38      | 0.01%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 848812 FH 10/39 FLOATING VAR         | CUSIP: 31300LYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     515111 | PA      | $534562.49     | 0.04%             | 2039-10-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2718 FN 05/47 FIXED 4                      | CUSIP: 3140GRAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59245 | PA      | $56772.51      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 788799 FH 05/31 FLOATING VAR         | CUSIP: 31295MX47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2532 | PA      | $2577.56       | 0.00%             | 2031-05-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2931 FN 03/32 FIXED 3                      | CUSIP: 31418CHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     349040 | PA      | $339429.15     | 0.03%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 665193 GN 02/37 FIXED 5.5                    | CUSIP: 36295A7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $411.02        | 0.00%             | 2037-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS6270 G2 08/62 FIXED 4                   | CUSIP: 3618AY6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     164203 | PA      | $154981.89     | 0.01%             | 2062-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3241 FN 03/50 FIXED VAR                    | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6162683 | PA      | $5514641.49    | 0.41%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4832 G2 04/48 FIXED 4                   | CUSIP: 3617GBLM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67291 | PA      | $63436.23      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9966 FN 08/43 FIXED VAR                    | CUSIP: 3140XECC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20252579 | PA      | $19122255.32   | 1.43%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BL2178 G2 02/49 FIXED 4.5                 | CUSIP: 3617JEM38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     654080 | PA      | $635429.73     | 0.05%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD8980 FN 11/46 FIXED 3                      | CUSIP: 3140FG6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248287 | PA      | $224869.41     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CV9576 G2 07/61 FIXED 4                   | CUSIP: 3618F6T97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     332837 | PA      | $313324.93     | 0.02%             | 2061-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL T62071 FG 08/46 FIXED 3              | CUSIP: 3128S3JQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251881 | PA      | $223417.12     | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737532 GN 10/40 FIXED 4                      | CUSIP: 3620ARLM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47258 | PA      | $45144.36      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK9295 FR 02/33 FIXED 3              | CUSIP: 3131XDKG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     223367 | PA      | $216201.89     | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603586 GN 03/33 FIXED 6.5                    | CUSIP: 36200KRF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1155 | PA      | $1154.89       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8229 FN 06/30 FIXED 4.5                    | CUSIP: 3140LKEB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $100900.02     | 0.01%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 03/19/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5979530.33   | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 488727 GN 03/29 FIXED 6.25                   | CUSIP: 36210C4L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12354 | PA      | $12672.63      | 0.00%             | 2029-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H16                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H16 HF         | CUSIP: 38380QKM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19149755 | PA      | $19468786.50   | 1.46%             | 2070-09-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-42                                         | FANNIE MAE FNR 2014 42 SA                              | CUSIP: 3136AKPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132757 | PA      | $5056.81       | 0.00%             | 2044-07-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 763891 G2 10/43 FIXED 3.5                 | CUSIP: 36176ENG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     414197 | PA      | $388333.31     | 0.03%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E02997 FG 10/26 FIXED 3              | CUSIP: 31294MKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8560 | PA      | $8522.06       | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 03/19/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $250477.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9QYA7 PIMCO FPPSWAPTION 4.55875 PUT USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6500000 | NC      | $372645.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM0076 FN 03/50 FIXED VAR                    | CUSIP: 3140X3CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4417167 | PA      | $3951759.53    | 0.30%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H20 FA         | CUSIP: 38382YYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     249173 | PA      | $250252.12     | 0.02%             | 2072-08-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005132 G2 07/41 FIXED 5.5                 | CUSIP: 36202FVZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2554 | PA      | $2550.61       | 0.00%             | 2041-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   88000000 | PA      | $89539301.28   | 6.71%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ1373 FR 01/54 FIXED 5.5            | CUSIP: 3142GRQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     651687 | PA      | $655662.13     | 0.05%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA6528 FR 04/49 FIXED 4              | CUSIP: 31329QHD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2400237 | PA      | $2299270.80    | 0.17%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 473492 GN 04/28 FIXED 6.5                    | CUSIP: 36209J7D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1112 | PA      | $1140.69       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 UO                                | CUSIP: 3137FJJY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     570073 | PA      | $355549.00     | 0.03%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SM10 PIMCO CDSOPT CALL USD 98.46875000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9000000 | NC      | $19452.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z2A2 PIMCO FPPSWAPTION 4.46 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9600000 | NC      | $485652.48     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003473 G2 11/33 FIXED 5.5                 | CUSIP: 36202D2E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        951 | PA      | $971.77        | 0.00%             | 2033-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCO1 PIMCO CDSOPT PUT USD 101.11328125 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -39000000 | NC      | $-265866.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618681 GN 10/36 FIXED 6.5                    | CUSIP: 36290VJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1274 | PA      | $1341.36       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004697 G2 05/40 FIXED 5                   | CUSIP: 36202FGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2961229 | PA      | $3017424.25    | 0.23%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY9962 FN 08/53 FIXED 5.5                    | CUSIP: 3140NTB84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     840077 | PA      | $857564.24     | 0.06%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546577 GN 10/33 FIXED 5.875                  | CUSIP: 36212XFS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70139 | PA      | $70671.29      | 0.01%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003080 G2 05/31 FIXED 6.5                 | CUSIP: 36202DM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $347.51        | 0.00%             | 2031-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0141 FN 08/39 FIXED 4.5                    | CUSIP: 31417YEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7615 | PA      | $7400.62       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785762 G2 11/51 FIXED 2.5                 | CUSIP: 3622ABJF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133526 | PA      | $115034.73     | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0922 G2 02/56 FIXED 3.5                 | CUSIP: 3618N6AY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     598212 | PA      | $536219.92     | 0.04%             | 2056-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2643 FR 09/55 FIXED 6.5            | CUSIP: 31427P5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     427721 | PA      | $451216.17     | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H06                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H06 PT         | CUSIP: 38381TC60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2573565 | PA      | $2497569.01    | 0.19%             | 2069-01-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SC52 PIMCO CDSOPT PUT USD 102.32812500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -22000000 | NC      | $-91225.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9989 FN 07/28 FIXED 6.01                   | CUSIP: 3140LMC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1135218 | PA      | $1175685.66    | 0.09%             | 2028-07-01      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1282 G2 09/43 FIXED 5                   | CUSIP: 36179NM70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40443 | PA      | $40331.75      | 0.00%             | 2043-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003238 G2 05/32 FIXED 6                   | CUSIP: 36202DS36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        436 | PA      | $452.89        | 0.00%             | 2032-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ3981 G2 09/62 FIXED 5                   | CUSIP: 3618A6M65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144872 | PA      | $144267.21     | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BC2612 FN 10/46 FIXED 3                      | CUSIP: 3140EW3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68710 | PA      | $62434.10      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 783352 G2 03/41 FIXED 4.5                 | CUSIP: 36241LWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     723388 | PA      | $711422.64     | 0.05%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890407 FN 02/42 FIXED VAR                    | CUSIP: 31410LGQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     883234 | PA      | $853524.88     | 0.06%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS4470 G2 08/53 FIXED 6                   | CUSIP: 3618AW6F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16686771 | PA      | $17424740.24   | 1.31%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724033 GN 11/39 FIXED 6                      | CUSIP: 3620AALN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1388 | PA      | $1425.02       | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG3366 FR 05/53 FIXED 5.5            | CUSIP: 3133C3W36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101214 | PA      | $103651.72     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 738348 G2 11/34 FIXED 5.5                 | CUSIP: 3620ASHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25697 | PA      | $25746.33      | 0.00%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607768 GN 03/33 FIXED 5.5                    | CUSIP: 36202SFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        991 | PA      | $996.75        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BE6179 GN 12/47 FIXED 4                      | CUSIP: 3617G02L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6836 | PA      | $6479.61       | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3310 G2 12/45 FIXED 3.5                 | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7103069 | PA      | $6681524.69    | 0.50%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7079 FN 07/35 FIXED VAR                    | CUSIP: 3138EP2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     927802 | PA      | $909951.14     | 0.07%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31271 FG 01/36 FIXED 4.5            | CUSIP: 31281BMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15507 | PA      | $15292.82      | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN4325 FN 01/49 FIXED 4.5                    | CUSIP: 3140JLYX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67285 | PA      | $66189.25      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QH8387 FR 01/54 FIXED 6.5            | CUSIP: 3133CMJ88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256281 | PA      | $267460.44     | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680575 GN 06/40 FIXED 6                      | CUSIP: 36295UCL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        696 | PA      | $712.22        | 0.00%             | 2040-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB7673 FN 01/33 FIXED 2.5                    | CUSIP: 31417EQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     192825 | PA      | $183598.51     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLV5 PIMCO CDSOPT CALL USD 100.28125000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16500000 | NC      | $-14635.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603708 GN 05/33 FIXED 6                      | CUSIP: 36200KU96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22211 | PA      | $22625.84      | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5728 GN 06/45 FIXED 3                      | CUSIP: 36186NLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60536 | PA      | $55209.93      | 0.00%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QU8224 FR 09/54 FIXED 6.5            | CUSIP: 3133JMD53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700586 | PA      | $710867.60     | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0143 G2 01/55 FIXED 3.5                 | CUSIP: 3618N5ER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  111155965 | PA      | $102057519.23  | 7.65%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004113 G2 04/38 FIXED 5                   | CUSIP: 36202ESA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84367 | PA      | $85782.64      | 0.01%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782029 GN 01/36 FIXED 6                      | CUSIP: 36241KHE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        788 | PA      | $821.93        | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 586780 GN 05/33 FIXED 6                      | CUSIP: 36201L2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        527 | PA      | $539.08        | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004311 G2 12/38 FIXED 6.5                 | CUSIP: 36202EYG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        518 | PA      | $520.50        | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3635                                           | FREDDIE MAC FHR 3635 IB                                | CUSIP: 31398WJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37185 | PA      | $1836.12       | 0.00%             | 2037-10-15      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -12500000 | NC      | $-67866.25     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6992 G2 09/53 FIXED 6                   | CUSIP: 3618FFXV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77418 | PA      | $80242.70      | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 739341 GN 10/41 FIXED 3.5                    | CUSIP: 3620ATLW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54848 | PA      | $51465.71      | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 471863 GN 04/28 FIXED 6.5                    | CUSIP: 36209HFC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1296 | PA      | $1304.68       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -20000000 | PA      | $-17858120.20  | -1.34%            | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004047 G2 11/37 FIXED 5                   | CUSIP: 36202EP86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9780 | PA      | $9895.21       | 0.00%             | 2037-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI          | CUSIP: 38380B7Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85371 | PA      | $3951.13       | 0.00%             | 2045-12-20      | Floating      | 1.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 683868 GN 02/38 FIXED 6                      | CUSIP: 36295XW50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        271 | PA      | $281.62        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942867 FN 08/37 FIXED 6                      | CUSIP: 31413D6C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4561 | PA      | $4774.52       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2419 FN 02/50 FIXED VAR                    | CUSIP: 3140X5VM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8319694 | PA      | $7331642.32    | 0.55%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-76                                         | FANNIE MAE FNR 2016 76 CS                              | CUSIP: 3136ATY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41736 | PA      | $1795.99       | 0.00%             | 2046-10-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5089 FR 06/53 FIXED 5              | CUSIP: 3133C5UN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179149 | PA      | $178758.55     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17826 FG 01/27 FIXED 3              | CUSIP: 3128PXVT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65436 | PA      | $65088.36      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP          | CUSIP: 38378MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1042193 | PA      | $114821.09     | 0.01%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI0258 GN 06/44 FIXED 3.5                    | CUSIP: 36198KJB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212569 | PA      | $199847.73     | 0.01%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-116                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 116 DI         | CUSIP: 38375C5W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148241 | PA      | $1851.30       | 0.00%             | 2027-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -90950000 | PA      | $-76444186.23  | -5.73%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA6967 GN 08/42 FIXED 3.5                    | CUSIP: 36178EW47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28672 | PA      | $26939.59      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17834 FG 01/27 FIXED 3              | CUSIP: 3128PXV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6577 | PA      | $6542.26       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE 2004-46                                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 46 AO          | CUSIP: 38374G5Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30500 | PA      | $25653.76      | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 14 CO          | CUSIP: 38376WBS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37257 | PA      | $31538.64      | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1199 G2 08/28 FIXED 3                   | CUSIP: 36179NKL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78120 | PA      | $77283.49      | 0.01%             | 2028-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | J P MORGAN TERM REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       3970 | PA      | $3970.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3474 FN 09/48 FIXED 4.5                    | CUSIP: 31418C2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47080 | PA      | $44761.25      | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 434985 GN 12/30 FIXED 8.5                    | CUSIP: 36207LF29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $365.70        | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784208 GN 07/46 FIXED 4                      | CUSIP: 3622A2U91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1061235 | PA      | $1034029.81    | 0.08%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS8509 FN 12/46 FIXED 3                      | CUSIP: 3138WJN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1647766 | PA      | $1501543.52    | 0.11%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602097 GN 01/33 FIXED 6                      | CUSIP: 36200H3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        640 | PA      | $644.46        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781481 GN 01/32 FIXED 7.5                    | CUSIP: 36225BUE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3769 | PA      | $3912.21       | 0.00%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 450609 GN 11/27 FIXED 7                      | CUSIP: 36208GR67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2934 | PA      | $2952.51       | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004019 G2 08/37 FIXED 7                   | CUSIP: 36202EPC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2180 | PA      | $2276.94       | 0.00%             | 2037-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU8471 FN 09/28 FIXED 2                      | CUSIP: 3138X8MV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21885 | PA      | $21324.82      | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2004-35                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 35 BO          | CUSIP: 38374GPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     190346 | PA      | $164835.52     | 0.01%             | 2034-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U69IA6 PIMCO SWAPTION 4.3125 PUT USD 202606         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17000000 | NC      | $23211.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0612 G2 09/55 FIXED 6.5                 | CUSIP: 3618N5VE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4491665 | PA      | $4597575.39    | 0.34%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SNS0 PIMCO CDSOPT CALL USD 100.03125000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4500000 | NC      | $-5505.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18663 FG 10/32 FIXED 3              | CUSIP: 3128MMWZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     731073 | PA      | $711134.34     | 0.05%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 447213 GN 06/27 FIXED 7.5                    | CUSIP: 36208CYJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.06         | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699307 GN 10/38 FIXED 6                      | CUSIP: 36296R3Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        326 | PA      | $337.73        | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 612936 GN 07/33 FIXED 5.5                    | CUSIP: 36202X4V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3056 | PA      | $3073.59       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM3478 G2 11/45 FIXED 3                   | CUSIP: 3617YN2K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1092530 | PA      | $981170.07     | 0.07%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785314 G2 12/70 FLOATING VAR              | CUSIP: 3622AAYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2447169 | PA      | $2510870.91    | 0.19%             | 2070-12-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5538                                           | FREDDIE MAC FHR 5538 AF                                | CUSIP: 3137HKXR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3501724 | PA      | $3527130.65    | 0.26%             | 2055-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLU7 PIMCO CDSOPT PUT USD 95.20703125 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -33000000 | NC      | $-188070.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AQ6679 G2 10/45 FIXED 3.5                 | CUSIP: 36189XM43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122785 | PA      | $113293.34     | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD2806 G2 01/48 FIXED 4                   | CUSIP: 3617BJDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     787839 | PA      | $744791.17     | 0.06%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003831 G2 03/36 FIXED 6                   | CUSIP: 36202EHG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1146 | PA      | $1201.64       | 0.00%             | 2036-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005115 G2 07/41 FIXED 4.5                 | CUSIP: 36202FVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116624 | PA      | $115656.10     | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      28253 | PA      | $275152.11     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4950000 | PA      | $4162640.63    | 0.31%             | 2056-04-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR2133 G2 05/61 FIXED 4                   | CUSIP: 3618AGLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     946263 | PA      | $890793.11     | 0.07%             | 2061-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG6635 G2 04/48 FIXED 4                   | CUSIP: 3617GRLQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54239 | PA      | $50873.65      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9M7A6 PIMCO FPPSWAPTION 4.44 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $337916.32     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9595 G2 11/47 FIXED 3.5                 | CUSIP: 3617BRUU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     731812 | PA      | $681113.83     | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-92                                         | FANNIE MAE FNR 2025 92 FA                              | CUSIP: 3136BXU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4044133 | PA      | $4082045.87    | 0.31%             | 2055-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD4259 FR 11/53 FIXED 6.5            | CUSIP: 3132E0WU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3925804 | PA      | $4121736.49    | 0.31%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 464672 GN 01/28 FIXED 7                      | CUSIP: 36208YFM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $210.61        | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 HF         | CUSIP: 38382Y3K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19049581 | PA      | $19282420.58   | 1.45%             | 2073-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604481 GN 07/33 FIXED 6                      | CUSIP: 36200MRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126321 | PA      | $128715.40     | 0.01%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 612228 GN 07/33 FIXED 5.5                    | CUSIP: 36202XD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        861 | PA      | $863.87        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1619 | NC      | $-3284429.21   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31480 FG 04/37 FIXED 5              | CUSIP: 31281BUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10934 | PA      | $11034.55      | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 498147 GN 12/29 FIXED 8.5                    | CUSIP: 36210PL44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.63         | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 776852 GN 08/42 FIXED 3.5                    | CUSIP: 36176UZR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7208 | PA      | $6771.55       | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H12 FB         | CUSIP: 38380QDL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   62265764 | PA      | $63139340.42   | 4.73%             | 2070-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1782 FN 05/53 FIXED 6                      | CUSIP: 3140NH6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     255005 | PA      | $261649.37     | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ9921 FN 03/48 FIXED 4                      | CUSIP: 3140HCAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53250 | PA      | $50919.84      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 565069 GN 01/32 FIXED 6                      | CUSIP: 36213UW63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $147.63        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16500000 | NC      | $-79658.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603517 GN 02/33 FIXED 6.5                    | CUSIP: 36200KPA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21102 | PA      | $21388.30      | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DD6416 FN 04/55 FIXED 6.5                    | CUSIP: 3140B7DW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4293125 | PA      | $4442274.16    | 0.33%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676842 GN 05/38 FIXED 5.5                    | CUSIP: 36295P5B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45961 | PA      | $47811.21      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL4307 FR 03/56 FIXED 5              | CUSIP: 31427RYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1163995 | PA      | $1160619.24    | 0.09%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638221 GN 12/34 FIXED 6                      | CUSIP: 36291UAW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14313 | PA      | $14769.52      | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5            | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7016 | PA      | $7242.54       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 615672 GN 10/33 FIXED 6.5                    | CUSIP: 36290R6H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1555 | PA      | $1577.12       | 0.00%             | 2033-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q55189 FG 04/48 FIXED 4              | CUSIP: 3132XXXT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42252 | PA      | $40539.49      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 736582 FN 09/28 FIXED 4.5                    | CUSIP: 31402SJ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4009 | PA      | $4001.87       | 0.00%             | 2028-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5280 FR 06/53 FIXED 5              | CUSIP: 3133C52M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86474 | PA      | $86255.43      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784673 G2 01/49 FIXED 5.5                 | CUSIP: 3622AACJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     390523 | PA      | $401964.87     | 0.03%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF3074 G2 07/48 FIXED 4                   | CUSIP: 3617G9MX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5112 | PA      | $4819.56       | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AT7573 G2 06/46 FIXED 3.5                 | CUSIP: 36194GMW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     595365 | PA      | $546767.94     | 0.04%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31476 FG 12/37 FIXED 5              | CUSIP: 31281BT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3663 | PA      | $3693.17       | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV7503 FN 04/37 FIXED 2                      | CUSIP: 3140MMKR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1544712 | PA      | $1422673.79    | 0.11%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SNB7 PIMCO CDSOPT PUT USD 101.37500000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16500000 | NC      | $-30584.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 640156 GN 02/35 FIXED 5.5                    | CUSIP: 36291WE56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1545 | PA      | $1549.23       | 0.00%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL K00034 FG 05/37 FIXED 5.5            | CUSIP: 31301ABB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1939 | PA      | $1984.96       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                 | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     438354 | PA      | $402473.39     | 0.03%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5403 G2 08/48 FIXED 6.5                 | CUSIP: 36179UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1379 | PA      | $1464.10       | 0.00%             | 2048-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8402 FR 02/54 FIXED 6              | CUSIP: 3132DWKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1650087 | PA      | $1685375.58    | 0.13%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 743298 GN 05/40 FIXED 4.05                   | CUSIP: 3620AXX37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134034 | PA      | $127809.97     | 0.01%             | 2040-05-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0620 G2 09/55 FIXED 4                   | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     395399 | PA      | $370782.88     | 0.03%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003557 G2 05/34 FIXED 6                   | CUSIP: 36202D5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1371 | PA      | $1420.40       | 0.00%             | 2034-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR4587 G2 08/60 FIXED 3.5                 | CUSIP: 3618AKCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62087 | PA      | $56434.66      | 0.00%             | 2060-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W8                                      | FANNIEMAE WHOLE LOAN FNW 2002 W8 A6                    | CUSIP: 31392DR38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     358383 | PA      | $356425.96     | 0.03%             | 2042-03-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL CL6201 GN 03/52 FIXED 4                      | CUSIP: 3617YD3J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     295435 | PA      | $277933.08     | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785789 G2 12/51 FIXED 2.5                 | CUSIP: 3622ABKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137853 | PA      | $118763.11     | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698452 GN 08/39 FIXED 4.5                    | CUSIP: 36296Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     313123 | PA      | $309350.26     | 0.02%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782167 GN 06/37 FIXED 6                      | CUSIP: 36241KMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $366.88        | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLD5 PIMCO CDSOPT CALL USD 99.89062500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4500000 | NC      | $-72.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704660 GN 08/39 FIXED 4.5                    | CUSIP: 36296XZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1528 | PA      | $1522.41       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7122 FR 11/54 FIXED 6.5            | CUSIP: 3132DU4F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1599290 | PA      | $1681725.78    | 0.13%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ3933 G2 09/62 FIXED 5                   | CUSIP: 3618A6LN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173045 | PA      | $172321.96     | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2614                                                  | FREDDIE MAC FHR 2614 WO                                | CUSIP: 31393QQ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87406 | PA      | $77289.06      | 0.01%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002689 G2 12/28 FIXED 6.5                 | CUSIP: 36202C7A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        645 | PA      | $670.27        | 0.00%             | 2028-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CC2221 FN 03/56 FIXED 5                      | CUSIP: 3140Y8PF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4438334 | PA      | $4420650.80    | 0.33%             | 2056-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8AUA7 PIMCO FPPSWAPTION 4.098 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $202787.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                     | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A          | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2101050.00    | 0.16%             | 2035-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 435073 GN 03/31 FIXED 8                      | CUSIP: 36207LJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16889 | PA      | $17276.02      | 0.00%             | 2031-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AY5148 G2 09/38 FIXED 4                   | CUSIP: 36196UWH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     753816 | PA      | $735432.14     | 0.06%             | 2038-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-46                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 46 OC          | CUSIP: 38376YAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161980 | PA      | $153927.19     | 0.01%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5351 FR 06/45 FIXED 6              | CUSIP: 3133KY5L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     513704 | PA      | $524485.28     | 0.04%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0002 G2 04/27 FIXED 3                   | CUSIP: 36179MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10625 | PA      | $10549.54      | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                                         | FANNIE MAE FNR 2013 34 PS                              | CUSIP: 3136ADQR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     317662 | PA      | $19112.33      | 0.00%             | 2042-08-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE9991 GN 06/43 FIXED 2.5                    | CUSIP: 36181EC44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50203 | PA      | $43507.54      | 0.00%             | 2043-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CH5381 G2 10/51 FIXED 2.5                 | CUSIP: 3617WW6S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1529028 | PA      | $1294594.65    | 0.10%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U61264 FG 07/42 FIXED 4              | CUSIP: 3132GNQR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     308351 | PA      | $300879.60     | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO0365 G2 08/49 FIXED 4.5                 | CUSIP: 3617KFMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     651514 | PA      | $630962.16     | 0.05%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2125 FN 06/53 FIXED 5                      | CUSIP: 3140NJLF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141438 | PA      | $141622.70     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN8477 GN 08/45 FIXED 3.5                    | CUSIP: 36186SM21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     211781 | PA      | $199103.32     | 0.01%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AD8811 G2 03/43 FIXED 3                   | CUSIP: 36180MYG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94920 | PA      | $87266.93      | 0.01%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785667 G2 10/51 FIXED 2.5                 | CUSIP: 3622ABFG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     540564 | PA      | $465707.49     | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6210 G2 10/49 FIXED 3.5                 | CUSIP: 36179U3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99617 | PA      | $90402.93      | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697489 GN 09/38 FIXED 6                      | CUSIP: 36296P2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        495 | PA      | $517.11        | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU5741 FN 08/28 FIXED 2                      | CUSIP: 3138X5LX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100290 | PA      | $97791.76      | 0.01%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 737865 G2 07/33 FIXED 5.5                 | CUSIP: 3620ARW23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55225 | PA      | $55345.68      | 0.00%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6275 G2 11/49 FIXED 3.5                 | CUSIP: 36179U6L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1081661 | PA      | $981614.26     | 0.07%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0303 G2 04/55 FIXED 3                   | CUSIP: 3618N5KR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6322797 | PA      | $5663077.71    | 0.42%             | 2055-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8492 FR 08/53 FIXED 5              | CUSIP: 3133C9NH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1207511 | PA      | $1204905.04    | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17900000 | NC      | $985491.66     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4950000 | PA      | $-4162640.63   | -0.31%            | 2056-04-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 640960 GN 05/35 FIXED 5.5                    | CUSIP: 36291XB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        723 | PA      | $725.85        | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-69                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 69 FB          | CUSIP: 38379BJ33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5279949 | PA      | $5228110.78    | 0.39%             | 2036-06-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004049 G2 11/37 FIXED 6                   | CUSIP: 36202EQA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3176 | PA      | $3339.09       | 0.00%             | 2037-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 608205 GN 06/33 FIXED 5.5                    | CUSIP: 36202SU63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        594 | PA      | $602.88        | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6164 FR 09/55 FIXED 6.5            | CUSIP: 3133N3Z56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1983347 | PA      | $2023162.18    | 0.15%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3465 FN 09/38 FIXED 4                      | CUSIP: 31418CZ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     310059 | PA      | $303931.85     | 0.02%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9995 FN 04/30 FIXED 6.66                   | CUSIP: 3140LMC98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1978677 | PA      | $2117843.30    | 0.16%             | 2030-04-01      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5712 FN 05/40 FIXED 5.5                    | CUSIP: 31418FK22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     262206 | PA      | $267500.45     | 0.02%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 590382 GN 08/32 FIXED 6.5                    | CUSIP: 36201Q2P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $377.70        | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO3001 FR 01/40 FIXED 5.5            | CUSIP: 3133WMKN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1365098 | PA      | $1396129.84    | 0.10%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA5787 FN 01/54 FIXED 6                      | CUSIP: 3140A6ND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21898 | PA      | $22469.22      | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q54654 FG 03/48 FIXED 4              | CUSIP: 3132XXE47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15617 | PA      | $14984.30      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN1092 G2 07/62 FIXED 4.5                 | CUSIP: 3617YYF92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     950800 | PA      | $913530.76     | 0.07%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                 | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31404 | PA      | $30957.29      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780650 GN 10/27 FIXED 6.5                    | CUSIP: 36225AWK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        566 | PA      | $568.73        | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA6148 G2 03/43 FIXED 3                   | CUSIP: 36178DZM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     245091 | PA      | $221091.52     | 0.02%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9610 FN 09/38 FIXED 5.3                    | CUSIP: 3140LLVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     895680 | PA      | $939434.73     | 0.07%             | 2038-09-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4061 G2 11/46 FIXED 4.5                 | CUSIP: 36179SQN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10445 | PA      | $10174.40      | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698516 GN 10/38 FIXED 5.5                    | CUSIP: 36296RAR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        343 | PA      | $352.22        | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC24A9 PIMCO SWAPTION 3.45 CALL USD 2026060         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8800000 | NC      | $-22004.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO9088 GN 11/45 FIXED 4.5                    | CUSIP: 3617AACZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2652 | PA      | $2607.85       | 0.00%             | 2045-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 561599 GN 09/31 FIXED 7                      | CUSIP: 36213Q3G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1129 | PA      | $1142.80       | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BR8988 G2 12/49 FIXED 3                   | CUSIP: 3617M76Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     335238 | PA      | $300276.58     | 0.02%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM3638 FN 08/44 FIXED VAR                    | CUSIP: 3140J8BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141119 | PA      | $136496.01     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9NPA4 PIMCO FPPSWAPTION 4.4 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   16200000 | NC      | $790971.48     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 WO                                | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2765937 | PA      | $1773621.47    | 0.13%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8717 G2 03/53 FIXED 6.5                 | CUSIP: 36179XVJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1072609 | PA      | $1108354.42    | 0.08%             | 2053-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 653765 GN 03/36 FIXED 7                      | CUSIP: 36292NJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40904 | PA      | $41205.81      | 0.00%             | 2036-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANCO LA HIPOTECARIA SA 2016-1A                                   | LA HIPOTECARIA SA LHIPO 2016 1A A 144A                 | CUSIP: 50346VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |    1367254 | PA      | $1267377.18    | 0.10%             | 2046-01-15      | Fixed         | 3.36%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3172 G2 12/62 FIXED 7                   | CUSIP: 3618AHQZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     874012 | PA      | $911015.28     | 0.07%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2730 FN 11/48 FIXED 4.5                    | CUSIP: 3140QAA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2552201 | PA      | $2504713.13    | 0.19%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724247 GN 08/39 FIXED 5                      | CUSIP: 3620AATC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7884 | PA      | $7986.37       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 63 ZJ          | CUSIP: 38383RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1796077 | PA      | $1155193.03    | 0.09%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784894 G2 02/48 FIXED 3.5                 | CUSIP: 3622AAKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     938091 | PA      | $871973.64     | 0.07%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 681612 GN 11/38 FIXED 6                      | CUSIP: 36295VGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38157 | PA      | $39671.79      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3046 FN 03/52 FIXED 2.5                    | CUSIP: 3140QNL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     390281 | PA      | $333508.96     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1384 FN 02/29 FIXED 3.75                   | CUSIP: 3140HSRE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3654707 | PA      | $3627459.39    | 0.27%             | 2029-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC3WA6 PIMCO SWAPTION 4.75 PUT USD 20260611         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   46800000 | NC      | $27307.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673207 GN 10/38 FIXED 6                      | CUSIP: 36295K3Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1851 | PA      | $1945.82       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBYBA2 PIMCO SWAPTION 3.967 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -13000000 | NC      | $-77027.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO9471 G2 06/62 FIXED 4.5                 | CUSIP: 3617FMQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51549 | PA      | $49527.98      | 0.00%             | 2062-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0427 FN 02/37 FIXED VAR                    | CUSIP: 3140XFPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     282914 | PA      | $260647.98     | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CZ2594 G2 05/62 FIXED 4                   | CUSIP: 3618GD3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2210825 | PA      | $2081213.62    | 0.16%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA3718 FN 06/49 FIXED 4                      | CUSIP: 3140QBDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4106127 | PA      | $3932546.80    | 0.29%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U96ZA0 PIMCO FPPSWAPTION 4.265 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3600000 | NC      | $234259.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/17/26-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1153.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647458 GN 10/35 FIXED 6                      | CUSIP: 36292FJB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1068 | PA      | $1113.75       | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK4763 G2 11/48 FIXED 4.5                 | CUSIP: 3617J5JG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148983 | PA      | $145188.31     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08789 FG 11/47 FIXED 4              | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205785 | PA      | $197987.10     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8N8A4 PIMCO FPPSWAPTION 4.073 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4200000 | NC      | $297031.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004680 G2 04/40 FIXED 5.5                 | CUSIP: 36202FFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     152345 | PA      | $157300.72     | 0.01%             | 2040-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -105050000 | PA      | $-108588447.47 | -8.14%            | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003039 G2 02/31 FIXED 6.5                 | CUSIP: 36202DLU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $167.84        | 0.00%             | 2031-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-189                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 189 IM         | CUSIP: 38382MGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19741540 | PA      | $3142375.38    | 0.24%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                                           | FREDDIE MAC FHR 4165 TI                                | CUSIP: 3137AYSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     540878 | PA      | $24445.27      | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ1530 FR 05/54 FIXED 6.5            | CUSIP: 3142GRVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2207195 | PA      | $2324833.19    | 0.17%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 723339 GN 09/39 FIXED 5                      | CUSIP: 3620A9S44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2528 | PA      | $2576.48       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1Q0184 FH 11/36 FLOATING VAR         | CUSIP: 3128S4FZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229226 | PA      | $239227.63     | 0.02%             | 2036-11-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546583 GN 01/34 FIXED 6.02                   | CUSIP: 36212XFY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26157 | PA      | $26385.39      | 0.00%             | 2034-01-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 471865 GN 04/28 FIXED 7                      | CUSIP: 36209HFE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $84.65         | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H28                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H28 FA         | CUSIP: 38375BYE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1014 | PA      | $1015.76       | 0.00%             | 2062-09-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 751109 GN 09/40 FIXED 4.05                   | CUSIP: 36230KGS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238033 | PA      | $227248.46     | 0.02%             | 2040-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546582 GN 01/34 FIXED 6.075                  | CUSIP: 36212XFX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71389 | PA      | $72095.51      | 0.01%             | 2034-01-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 487108 GN 04/29 FIXED 6                      | CUSIP: 36210BDM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $275.29        | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4015 FN 06/53 FIXED 5                      | CUSIP: 3140NLN96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76337 | PA      | $76369.38      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA I TBA 30 YR 5 SINGLE FAMILY MORTGAGE              | CUSIP: 01N050644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6944694.54    | 0.52%             | 2055-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1159 G2 07/43 FIXED 4.5                 | CUSIP: 36179NJC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16185 | PA      | $16053.18      | 0.00%             | 2043-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688021 GN 10/38 FIXED 6                      | CUSIP: 36296DLA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3800 | PA      | $4006.67       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3736 G2 06/46 FIXED 3.5                 | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     903651 | PA      | $846811.94     | 0.06%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH4510 G2 11/48 FIXED 4.5                 | CUSIP: 3617H2AK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221252 | PA      | $216182.63     | 0.02%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 531197 GN 06/30 FIXED 8.5                    | CUSIP: 36212EDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3579 | PA      | $3621.20       | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SO42 PIMCO CDSOPT PUT USD 96.85937500 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10000000 | NC      | $-226.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1296 FN 08/51 FIXED VAR                    | CUSIP: 3140W1NN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4152019 | PA      | $4009617.88    | 0.30%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB6814 GN 09/42 FIXED 3.5                    | CUSIP: 36178TSB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     357102 | PA      | $335749.95     | 0.03%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4267 G2 02/47 FIXED 6                   | CUSIP: 36179SW45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     651263 | PA      | $684691.75     | 0.05%             | 2047-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10623000 | PA      | $10527618.74   | 0.79%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 611895 GN 06/33 FIXED 5.5                    | CUSIP: 36202WXY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $325.48        | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682899 GN 09/40 FIXED 6                      | CUSIP: 36295WUY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16132 | PA      | $16737.30      | 0.00%             | 2040-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 752020 GN 06/41 FIXED 4.5                    | CUSIP: 36230LG52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1308 | PA      | $1291.67       | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 595180 GN 11/32 FIXED 6                      | CUSIP: 36200AFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        577 | PA      | $594.81        | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080376 G2 02/30 FLOATING VAR              | CUSIP: 36225CM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18894 | PA      | $18943.21      | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5141 G2 04/48 FIXED 6                   | CUSIP: 36179TWA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91338 | PA      | $95955.66      | 0.01%             | 2048-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CH7861 G2 01/52 FIXED 3                   | CUSIP: 3617X0WW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4822186 | PA      | $4358263.74    | 0.33%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                  | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A         | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1605343 | PA      | $1468902.28    | 0.11%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MORTGAGE ASSOC SERIES 2007-18                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 18 CO          | CUSIP: 38375JD69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17899 | PA      | $17269.90      | 0.00%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1427 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1469856 | PA      | $1250410.78    | 0.09%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004918 G2 01/41 FIXED 4                   | CUSIP: 36202FPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1113 | PA      | $1049.93       | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4783 G2 10/47 FIXED 6                   | CUSIP: 36179TJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20250 | PA      | $21290.79      | 0.00%             | 2047-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                 | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2566 | PA      | $2424.81       | 0.00%             | 2032-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004534 G2 09/39 FIXED 5.5                 | CUSIP: 36202FBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1412 | PA      | $1422.01       | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF1988 FR 10/52 FIXED 5              | CUSIP: 3133BPF52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331028 | PA      | $330522.85     | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  123167000 | PA      | $121746441.09  | 9.13%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784041 GN 08/45 FIXED 4                      | CUSIP: 3622A2P22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     731404 | PA      | $712665.61     | 0.05%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4718 G2 09/47 FIXED 3                   | CUSIP: 36179TG33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     254604 | PA      | $230275.68     | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3400 FN 06/48 FIXED 4.5                    | CUSIP: 31418CX66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82629 | PA      | $78559.30      | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H16                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H16 FN         | CUSIP: 38380QLA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1598761 | PA      | $1629030.03    | 0.12%             | 2070-09-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004417 G2 04/39 FIXED 5                   | CUSIP: 36202E4A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        623 | PA      | $622.40        | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5750 GN 07/45 FIXED 3                      | CUSIP: 36186NL72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     591372 | PA      | $531603.17     | 0.04%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688085 GN 11/38 FIXED 6                      | CUSIP: 36296DNA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14813 | PA      | $15622.77      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2893 G2 06/48 FIXED 4                   | CUSIP: 3617G9GA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19195 | PA      | $18096.16      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                            | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1949000 | PA      | $1927396.16    | 0.14%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL2205 FN 04/29 FIXED 3.045                  | CUSIP: 3140HTNX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     876996 | PA      | $852376.34     | 0.06%             | 2029-04-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4203                                           | FREDDIE MAC FHR 4203 DI                                | CUSIP: 3137B2CJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1326212 | PA      | $45453.14      | 0.00%             | 2033-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9V5A8 PIMCO FPPSWAPTION 4.64 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7000000 | NC      | $387631.30     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB7854 FR 01/51 FIXED 2.5            | CUSIP: 3133AEWP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     556662 | PA      | $472982.79     | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003610 G2 09/34 FIXED 5.5                 | CUSIP: 36202EAK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        262 | PA      | $270.32        | 0.00%             | 2034-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BC1180 GN 08/47 FIXED 4                      | CUSIP: 3617B4JZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2309 | PA      | $2192.34       | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 472957 GN 05/29 FIXED 6.5                    | CUSIP: 36209JME8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        408 | PA      | $417.95        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546587 GN 04/34 FIXED 5.82                   | CUSIP: 36212XF42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21509 | PA      | $21921.84      | 0.00%             | 2034-04-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ1178 FN 06/31 FIXED 5.81                   | CUSIP: 3140NVJY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13800000 | PA      | $14032004.36   | 1.05%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 514855 GN 06/30 FIXED 8                      | CUSIP: 36211J5Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1036 | PA      | $1061.07       | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0613 G2 09/55 FIXED 7                   | CUSIP: 3618N5VF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4091689 | PA      | $4185430.02    | 0.31%             | 2055-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5258 FR 06/53 FIXED 5              | CUSIP: 3133C5ZX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75563 | PA      | $75487.43      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ6096 G2 10/62 FIXED 5                   | CUSIP: 3618A8XZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     794101 | PA      | $790785.47     | 0.06%             | 2062-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17232 FG 11/26 FIXED 3              | CUSIP: 3128PXA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46258 | PA      | $46076.78      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5021 FN 05/43 FIXED 4.5                    | CUSIP: 31418ESK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45814 | PA      | $45688.73      | 0.00%             | 2043-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD4884 FR 02/54 FIXED 6              | CUSIP: 3132DSM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7365875 | PA      | $7712128.22    | 0.58%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 629278 GN 04/34 FIXED 6                      | CUSIP: 36291JCP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2559 | PA      | $2581.99       | 0.00%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 634510 GN 09/38 FIXED 5.5                    | CUSIP: 36291P3T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11381 | PA      | $11701.75      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV3789 FN 11/43 FIXED 5                      | CUSIP: 3138XFF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2791 | PA      | $2805.93       | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 502730 GN 07/29 FIXED 6.5                    | CUSIP: 36210UPP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11571 | PA      | $11668.01      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-49884.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS9266 G2 01/62 FIXED 3.5                 | CUSIP: 3618B3JK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127549 | PA      | $115936.99     | 0.01%             | 2062-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 783576 G2 12/41 FIXED 4.5                 | CUSIP: 36241L6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105104 | PA      | $104229.59     | 0.01%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 574388 GN 01/32 FIXED 6                      | CUSIP: 36200WCZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $101.13        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 982008 FN 05/38 FIXED 5.5                    | CUSIP: 31415BNZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46653 | PA      | $46498.05      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 484383 GN 09/28 FIXED 6                      | CUSIP: 36209XCU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        503 | PA      | $516.99        | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB8364 FR 02/40 FIXED 5.5            | CUSIP: 3132D6JH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     493072 | PA      | $503027.34     | 0.04%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2642 FR 09/55 FIXED 6.5            | CUSIP: 31427P5C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277850 | PA      | $293613.49     | 0.02%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0102 FN 06/56 FIXED 3.5                    | CUSIP: 3140FXDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2831284 | PA      | $2599822.83    | 0.19%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SM02 PIMCO CDSOPT PUT USD 95.46875000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9000000 | NC      | $58361.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 737255 G2 11/35 FIXED 5.5                 | CUSIP: 3620ARBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49762 | PA      | $50939.20      | 0.00%             | 2035-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-7                                                 | FANNIE MAE FNR 2003 7 A2                               | CUSIP: 31392H2L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     425527 | PA      | $426585.51     | 0.03%             | 2042-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784445 G2 02/48 FIXED 3.5                 | CUSIP: 3622A25E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2184445 | PA      | $2036457.14    | 0.15%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2 JUMBOS                             | CUSIP: 21H020659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  275000000 | PA      | $227100585.25  | 17.02%            | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 610179 GN 08/34 FIXED 6.5                    | CUSIP: 36202U2L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30573 | PA      | $32303.96      | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                            | CUSIP: 912797TR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     301000 | PA      | $299758.33     | 0.02%             | 2026-05-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5085 FR 06/53 FIXED 5              | CUSIP: 3133C5UJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82436 | PA      | $82322.46      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6682 FN 07/53 FIXED 4                      | CUSIP: 3140QSM81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137029 | PA      | $130995.89     | 0.01%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3001 G2 08/30 FIXED 3                   | CUSIP: 36179RKN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36346 | PA      | $35306.99      | 0.00%             | 2030-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003819 G2 02/36 FIXED 5.5                 | CUSIP: 36202EG45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        874 | PA      | $902.83        | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9NOA5 PIMCO FPPSWAPTION 4.4 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    8100000 | NC      | $497403.18     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003624 G2 10/34 FIXED 5.5                 | CUSIP: 36202EAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127775 | PA      | $132004.66     | 0.01%             | 2034-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAYTA4 PIMCO FPPSWAPTION 4.242 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  119300000 | NC      | $252701.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 706773 GN 11/39 FIXED 4.5                    | CUSIP: 36297BFN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     537098 | PA      | $540970.37     | 0.04%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8VYA7 PIMCO SWAPTION 5.0 PUT USD 20260403          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   27400000 | NC      | $2.74          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE9367 G2 12/47 FIXED 3.5                 | CUSIP: 3617G4MQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     360138 | PA      | $335052.89     | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                           | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   70100000 | PA      | $70415011.17   | 5.28%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO DEUTSCHE REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -83597744 | PA      | $-83711854.52  | -6.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REVERSE REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16493876 | PA      | $-16495602.82  | -1.24%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004471 G2 06/39 FIXED 6                   | CUSIP: 36202E6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $99.10         | 0.00%             | 2039-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO4867 G2 04/49 FIXED 4.5                 | CUSIP: 3617KLMQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     723991 | PA      | $701019.12     | 0.05%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA1093 G2 06/47 FIXED 4.5                 | CUSIP: 3617ADGA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     287904 | PA      | $280690.36     | 0.02%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 757044 GN 12/40 FIXED 4                      | CUSIP: 36230RZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8018 | PA      | $7712.46       | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 743209 GN 04/40 FIXED 4.05                   | CUSIP: 3620AXVA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32910 | PA      | $32581.69      | 0.00%             | 2040-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 2A       | CUSIP: 3137G1BL0<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    2145162 | PA      | $1891143.69    | 0.14%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA9528 G2 07/47 FIXED 3.5                 | CUSIP: 3617ANSR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     844211 | PA      | $785705.47     | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA5073 GN 07/42 FIXED 3.5                    | CUSIP: 36178CT60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13221 | PA      | $12430.51      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA3618 G2 06/47 FIXED 3.5                 | CUSIP: 3617AGAT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     290601 | PA      | $270354.67     | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 636501 GN 04/27 FIXED 6                      | CUSIP: 36291SDE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3801 | PA      | $3811.26       | 0.00%             | 2027-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0262 FN 05/58 FIXED 3                      | CUSIP: 3140FXJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     990895 | PA      | $862627.06     | 0.06%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942283 FN 08/37 FIXED 6                      | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5160 | PA      | $5416.41       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FP0132 FN 02/55 FIXED VAR                    | CUSIP: 3140XTEE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10545009 | PA      | $10915452.06   | 0.82%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 781923 FH 09/34 FLOATING VAR         | CUSIP: 31349TD40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216234 | PA      | $222917.54     | 0.02%             | 2034-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA4216 FR 12/50 FIXED 2.5            | CUSIP: 3133KKVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5848153 | PA      | $4966818.18    | 0.37%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004691 G2 05/40 FIXED 4.5                 | CUSIP: 36202FF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1903 | PA      | $1879.85       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2389 FN 11/34 FIXED 5.06                   | CUSIP: 3140NWUP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6484690 | PA      | $6693387.43    | 0.50%             | 2034-11-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH4379 FN 05/47 FIXED 4                      | CUSIP: 3140GS2M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42337 | PA      | $40570.59      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784601 G2 03/48 FIXED 3.5                 | CUSIP: 3622AAAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1845121 | PA      | $1713185.79    | 0.13%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK6887 GN 02/45 FIXED 3                      | CUSIP: 36183QUL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8720 | PA      | $7839.00       | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                            | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     635000 | PA      | $632831.86     | 0.05%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD2321 FR 02/52 FIXED 3              | CUSIP: 3132DPSJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1272739 | PA      | $1119945.97    | 0.08%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3865 FN 11/41 FIXED 3.5                    | CUSIP: 31417AJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60523 | PA      | $57355.17      | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617254 GN 10/36 FIXED 6.5                    | CUSIP: 36290TWP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5437 | PA      | $5762.13       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1857 FR 03/49 FIXED 4.5            | CUSIP: 3132AEB21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     892991 | PA      | $877882.75     | 0.07%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 659692 GN 10/36 FIXED 5.5                    | CUSIP: 36294T2Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1952 | PA      | $1992.85       | 0.00%             | 2036-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                  | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A          | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001145 | PA      | $967662.78     | 0.07%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004364 G2 02/39 FIXED 6                   | CUSIP: 36202EZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4661 | PA      | $4684.61       | 0.00%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2006-26                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2006 26 PO          | CUSIP: 38374NDU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27519 | PA      | $22864.09      | 0.00%             | 2036-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1638 G2 12/47 FIXED 4                   | CUSIP: 3617BUZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51589 | PA      | $49981.03      | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2338 FN 11/46 FIXED VAR                    | CUSIP: 3140XHS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3598931 | PA      | $3296049.19    | 0.25%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      44000 | PA      | $43902.54      | 0.00%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004260 G2 10/38 FIXED 6                   | CUSIP: 36202EWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3743 | PA      | $3799.17       | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO3487 FR 04/40 FIXED 5.5            | CUSIP: 3133WM2U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1303687 | PA      | $1336566.68    | 0.10%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0209 FN 08/43 FIXED 3.5                    | CUSIP: 3138W9GT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        517 | PA      | $487.32        | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781070 GN 07/29 FIXED 8                      | CUSIP: 36225BFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $77.06         | 0.00%             | 2029-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2828 G2 05/45 FIXED 4.5                 | CUSIP: 36179RD97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     347057 | PA      | $343175.96     | 0.03%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 774484 GN 09/41 FIXED 5                      | CUSIP: 36176SFZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14673 | PA      | $14644.05      | 0.00%             | 2041-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ2269 FR 05/54 FIXED 5.5            | CUSIP: 3142GSQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     657592 | PA      | $661569.63     | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004652 G2 03/40 FIXED 4.5                 | CUSIP: 36202FEZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5076 | PA      | $5014.65       | 0.00%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 785747 GN 07/49 FIXED 4.5                    | CUSIP: 3622ABHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3148299 | PA      | $3087395.32    | 0.23%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668388 FN 12/32 FIXED 5.5                    | CUSIP: 31391JRH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16526 | PA      | $16544.75      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8338 FR 08/53 FIXED 5              | CUSIP: 3133C9HP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     709872 | PA      | $708340.47     | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 566503 GN 11/33 FIXED 5.5                    | CUSIP: 36213WKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2521 | PA      | $2564.78       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     275000 | PA      | $274446.49     | 0.02%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 783934 G2 05/44 FIXED 4.5                 | CUSIP: 3622A2LP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125035 | PA      | $123692.06     | 0.01%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ0009 G2 11/62 FIXED 7                   | CUSIP: 3618A2AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64958 | PA      | $67863.92      | 0.01%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN1108 G2 06/62 FIXED 4.5                 | CUSIP: 3617YYGR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     819298 | PA      | $787182.64     | 0.06%             | 2062-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 391690 GN 12/37 FIXED 5.5                    | CUSIP: 36205JC37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        634 | PA      | $649.80        | 0.00%             | 2037-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI6874 GN 12/44 FIXED 3.5                    | CUSIP: 36198TT77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3125 | PA      | $2938.12       | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                      | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A            | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     764593 | PA      | $765385.43     | 0.06%             | 2030-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4338                                           | FREDDIE MAC FHR 4338 SB                                | CUSIP: 3137BB7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85512 | PA      | $4857.26       | 0.00%             | 2041-10-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 735692 GN 04/40 FIXED 4.5                    | CUSIP: 3620APKD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221018 | PA      | $220081.98     | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-28                                         | FANNIE MAE FNR 2018 28 CA                              | CUSIP: 3136B1P32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84159 | PA      | $74795.80      | 0.01%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 646486 GN 04/36 FIXED 5.5                    | CUSIP: 36292EF39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $848.44        | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 763417 GN 05/31 FIXED 4.5                    | CUSIP: 36176D4A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69583 | PA      | $69523.24      | 0.01%             | 2031-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 570142 GN 12/31 FIXED 6                      | CUSIP: 36200RLX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        592 | PA      | $614.16        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5            | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10422947 | PA      | $10782957.16   | 0.81%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1424 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2346976 | PA      | $2022001.26    | 0.15%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AV3233 G2 11/46 FIXED 3.5                 | CUSIP: 36195DSW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342450 | PA      | $318598.42     | 0.02%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ1539 G2 09/48 FIXED 4                   | CUSIP: 3617HNV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     298047 | PA      | $288476.79     | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLB9 PIMCO CDSOPT PUT USD 102.17187500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -18500000 | NC      | $-100460.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CL2892 G2 09/46 FIXED 3                   | CUSIP: 3617YAF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1211281 | PA      | $1090201.87    | 0.08%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003808 G2 01/36 FIXED 6                   | CUSIP: 36202EGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186051 | PA      | $195012.86     | 0.01%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5465 G2 09/48 FIXED 3.5                 | CUSIP: 36179UCA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     368060 | PA      | $344846.85     | 0.03%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QO2737 FR 11/39 FIXED 5.5            | CUSIP: 3133WMBE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1225239 | PA      | $1253096.71    | 0.09%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785707 G2 10/51 FIXED 3.5                 | CUSIP: 3622ABGQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10907625 | PA      | $9891829.13    | 0.74%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781459 GN 06/32 FIXED 6                      | CUSIP: 36225BTQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        679 | PA      | $703.71        | 0.00%             | 2032-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4418 FN 09/36 FIXED 2                      | CUSIP: 31418D4C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23801 | PA      | $21928.66      | 0.00%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781842 GN 12/30 FIXED 8                      | CUSIP: 36241KBK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2925 | PA      | $3028.41       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671443 GN 07/37 FIXED 5.5                    | CUSIP: 36295H5C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1842 | PA      | $1893.48       | 0.00%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 548264 GN 01/32 FIXED 6                      | CUSIP: 36213AB94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $232.08        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3335 FN 04/38 FIXED 3                      | CUSIP: 31418CV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     270653 | PA      | $255481.40     | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 597944 GN 11/32 FIXED 6                      | CUSIP: 36200DHV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        555 | PA      | $575.11        | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1068 FN 02/40 FIXED VAR                    | CUSIP: 3140W1FJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14767029 | PA      | $15073185.18   | 1.13%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REVERSE REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -392585211 | PA      | $-393409639.98 | -29.49%           |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 03/19/25-2Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-181067.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5162 FR 06/42 FIXED 3              | CUSIP: 3133KYWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4918543 | PA      | $4565130.49    | 0.34%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI3212 GN 05/44 FIXED 4                      | CUSIP: 36198PR93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129559 | PA      | $123535.08     | 0.01%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZL2783 FR 03/42 FIXED 3.5            | CUSIP: 3131XJCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2030 | PA      | $1922.37       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785565 G2 06/51 FIXED 2.5                 | CUSIP: 3622ABCA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     203184 | PA      | $175049.80     | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 463079 GN 01/28 FIXED 7.5                    | CUSIP: 36208WM42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5760 | PA      | $5852.60       | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546572 GN 10/33 FIXED 5.25                   | CUSIP: 36212XFM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107577 | PA      | $107639.49     | 0.01%             | 2033-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H20 FA         | CUSIP: 38380QSX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154557 | PA      | $153645.38     | 0.01%             | 2070-04-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY8503 FN 08/53 FIXED 5.5                    | CUSIP: 3140NRNV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     821446 | PA      | $836173.60     | 0.06%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 771611 GN 10/41 FIXED 4.5                    | CUSIP: 36176PAL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2469 | PA      | $2416.66       | 0.00%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W1                                      | FANNIEMAE WHOLE LOAN FNW 2002 W1 3A                    | CUSIP: 31392CMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216371 | PA      | $212944.06     | 0.02%             | 2042-04-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8639 G2 02/53 FIXED 6                   | CUSIP: 36179XS49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1673063 | PA      | $1683986.90    | 0.13%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ3955 G2 09/62 FIXED 5                   | CUSIP: 3618A6MC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     281681 | PA      | $280504.92     | 0.02%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA1636 GN 05/42 FIXED 3.5                    | CUSIP: 36177XY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     303639 | PA      | $285297.35     | 0.02%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546602 GN 06/34 FIXED 5.52                   | CUSIP: 36212XGK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70612 | PA      | $70837.80      | 0.01%             | 2034-06-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618687 GN 10/36 FIXED 7                      | CUSIP: 36290VJ88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33745 | PA      | $34065.74      | 0.00%             | 2036-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $8929060.10    | 0.67%             | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-28                                         | FANNIE MAE FNR 2020 28 KS                              | CUSIP: 3136B9RE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1037160 | PA      | $44906.02      | 0.00%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5206 FR 01/43 FIXED 4.5            | CUSIP: 3133KYYB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393196 | PA      | $392016.19     | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNR-2021-23                                                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 23 GI          | CUSIP: 38382NVV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9598072 | PA      | $1138574.16    | 0.09%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9990 FN 11/33 FIXED 5.96                   | CUSIP: 3140LMC49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     534702 | PA      | $580659.73     | 0.04%             | 2033-11-01      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $392667.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB7517 FN 01/33 FIXED 2.5                    | CUSIP: 31417EK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59363 | PA      | $56584.37      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002741 G2 04/29 FIXED 6.5                 | CUSIP: 36202DBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3865 | PA      | $4015.67       | 0.00%             | 2029-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB6744 GN 02/43 FIXED 3.5                    | CUSIP: 36178TP59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55858 | PA      | $52483.66      | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004259 G2 10/38 FIXED 5.5                 | CUSIP: 36202EWU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        125 | PA      | $125.53        | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ1665 FN 12/47 FIXED 4                      | CUSIP: 3140H2Z76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     495315 | PA      | $474645.86     | 0.04%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6081 G2 08/49 FIXED 3.5                 | CUSIP: 36179UXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1030618 | PA      | $940393.89     | 0.07%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH8675 FN 10/47 FIXED 4                      | CUSIP: 3140GXT92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76797 | PA      | $73540.26      | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4583 FN 09/42 FIXED VAR                    | CUSIP: 3140J9CV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194619 | PA      | $183767.38     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2122 FN 06/53 FIXED 5                      | CUSIP: 3140NJLC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     190832 | PA      | $190745.05     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AL5360 G2 03/45 FIXED 3.5                 | CUSIP: 36184B5V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     619681 | PA      | $572961.01     | 0.04%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2008-1                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2008 1 PO           | CUSIP: 38375PCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13098 | PA      | $10640.45      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784020 G2 05/45 FIXED 4.5                 | CUSIP: 3622A2PD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     284456 | PA      | $278480.61     | 0.02%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3341 G2 11/62 FIXED 7                   | CUSIP: 3618AHWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81788 | PA      | $85251.07      | 0.01%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004239 G2 09/38 FIXED 6                   | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3656 | PA      | $3704.91       | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004978 G2 03/41 FIXED 4.5                 | CUSIP: 36202FQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     332432 | PA      | $329758.48     | 0.02%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM3392 FN 01/48 FIXED VAR                    | CUSIP: 3140J7XW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126286 | PA      | $121406.51     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-160                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 160 IO         | CUSIP: 38378USQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41597 | PA      | $4462.95       | 0.00%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A    | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3517 | PA      | $3422.38       | 0.00%             | 2032-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DC1350 FN 08/54 FIXED 6.5                    | CUSIP: 3140ANQC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     775092 | PA      | $802088.86     | 0.06%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM1514 FN 09/49 FIXED VAR                    | CUSIP: 3140X4VG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     463652 | PA      | $408590.59     | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B8A9 PIMCO FPPSWAPTION 4.43 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $189059.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SC0706 FR 05/45 FIXED 6.5            | CUSIP: 3132D9YB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     437204 | PA      | $452669.03     | 0.03%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4058 FN 06/53 FIXED 5                      | CUSIP: 3140NLQL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     118669 | PA      | $118722.05     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607534 GN 06/34 FIXED 6.5                    | CUSIP: 36201Y4T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38341 | PA      | $38931.37      | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 786107 G2 03/52 FIXED 3                   | CUSIP: 3622ABU83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140101 | PA      | $123983.67     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BC7289 FN 10/46 FIXED 3                      | CUSIP: 3140F3C30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66601 | PA      | $60319.81      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLT0 PIMCO CDSOPT CALL USD 98.20703125 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -33000000 | NC      | $-87265.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FD         | CUSIP: 38380QHX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21486522 | PA      | $21783375.91   | 1.63%             | 2070-08-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EEA6 PIMCO FPPSWAPTION 4.52 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $227159.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486881 GN 02/29 FIXED 7                      | CUSIP: 36210A2N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        265 | PA      | $267.39        | 0.00%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QH0398 FR 09/53 FIXED 5              | CUSIP: 3133CCNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410572 | PA      | $409477.64     | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG7748 FR 08/53 FIXED 5              | CUSIP: 3133C8TD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1071679 | PA      | $1069910.70    | 0.08%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722759 GN 08/39 FIXED 6                      | CUSIP: 3620A85U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18502 | PA      | $19085.83      | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL V83307 FG 07/47 FIXED 3.5            | CUSIP: 3132L8U88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42440 | PA      | $39580.91      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 118 IE         | CUSIP: 38380AUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97565 | PA      | $14213.27      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0321 G2 08/42 FIXED 5                   | CUSIP: 36179MLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     235978 | PA      | $240517.80     | 0.02%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC31A0 PIMCO SWAPTION 4.084 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -9800000 | NC      | $-32341.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -20800000 | PA      | $-16749687.34  | -1.26%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 650455 GN 12/35 FIXED 5.5                    | CUSIP: 36292JTL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        435 | PA      | $445.04        | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PFP 2026-13 LTD                                                   | PFP III PFP 2026 13 A 144A                             | CUSIP: 716966AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1601847.62    | 0.12%             | 2043-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12800000 | NC      | $747074.56     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003897 G2 09/36 FIXED 5                   | CUSIP: 36202EKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8451 | PA      | $8594.05       | 0.00%             | 2036-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4600000 | NC      | $249325.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 506886 GN 05/29 FIXED 7                      | CUSIP: 36211ACX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $44.19         | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4600000 | NC      | $266085.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 750991 GN 09/40 FIXED 4.875                  | CUSIP: 36230KC41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113119 | PA      | $112125.80     | 0.01%             | 2040-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AJ6287 G2 09/44 FIXED 4                   | CUSIP: 36183B6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117488 | PA      | $112664.97     | 0.01%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AN9707 G2 08/45 FIXED 3.5                 | CUSIP: 36187SYC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85867 | PA      | $77087.91      | 0.01%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2154 G2 03/48 FIXED 4                   | CUSIP: 3617GLMB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21320 | PA      | $20654.99      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1512 FN 06/53 FIXED 5                      | CUSIP: 3140NHVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102896 | PA      | $103090.32     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782973 GN 11/35 FIXED 5.5                    | CUSIP: 36241LJS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2878 | PA      | $2963.32       | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 1.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F012445<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1000000 | PA      | $-899272.05    | -0.07%            | 2041-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4479                                           | FREDDIE MAC FHR 4479 TI                                | CUSIP: 3137BJVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     211068 | PA      | $8141.12       | 0.00%             | 2034-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6              | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320355 | PA      | $326995.13     | 0.02%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002728 G2 03/29 FIXED 6                   | CUSIP: 36202DA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        504 | PA      | $516.71        | 0.00%             | 2029-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN5124 G2 08/62 FIXED 4.5                 | CUSIP: 3617F4VR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     376834 | PA      | $362063.58     | 0.03%             | 2062-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                        | FANNIE MAE FNR 2012 111 HS                             | CUSIP: 3136A9HB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93453 | PA      | $64118.36      | 0.00%             | 2042-10-25      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647594 GN 08/36 FIXED 6.5                    | CUSIP: 36292FNK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50553 | PA      | $54261.49      | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG3358 FR 05/53 FIXED 5              | CUSIP: 3133C3WT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104026 | PA      | $103769.34     | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SL11 PIMCO CDSOPT CALL USD 103.68750000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -21000000 | NC      | $-1037.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671333 GN 07/37 FIXED 6                      | CUSIP: 36295HY61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23082 | PA      | $23891.53      | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7589 G2 09/51 FIXED 2.5                 | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   56582744 | PA      | $48765075.49   | 3.66%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569552 GN 01/32 FIXED 6                      | CUSIP: 36200QWM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $210.20        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FA         | CUSIP: 38383KCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4110074 | PA      | $4166958.22    | 0.31%             | 2073-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 564818 GN 09/31 FIXED 7.5                    | CUSIP: 36213UPB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11338 | PA      | $11966.32      | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AW5244 GN 10/46 FIXED 4.5                    | CUSIP: 36195TZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37472 | PA      | $36529.47      | 0.00%             | 2046-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780583 GN 06/27 FIXED 9                      | CUSIP: 36225AUG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.34          | 0.00%             | 2027-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5924 G2 05/49 FIXED 5                   | CUSIP: 36179USM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1849 | PA      | $1824.66       | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FG         | CUSIP: 38383KDF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4695104 | PA      | $4767144.33    | 0.36%             | 2073-08-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 528391 GN 05/30 FIXED 7                      | CUSIP: 36212A7C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        634 | PA      | $645.87        | 0.00%             | 2030-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1922 G2 05/44 FIXED 5                   | CUSIP: 36179QD32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67733 | PA      | $68995.84      | 0.01%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1014 G2 05/43 FIXED 4.5                 | CUSIP: 36179NDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23566 | PA      | $23378.40      | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4413 FN 12/47 FIXED VAR                    | CUSIP: 3140J83X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3438946 | PA      | $3384693.41    | 0.25%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4256 FN 02/51 FIXED 2.5                    | CUSIP: 31418DWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1892127 | PA      | $1608294.64    | 0.12%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD1625 GN 01/43 FIXED 3.5                    | CUSIP: 36180CYW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19405 | PA      | $18148.96      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 439486 GN 01/27 FIXED 7.5                    | CUSIP: 36207RF34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1394 | PA      | $1397.62       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5703 G2 01/49 FIXED 5.5                 | CUSIP: 36179UKQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     309700 | PA      | $299333.98     | 0.02%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7589 FN 10/45 FIXED VAR                    | CUSIP: 3138EQNF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24503 | PA      | $23084.43      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 706201 G2 04/39 FIXED 5.5                 | CUSIP: 36297ARW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1447 | PA      | $1486.21       | 0.00%             | 2039-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0822 G2 03/28 FIXED 3                   | CUSIP: 36179M4F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31056 | PA      | $30735.08      | 0.00%             | 2028-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942980 FN 09/37 FIXED 6                      | CUSIP: 31413ECR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23524 | PA      | $24693.30      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCADA1 PIMCO SWAPTION 3.9 PUT USD 20260529          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3100000 | NC      | $16061.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 779378 GN 06/42 FIXED 3                      | CUSIP: 36176XUB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2184516 | PA      | $2000791.40    | 0.15%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ6293 G2 12/62 FIXED 7                   | CUSIP: 3618A87E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1093928 | PA      | $1132376.55    | 0.08%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8216 FN 04/33 FIXED 4.49                   | CUSIP: 3140LKDW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1600151.92    | 0.12%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546606 GN 08/34 FIXED 5.38                   | CUSIP: 36212XGP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33178 | PA      | $34130.56      | 0.00%             | 2034-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8096 FN 04/33 FIXED 4.7                    | CUSIP: 3140LJ7J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1225000 | PA      | $1240415.42    | 0.09%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SIS6 PIMCO CDSOPT PUT USD 96.58984375 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   26000000 | NC      | $218043.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022444<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1625000 | PA      | $-1535549.93   | -0.12%            | 2041-04-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC4732 G2 10/47 FIXED 3.5                 | CUSIP: 3617B8HH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     131118 | PA      | $121464.15     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6924 FN 01/45 FIXED VAR                    | CUSIP: 3138EPVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     972042 | PA      | $930369.17     | 0.07%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5609                                           | FREDDIE MAC FHR 5609 FC                                | CUSIP: 3137HNXU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8478076 | PA      | $8477377.63    | 0.64%             | 2055-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7518 FR 06/50 FIXED 3              | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14449816 | PA      | $12930136.13   | 0.97%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DM4280 G2 09/55 FIXED 7                   | CUSIP: 3618LTXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1591137 | PA      | $1643625.26    | 0.12%             | 2055-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003067 G2 04/31 FIXED 6                   | CUSIP: 36202DMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        195 | PA      | $200.00        | 0.00%             | 2031-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618688 GN 10/36 FIXED 7                      | CUSIP: 36290VJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62963 | PA      | $66492.65      | 0.00%             | 2036-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5856 FN 12/32 FIXED 4.21                   | CUSIP: 3140Q1QJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2864000 | PA      | $2831661.83    | 0.21%             | 2032-12-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2          | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7455636 | PA      | $7243744.00    | 0.54%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS4556 FN 03/40 FIXED 3.5                    | CUSIP: 3138WEB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162756 | PA      | $154775.51     | 0.01%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG8358 G2 06/48 FIXED 4                   | CUSIP: 3617GTJB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39722 | PA      | $37503.14      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 600399 GN 05/34 FIXED 5.5                    | CUSIP: 36200F7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1191 | PA      | $1217.07       | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004145 G2 05/38 FIXED 6                   | CUSIP: 36202ETA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        302 | PA      | $317.96        | 0.00%             | 2038-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680606 GN 12/37 FIXED 5.5                    | CUSIP: 36295UDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3181 | PA      | $3189.52       | 0.00%             | 2037-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 743552 GN 07/40 FIXED 4.05                   | CUSIP: 3620AYBV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49836 | PA      | $47500.10      | 0.00%             | 2040-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781683 GN 12/33 FIXED 6                      | CUSIP: 36225B2Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        370 | PA      | $380.92        | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA82A0 PIMCO FPPSWAPTION 4.693 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $303526.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3105 G2 09/45 FIXED 3.5                 | CUSIP: 36179RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3425160 | PA      | $3225963.67    | 0.24%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1548 FN 04/52 FIXED VAR                    | CUSIP: 3140XGWJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     537607 | PA      | $458553.72     | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BQ7068 G2 04/50 FIXED 3                   | CUSIP: 3617LRZ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     704074 | PA      | $640680.34     | 0.05%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AP0113 G2 10/45 FIXED 3.5                 | CUSIP: 36188KDS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212423 | PA      | $195721.73     | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N1                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N1 F 144A    | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     201347 | PA      | $200863.17     | 0.02%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-121                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 121 CI         | CUSIP: 38382VNB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3208216 | PA      | $554999.88     | 0.04%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN5883 FN 03/49 FIXED 5                      | CUSIP: 3140JNRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22095 | PA      | $22083.86      | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004085 G2 02/38 FIXED 6                   | CUSIP: 36202ERE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2703 | PA      | $2842.11       | 0.00%             | 2038-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 713677 GN 08/39 FIXED 4.875                  | CUSIP: 36297J2J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56559 | PA      | $56747.87      | 0.00%             | 2039-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-56011.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4889 G2 12/47 FIXED 3                   | CUSIP: 36179TNE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100202 | PA      | $88893.09      | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM8878 G2 07/49 FIXED 4.5                 | CUSIP: 3617K02K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     849803 | PA      | $822840.03     | 0.06%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433706 GN 04/28 FIXED 7                      | CUSIP: 36207JYB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3889 | PA      | $3923.43       | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 466186 GN 04/31 FIXED 6.5                    | CUSIP: 36209A2T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $336.46        | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783292 GN 12/40 FIXED 6                      | CUSIP: 36241LUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40288 | PA      | $42464.81      | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 742275 G2 08/39 FIXED 5.5                 | CUSIP: 3620AWT83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27540 | PA      | $28066.89      | 0.00%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3056 G2 08/45 FLOATING VAR              | CUSIP: 36179RMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99318 | PA      | $101257.49     | 0.01%             | 2045-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004449 G2 05/39 FIXED 6                   | CUSIP: 36202E5J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        623 | PA      | $654.52        | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 576441 GN 03/32 FIXED 6.5                    | CUSIP: 36200YLW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16224 | PA      | $16562.92      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H22                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H22 FH         | CUSIP: 38380QRY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13396294 | PA      | $13680292.50   | 1.03%             | 2070-12-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CK0946 G2 01/52 FIXED 2.5                 | CUSIP: 3617XVBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     610606 | PA      | $518507.31     | 0.04%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17950000 | PA      | $16817152.17   | 1.26%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2009-79                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 79 OK          | CUSIP: 38376CXX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27500 | PA      | $22918.02      | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB8379 FR 04/40 FIXED 5.5            | CUSIP: 3132D6JY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1685874 | PA      | $1719912.30    | 0.13%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 389719 GN 09/32 FIXED 6                      | CUSIP: 36205F4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1135 | PA      | $1145.34       | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003638 G2 11/34 FIXED 6                   | CUSIP: 36202EBF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $450.07        | 0.00%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AF0310 GN 08/43 FIXED 2.5                    | CUSIP: 36181FKX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109158 | PA      | $94532.12      | 0.01%             | 2043-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5847 FN 09/55 FIXED 6.5                    | CUSIP: 31418FP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6511252 | PA      | $6608761.86    | 0.50%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 910155 FN 03/37 FIXED 6                      | CUSIP: 31411KE41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7146 | PA      | $7479.92       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784707 G2 02/49 FIXED 5                   | CUSIP: 3622AADL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114757 | PA      | $111436.65     | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6399 G2 01/50 FIXED 3                   | CUSIP: 36179VDC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141482 | PA      | $124769.30     | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31138 FG 09/34 FIXED 5.5            | CUSIP: 31281BHP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3916 | PA      | $4074.55       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5034                                           | FREDDIE MAC FHR 5034 MI                                | CUSIP: 3137F6K55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2361467 | PA      | $316635.40     | 0.02%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004710 G2 06/40 FIXED 5                   | CUSIP: 36202FGT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102772 | PA      | $102612.80     | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ5449 GN 09/44 FIXED 3.5                    | CUSIP: 36183BBS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1747 | PA      | $1642.26       | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784018 G2 06/45 FIXED 4.5                 | CUSIP: 3622A2PB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     291080 | PA      | $284961.05     | 0.02%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 709364 GN 08/39 FIXED 5.5                    | CUSIP: 36297EB95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2946 | PA      | $3010.48       | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-6                                   | JP MORGAN MORTGAGE TRUST JPMMT 2019 6 A11 144A         | CUSIP: 46651BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     482407 | PA      | $475153.35     | 0.04%             | 2049-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3413 FN 07/38 FIXED 4                      | CUSIP: 31418CYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     235677 | PA      | $231059.51     | 0.02%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004193 G2 07/38 FIXED 5                   | CUSIP: 36202EUS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     327057 | PA      | $331442.31     | 0.02%             | 2038-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-45                                         | FANNIE MAE FNR 2014 45 SA                              | CUSIP: 3136AKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102257 | PA      | $7458.04       | 0.00%             | 2044-08-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ7040 FN 08/38 FIXED 4                      | CUSIP: 3140H8ZE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30577 | PA      | $30077.23      | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 738060 G2 10/33 FIXED 6.5                 | CUSIP: 3620AR5V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        864 | PA      | $880.95        | 0.00%             | 2033-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 608671 GN 08/26 FIXED 6.5                    | CUSIP: 36202TFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $78.74         | 0.00%             | 2026-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA7937 GN 06/47 FIXED 4                      | CUSIP: 3617ALZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9555 | PA      | $9069.98       | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5173 FR 08/42 FIXED 3              | CUSIP: 3133KYXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     195956 | PA      | $181755.68     | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 783286 G2 12/40 FIXED 6                   | CUSIP: 36241LUK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1914 | PA      | $2028.77       | 0.00%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP4990 G2 01/50 FIXED 4.5                 | CUSIP: 3617FURK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1842573 | PA      | $1787339.50    | 0.13%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO WELLS FARGO REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -44581168 | PA      | $-44674788.46  | -3.35%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H09 FA         | CUSIP: 38383XNS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1714570 | PA      | $1730438.10    | 0.13%             | 2073-04-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U93SA5 PIMCO FPPSWAPTION 4.31 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $180353.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CT4217 G2 08/61 FIXED 3.5                 | CUSIP: 3618B9VJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272505 | PA      | $247697.31     | 0.02%             | 2061-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AR2989 G2 04/46 FIXED 4.5                 | CUSIP: 36192XKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28418 | PA      | $27689.00      | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 533517 GN 11/30 FIXED 8                      | CUSIP: 36212GVJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10091 | PA      | $10212.99      | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SC0086 FR 10/40 FIXED 2.5            | CUSIP: 3132D9CX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7382572 | PA      | $6680863.38    | 0.50%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784433 G2 02/48 FIXED 3.5                 | CUSIP: 3622A24S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2326131 | PA      | $2165418.36    | 0.16%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0537 G2 11/42 FIXED 5                   | CUSIP: 36179MS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27212 | PA      | $27627.00      | 0.00%             | 2042-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 689942 GN 09/38 FIXED 6                      | CUSIP: 36296FP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13538 | PA      | $14054.52      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0421 FR 02/55 FIXED 6              | CUSIP: 31427MPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5638957 | PA      | $5876785.50    | 0.44%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 720075 GN 06/39 FIXED 4.5                    | CUSIP: 3620A56L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163516 | PA      | $162874.02     | 0.01%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 574762 GN 09/34 FIXED 5.5                    | CUSIP: 36200WQP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3262 | PA      | $3274.84       | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692118 GN 10/38 FIXED 6.5                    | CUSIP: 36296H4B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2268 | PA      | $2382.94       | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 633715 GN 09/34 FIXED 6                      | CUSIP: 36291PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75148 | PA      | $76612.00      | 0.01%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042665<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -208720000 | PA      | $-201122468.86 | -15.08%           | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U91148 FG 03/43 FIXED 4              | CUSIP: 3132HBEV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160546 | PA      | $155646.85     | 0.01%             | 2043-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 439558 GN 05/27 FIXED 7.5                    | CUSIP: 36207RJB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $63.19         | 0.00%             | 2027-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 458930 GN 10/28 FIXED 6                      | CUSIP: 36208RY32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $109.31        | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0208 G2 06/47 FIXED 3.5                 | CUSIP: 3617AQGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     763318 | PA      | $710426.24     | 0.05%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0741 G2 11/55 FIXED 3                   | CUSIP: 3618N5ZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10137211 | PA      | $9062906.00    | 0.68%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-2002-W4                                      | FANNIEMAE WHOLE LOAN FNW 2002 W4 A6                    | CUSIP: 31392DUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     626143 | PA      | $622841.72     | 0.05%             | 2042-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677221 GN 08/38 FIXED 5.5                    | CUSIP: 36295QLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $411.50        | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3359 FN 04/38 FIXED 3                      | CUSIP: 31418CWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66096 | PA      | $62311.99      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0782 G2 02/43 FIXED 3                   | CUSIP: 36179M2P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4853244 | PA      | $4449933.69    | 0.33%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFBA4 PIMCO SWAPTION 3.135 CALL USD 202609         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10400000 | NC      | $42305.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 775616 G2 11/41 FIXED 4.5                 | CUSIP: 36176TN95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19331 | PA      | $18972.04      | 0.00%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 551116 GN 08/31 FIXED 7                      | CUSIP: 36213DGZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1635 | PA      | $1691.97       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-71                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 71 WS          | CUSIP: 38378TAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     421432 | PA      | $222222.35     | 0.02%             | 2043-05-20      | Floating      | 0.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003569 G2 06/34 FIXED 5.5                 | CUSIP: 36202D6E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $327.37        | 0.00%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2407 G2 04/48 FIXED 4                   | CUSIP: 3617G8U84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30633 | PA      | $28883.49      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9994 FN 12/33 FIXED 5.87                   | CUSIP: 3140LMC80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1626368.18    | 0.12%             | 2033-12-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-114                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 114 HO         | CUSIP: 38377XJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     265076 | PA      | $196811.44     | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DC7008 G2 07/54 FIXED 6.5                 | CUSIP: 3618HMYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140684 | PA      | $146733.01     | 0.01%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3899 FN 11/26 FIXED 3                      | CUSIP: 31417AKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70258 | PA      | $69911.91      | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8777 FN 11/53 FIXED VAR                    | CUSIP: 3140XQXF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25642495 | PA      | $26520596.68   | 1.99%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 734362 GN 03/42 FIXED 3.5                    | CUSIP: 3620AMZ39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54048 | PA      | $51021.27      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3073 G2 09/30 FIXED 3                   | CUSIP: 36179RMW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132617 | PA      | $127652.06     | 0.01%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004541 G2 09/39 FIXED 5                   | CUSIP: 36202FBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1301 | PA      | $1343.21       | 0.00%             | 2039-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785558 G2 07/51 FIXED 2.5                 | CUSIP: 3622ABB35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129171 | PA      | $111894.44     | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3229 FN 02/47 FIXED VAR                    | CUSIP: 3140X6ST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4820245 | PA      | $4542110.96    | 0.34%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 585052 GN 12/32 FIXED 5.5                    | CUSIP: 36201J5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24922 | PA      | $25332.95      | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL TA5545 FR 01/56 FIXED 5              | CUSIP: 3142JUET3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     719031 | PA      | $716945.87     | 0.05%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5702 G2 01/49 FIXED 5                   | CUSIP: 36179UKP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73630 | PA      | $72653.91      | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC4497 FN 09/39 FIXED 4                      | CUSIP: 31417N7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        275 | PA      | $272.03        | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG9019 FR 08/53 FIXED 5              | CUSIP: 3133CAAU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     883128 | PA      | $881222.01     | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4893 G2 12/47 FIXED 5                   | CUSIP: 36179TNJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     427520 | PA      | $421854.85     | 0.03%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0169 FN 01/57 FIXED 3.5                    | CUSIP: 3140FXFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2677949 | PA      | $2460353.10    | 0.18%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-92                                         | FANNIE MAE FNR 2014 92 SB                              | CUSIP: 3136AMEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103763 | PA      | $5542.72       | 0.00%             | 2045-01-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX3421 G2 04/47 FIXED 3.5                 | CUSIP: 36196EYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     449195 | PA      | $407983.76     | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 558746 GN 07/31 FIXED 7                      | CUSIP: 36213MWF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7895 | PA      | $8167.70       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-6                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 6 YI           | CUSIP: 38378PS66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171482 | PA      | $4691.85       | 0.00%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1        | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1599 | PA      | $1517.33       | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A                  | LA HIPOTECARIA SA LHIPO 2014 1A A1 144A                | CUSIP: 50346EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |    1890204 | PA      | $1828819.46    | 0.14%             | 2042-11-24      | Floating      | 3.51%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB8309 FR 06/39 FIXED 5.5            | CUSIP: 3132D6GS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22585981 | PA      | $23042003.82   | 1.73%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                 | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2796230 | PA      | $2567800.17    | 0.19%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0223 G2 07/42 FIXED 5                   | CUSIP: 36179MG87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137058 | PA      | $139233.50     | 0.01%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-50                                         | FANNIE MAE FNR 2015 50 SB                              | CUSIP: 3136APNG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     565238 | PA      | $31220.49      | 0.00%             | 2045-07-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5157 FN 08/43 FIXED 4.5                    | CUSIP: 31418EWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320369 | PA      | $319400.58     | 0.02%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AY2645 GN 02/47 FIXED 4.5                    | CUSIP: 36196R5E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127381 | PA      | $124755.72     | 0.01%             | 2047-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2526 FR 09/55 FIXED 6              | CUSIP: 31427PYY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5665321 | PA      | $5914536.94    | 0.44%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784295 G2 03/47 FIXED 3.5                 | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1428191 | PA      | $1325757.91    | 0.10%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL1272 FR 02/55 FIXED 6.5            | CUSIP: 31427NMW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     655319 | PA      | $687014.13     | 0.05%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 595071 GN 10/32 FIXED 5.5                    | CUSIP: 36200ACG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3845 | PA      | $3856.54       | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8092 FN 07/42 FIXED VAR                    | CUSIP: 3138EQ7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259127 | PA      | $250414.33     | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 459501 GN 01/28 FIXED 7                      | CUSIP: 36208SNS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4994 | PA      | $5035.51       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCN3 PIMCO CDSOPT PUT USD 102.23437500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -68500000 | NC      | $-221344.05    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 616352 GN 04/34 FIXED 6                      | CUSIP: 36290SWM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76585 | PA      | $78063.94      | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA2870 FN 08/55 FIXED VAR                    | CUSIP: 3140W3FL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     831037 | PA      | $876189.67     | 0.07%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06500 FG 04/41 FIXED 4              | CUSIP: 3128M8RV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116353 | PA      | $112579.36     | 0.01%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603592 GN 04/33 FIXED 6.5                    | CUSIP: 36200KRM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32388 | PA      | $32828.81      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003132 G2 09/31 FIXED 6                   | CUSIP: 36202DPR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3402 | PA      | $3489.13       | 0.00%             | 2031-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $355388.56     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 511172 GN 01/30 FIXED 8.5                    | CUSIP: 36211E2D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $208.22        | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4070 FN 06/53 FIXED 5                      | CUSIP: 3140NLQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194466 | PA      | $195087.32     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782373 GN 07/38 FIXED 6.5                    | CUSIP: 36241KT65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4111 | PA      | $4409.58       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD5455 FR 04/54 FIXED 6.5            | CUSIP: 3132DTBY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     325851 | PA      | $342740.86     | 0.03%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4116 G2 12/46 FIXED 3                   | CUSIP: 36179SSD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51593 | PA      | $45771.35      | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV2568 FN 11/43 FIXED 4                      | CUSIP: 3138XD2A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2373643 | PA      | $2292265.35    | 0.17%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5097 FN 07/43 FIXED 4.5                    | CUSIP: 31418EUX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     433971 | PA      | $431502.26     | 0.03%             | 2043-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003840 G2 04/36 FIXED 5                   | CUSIP: 36202EHR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36341 | PA      | $36827.76      | 0.00%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618517 GN 09/33 FIXED 5.75                   | CUSIP: 36290VDW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5258 | PA      | $5290.57       | 0.00%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4275 FN 01/27 FIXED 3                      | CUSIP: 31417AXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71053 | PA      | $70647.48      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569687 GN 02/32 FIXED 7.5                    | CUSIP: 36200Q2U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        355 | PA      | $360.15        | 0.00%             | 2032-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/20/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-124487.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BN8360 G2 08/49 FIXED 4                   | CUSIP: 3617KCJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2865713 | PA      | $2687909.23    | 0.20%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 787954 G2 02/55 FIXED 6                   | CUSIP: 3622ADWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     361961 | PA      | $367058.22     | 0.03%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCAEA0 PIMCO SWAPTION 4.219 PUT USD 2026060         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7000000 | NC      | $24217.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 742244 GN 01/41 FIXED 4                      | CUSIP: 3620AWS92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7420 | PA      | $7128.91       | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM7152 FN 02/28 VARIABLE                     | CUSIP: 3140JB5N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1994596 | PA      | $1990745.22    | 0.15%             | 2028-02-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781607 GN 03/33 FIXED 6                      | CUSIP: 36225BYC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        709 | PA      | $737.82        | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY9433 FN 09/53 FIXED 5                      | CUSIP: 3140NSPT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145785 | PA      | $145618.57     | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H10 FA         | CUSIP: 38376RUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     574406 | PA      | $576901.60     | 0.04%             | 2066-04-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 741977 G2 05/39 FIXED 5.5                 | CUSIP: 3620AWJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111754 | PA      | $113788.54     | 0.01%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG6226 FR 06/53 FIXED 4.5            | CUSIP: 3133C64K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     610675 | PA      | $593405.23     | 0.04%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU5542 FN 08/33 FIXED 4                      | CUSIP: 3138X5EQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77109 | PA      | $76210.94      | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5921 G2 05/49 FIXED 3.5                 | CUSIP: 36179USJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16864 | PA      | $15387.75      | 0.00%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 799211 GN 04/42 FIXED 3.5                    | CUSIP: 36177UGV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15282 | PA      | $14414.04      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780478 GN 12/26 FIXED 7                      | CUSIP: 36225AQ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $2.15          | 0.00%             | 2026-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3188 FN 11/32 FIXED 3                      | CUSIP: 31418CRJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     923657 | PA      | $897542.10     | 0.07%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02                 | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2015 SC02 1A       | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     918550 | PA      | $805977.96     | 0.06%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RR0039 FR 11/40 FIXED 5.5            | CUSIP: 3142JCBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2464705 | PA      | $2513890.90    | 0.19%             | 2040-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4287 FN 11/40 FIXED VAR                    | CUSIP: 3138ELXR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     271012 | PA      | $284451.06     | 0.02%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-711112.19    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2513 G2 01/45 FIXED 4.5                 | CUSIP: 36179QYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21412 | PA      | $21166.98      | 0.00%             | 2045-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 644549 GN 07/35 FIXED 5.5                    | CUSIP: 36292CBS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        270 | PA      | $277.07        | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003850 G2 05/36 FIXED 5                   | CUSIP: 36202EH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67154 | PA      | $68217.80      | 0.01%             | 2036-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNR-2021-9                                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 9 DI           | CUSIP: 38382ME88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20175895 | PA      | $2879265.59    | 0.22%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764517 GN 06/41 FIXED 5                      | CUSIP: 36176FDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19510 | PA      | $19697.28      | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN9802 G2 05/48 FIXED 3                   | CUSIP: 3617F93K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7217095 | PA      | $6424263.03    | 0.48%             | 2048-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM9938 G2 04/49 FIXED 4.5                 | CUSIP: 3617K2BF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212168 | PA      | $205438.33     | 0.02%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 BF                              | CUSIP: 31396XXB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     486807 | PA      | $487568.95     | 0.04%             | 2037-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003187 G2 01/32 FIXED 6                   | CUSIP: 36202DRG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $205.30        | 0.00%             | 2032-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA4756 FN 01/54 FIXED 6.5                    | CUSIP: 3140A5JA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115662 | PA      | $121770.85     | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0698 G2 01/43 FIXED 3                   | CUSIP: 36179MX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3422093 | PA      | $3138424.50    | 0.24%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-79                                         | FANNIE MAE FNR 2025 79 FA                              | CUSIP: 3136BXUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3220030 | PA      | $3240892.08    | 0.24%             | 2055-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4010 FN 07/43 FIXED VAR                    | CUSIP: 3138ELN41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        338 | PA      | $318.54        | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SON0 PIMCO CDSOPT CALL USD 94.23437500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4000000 | NC      | $-13380.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 548203 GN 02/32 FIXED 6.5                    | CUSIP: 36213AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        659 | PA      | $678.37        | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31417 FG 07/37 FIXED 5.5            | CUSIP: 31281BSE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24768 | PA      | $25460.11      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0228 G2 06/47 FIXED 3.5                 | CUSIP: 3617AQHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     466079 | PA      | $433786.54     | 0.03%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-63                                         | FANNIE MAE FNR 2016 63 YI                              | CUSIP: 3136ATXU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63724 | PA      | $5143.96       | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA4650 FN 02/56 FIXED VAR                    | CUSIP: 3140W5EY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8421172 | PA      | $8396745.83    | 0.63%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                              | VOYA CLO LTD VOYA 2019 2A AR 144A                      | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     577107 | PA      | $576868.21     | 0.04%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DN9574 G2 12/55 FIXED 6                   | CUSIP: 3618MCT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     405589 | PA      | $412116.69     | 0.03%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                         | FANNIE MAE FNR 2019 62 SN                              | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268925 | PA      | $34155.07      | 0.00%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004215 G2 08/38 FIXED 5.5                 | CUSIP: 36202EVG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5097 | PA      | $5140.03       | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                         | FANNIE MAE FNR 2014 47 BI                              | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     201202 | PA      | $10190.51      | 0.00%             | 2054-08-25      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005140 G2 08/41 FIXED 4.5                 | CUSIP: 36202FV94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5914029 | PA      | $5864628.52    | 0.44%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY0044 FN 05/53 FIXED 4.5                    | CUSIP: 3140NGBN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     448504 | PA      | $435526.18     | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4434 FN 06/48 FIXED VAR                    | CUSIP: 3140J84U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81590 | PA      | $82206.94      | 0.01%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CF1730 G2 07/51 FIXED 3.5                 | CUSIP: 3617W24P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10742133 | PA      | $9732992.64    | 0.73%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BI1270 GN 08/48 FIXED 4                      | CUSIP: 3617HAMT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52723 | PA      | $51363.33      | 0.00%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 303                                            | FREDDIEMAC STRIP FHS 303 C19                           | CUSIP: 31325UEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     431062 | PA      | $68447.92      | 0.01%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003899 G2 09/36 FIXED 6                   | CUSIP: 36202EKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53202 | PA      | $55779.81      | 0.00%             | 2036-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9968 FN 11/33 FIXED 5.82                   | CUSIP: 3140LMCE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1230000 | PA      | $1328074.11    | 0.10%             | 2033-11-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UB9XA3 PIMCO SWAPTION 3.15 CALL USD 2026060         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17000000 | NC      | $26101.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711504 GN 04/40 FIXED 4.5                    | CUSIP: 36297GNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23059 | PA      | $23252.93      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9640 FN 11/36 FIXED VAR                    | CUSIP: 3140XDWA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238199 | PA      | $219455.13     | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2333 FN 02/50 FIXED VAR                    | CUSIP: 3140X5SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     244170 | PA      | $227891.09     | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0178 GN 05/42 FIXED 3.25                   | CUSIP: 36177WFT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160725 | PA      | $149699.55     | 0.01%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL CE4252 GN 10/51 FIXED 4                      | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     954104 | PA      | $897666.53     | 0.07%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004337 G2 01/39 FIXED 6                   | CUSIP: 36202EZA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27994 | PA      | $28425.69      | 0.00%             | 2039-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 595940 GN 10/32 FIXED 5.5                    | CUSIP: 36200BBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1613 | PA      | $1630.97       | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4549 FN 09/53 FIXED 6.5                    | CUSIP: 3140NMBT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157230 | PA      | $165298.17     | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4837 G2 11/47 FIXED 3.5                 | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79260 | PA      | $74526.47      | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD0549 G2 08/48 FIXED 5                   | CUSIP: 3617BFTE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     706660 | PA      | $696362.11     | 0.05%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4438                                           | FREDDIE MAC FHR 4438 WI                                | CUSIP: 3137BGLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122724 | PA      | $6694.61       | 0.00%             | 2038-11-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18666 FG 11/32 FIXED 3              | CUSIP: 3128MMW41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1305973 | PA      | $1269656.25    | 0.10%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO7543 G2 09/49 FIXED 3.5                 | CUSIP: 3617KPLY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     469111 | PA      | $426168.12     | 0.03%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6465 G2 02/50 FIXED 3.5                 | CUSIP: 36179VFE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71744 | PA      | $65494.80      | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4201 G2 10/39 FIXED 6                   | CUSIP: 36179SU21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4484 | PA      | $4713.66       | 0.00%             | 2039-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H050649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21283000 | PA      | $21081593.01   | 1.58%             | 2056-04-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ1871 G2 08/62 FIXED 5                   | CUSIP: 3618A4CG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99906 | PA      | $99488.33      | 0.01%             | 2062-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4975 FN 06/37 FIXED VAR                    | CUSIP: 3140XLQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187225 | PA      | $172491.43     | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 580936 GN 01/32 FIXED 7                      | CUSIP: 36201ELR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        575 | PA      | $590.12        | 0.00%             | 2032-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI9884 GN 08/44 FIXED 4                      | CUSIP: 36198W6V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41626 | PA      | $39661.60      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782928 GN 04/40 FIXED 5.5                    | CUSIP: 36241LHD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11535 | PA      | $11913.76      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8643 G2 02/53 FIXED 3                   | CUSIP: 36179XS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10545582 | PA      | $9475783.63    | 0.71%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546615 GN 08/34 FIXED 5.97                   | CUSIP: 36212XGY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43356 | PA      | $43763.66      | 0.00%             | 2034-08-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3343 FN 02/30 FIXED VAR                    | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     167502 | PA      | $164862.20     | 0.01%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 757039 GN 12/40 FIXED 4                      | CUSIP: 36230RZC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11190 | PA      | $10689.00      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003994 G2 06/37 FIXED 5                   | CUSIP: 36202ENK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39973 | PA      | $40692.82      | 0.00%             | 2037-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 559461 GN 01/32 FIXED 6                      | CUSIP: 36213NQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $216.21        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 530983 GN 06/31 FIXED 6.5                    | CUSIP: 36212D2Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2863 | PA      | $2949.03       | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE8055 FN 04/47 FIXED 4                      | CUSIP: 3140FT5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14185 | PA      | $13563.65      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6576 G2 05/62 FIXED 4                   | CUSIP: 3618FFJV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238885 | PA      | $224880.06     | 0.02%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1988 FN 07/48 FIXED 4.5                    | CUSIP: 3140Q9F65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     523745 | PA      | $515400.43     | 0.04%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY0131 FN 05/53 FIXED 5.5                    | CUSIP: 3140NGED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     659230 | PA      | $671523.10     | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4136                                           | FREDDIE MAC FHR 4136 IN                                | CUSIP: 3137AWHF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134767 | PA      | $2011.14       | 0.00%             | 2027-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-163                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 163 GZ         | CUSIP: 38381AA55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1357334 | PA      | $1265817.10    | 0.09%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004648 G2 03/40 FIXED 4                   | CUSIP: 36202FEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3661 | PA      | $3419.10       | 0.00%             | 2040-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256675 FN 04/27 FIXED 5                      | CUSIP: 31371NCL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        716 | PA      | $715.92        | 0.00%             | 2027-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 786795 G2 07/53 FIXED 6                   | CUSIP: 3622ACNL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159353 | PA      | $166083.76     | 0.01%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0503 FR 12/53 FIXED 6.5            | CUSIP: 3142GQRZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000922 | PA      | $5254478.05    | 0.39%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $120850.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546623 GN 12/34 FIXED 5.82                   | CUSIP: 36212XG82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93890 | PA      | $97528.11      | 0.01%             | 2034-12-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 468615 GN 09/31 FIXED 7.5                    | CUSIP: 36209DSC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3327 | PA      | $3383.16       | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB7792 GN 11/42 FIXED 3.5                    | CUSIP: 36178UUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24205 | PA      | $22757.43      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3597 G2 04/46 FIXED 3.5                 | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1158690 | PA      | $1091313.07    | 0.08%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6600000 | NC      | $400912.38     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA6149 G2 03/43 FIXED 3                   | CUSIP: 36178DZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154739 | PA      | $142644.08     | 0.01%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2537 FN 06/53 FIXED 5                      | CUSIP: 3140NJZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63184 | PA      | $63298.98      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM1631 FN 09/49 FIXED VAR                    | CUSIP: 3140X4Y59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     681426 | PA      | $600506.71     | 0.05%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004447 G2 05/39 FIXED 5                   | CUSIP: 36202E5G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48944 | PA      | $49751.61      | 0.00%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002433 G2 05/27 FIXED 8                   | CUSIP: 36202CV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        981 | PA      | $987.76        | 0.00%             | 2027-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U93RA6 PIMCO FPPSWAPTION 4.31 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $248791.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q59983 FG 11/48 FIXED 4.5            | CUSIP: 3132Y4CV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     699106 | PA      | $688830.50     | 0.05%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004245 G2 09/38 FIXED 6                   | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8938 | PA      | $9475.35       | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701529 GN 02/38 FIXED 6.5                    | CUSIP: 36296ULJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5507 | PA      | $5588.78       | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0427 FR 10/54 FIXED 6.5            | CUSIP: 31427MPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1031883 | PA      | $1090580.56    | 0.08%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3245 G2 12/62 FIXED 7                   | CUSIP: 3618AHTA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320661 | PA      | $335005.20     | 0.03%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9V6A7 PIMCO FPPSWAPTION 4.64 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   14000000 | NC      | $786392.60     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080821 G2 01/34 FLOATING VAR              | CUSIP: 36225C4F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43721 | PA      | $43890.18      | 0.00%             | 2034-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4892 G2 12/47 FIXED 4.5                 | CUSIP: 36179TNH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91505 | PA      | $89135.12      | 0.01%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4              | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     378953 | PA      | $363597.39     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 930917 FN 04/39 FIXED 4                      | CUSIP: 31412PG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79319 | PA      | $77705.27      | 0.01%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0167 FN 02/57 FIXED 3                      | CUSIP: 3140FXFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     954692 | PA      | $833398.47     | 0.06%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BQ7283 GN 11/49 FIXED 3.5                    | CUSIP: 3617LSCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     347237 | PA      | $319884.47     | 0.02%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896002 FN 07/36 FIXED 6                      | CUSIP: 31410SNT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2552 | PA      | $2647.11       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8501 FR 01/55 FIXED 7              | CUSIP: 3132DWNS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     284607 | PA      | $299333.30     | 0.02%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7571 FR 06/54 FIXED 6.5            | CUSIP: 3132DVMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2142974 | PA      | $2260422.69    | 0.17%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3590 FN 02/39 FIXED 4                      | CUSIP: 31418C7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96210 | PA      | $94126.14      | 0.01%             | 2039-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FH         | CUSIP: 38380QJA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2373026 | PA      | $2410264.48    | 0.18%             | 2070-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638415 GN 03/35 FIXED 5.57                   | CUSIP: 36291UGY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51070 | PA      | $51259.93      | 0.00%             | 2035-03-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552699 GN 08/32 FIXED 6.5                    | CUSIP: 36213E7L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62949 | PA      | $64894.09      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AP6055 FN 07/28 FIXED 2                      | CUSIP: 3138M9WR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60563 | PA      | $59308.03      | 0.00%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97AA5 PIMCO FPPSWAPTION 4.265 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3600000 | NC      | $161890.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4914 FN 02/48 FIXED 4                      | CUSIP: 3140H6N88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5969 | PA      | $5720.07       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $922330.14     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE7840 FN 02/47 FIXED 4                      | CUSIP: 3140FTWA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41865 | PA      | $40126.35      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA5594 G2 08/47 FIXED 3.5                 | CUSIP: 3617AJGB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     937101 | PA      | $872164.18     | 0.07%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 678014 G2 04/48 FIXED 4                   | CUSIP: 36295RGX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34533 | PA      | $32488.23      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 708331 GN 02/39 FIXED 6                      | CUSIP: 36297C4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1158 | PA      | $1196.61       | 0.00%             | 2039-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 745269 GN 06/40 FIXED 5                      | CUSIP: 3620C06E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4585 | PA      | $4620.70       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5279 FR 06/53 FIXED 5              | CUSIP: 3133C52L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98647 | PA      | $98517.72      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE8365 FN 06/48 FIXED 4.5                    | CUSIP: 3140FUJK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62109 | PA      | $61000.84      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CY2257 G2 12/61 FIXED 4                   | CUSIP: 3618G1QJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     174328 | PA      | $164108.13     | 0.01%             | 2061-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC         | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4747543 | PA      | $4753661.36    | 0.36%             | 2074-02-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699523 GN 11/38 FIXED 6.5                    | CUSIP: 36296SD44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22212 | PA      | $23824.69      | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 754138 GN 07/41 FIXED 4.5                    | CUSIP: 36230NS30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        772 | PA      | $760.00        | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3521 G2 03/46 FIXED 3.5                 | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2158865 | PA      | $2024375.93    | 0.15%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8650 G2 08/47 FIXED 3.5                 | CUSIP: 3617B0TF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154512 | PA      | $143668.56     | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9683 FN 10/28 FIXED 5.57                   | CUSIP: 3140LLXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     428636 | PA      | $430889.56     | 0.03%             | 2028-10-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004801 G2 09/40 FIXED 4.5                 | CUSIP: 36202FKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205526 | PA      | $203789.61     | 0.02%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6030 G2 07/49 FIXED 3.5                 | CUSIP: 36179UVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     472525 | PA      | $428821.91     | 0.03%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4248                                           | FREDDIE MAC FHR 4248 ES                                | CUSIP: 3137B4UN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3276177 | PA      | $3168466.36    | 0.24%             | 2041-05-15      | Floating      | 0.87%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                         | FANNIE MAE FNR 2024 38 FA                              | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12495589 | PA      | $12547334.74   | 0.94%             | 2051-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD0384 G2 10/47 FIXED 3.5                 | CUSIP: 3617BFM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99607 | PA      | $92273.86      | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 652605 GN 06/36 FIXED 6                      | CUSIP: 36292MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $77.18         | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 582176 GN 06/32 FIXED 7.5                    | CUSIP: 36201FXD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9042 | PA      | $9222.28       | 0.00%             | 2032-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNR-2021-158                                                      | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 158 IV         | CUSIP: 38382X6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7058683 | PA      | $1013328.26    | 0.08%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0253 G2 02/55 FIXED 2.5                 | CUSIP: 3618N5H77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2015649 | PA      | $1739650.84    | 0.13%             | 2055-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM4862 FN 11/50 FIXED VAR                    | CUSIP: 3140X8ML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2515982 | PA      | $2125350.86    | 0.16%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 579672 GN 03/32 FIXED 6.5                    | CUSIP: 36201C6H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        501 | PA      | $508.44        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 636773 GN 10/34 FIXED 6                      | CUSIP: 36291SMW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62128 | PA      | $63345.19      | 0.00%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA5434 FR 05/48 FIXED 3.5            | CUSIP: 31329PBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3440384 | PA      | $3201787.87    | 0.24%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS7939 FR 01/33 FIXED 2.5            | CUSIP: 3132A8ZC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169725 | PA      | $163176.84     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM7616 FN 06/36 FIXED VAR                    | CUSIP: 3140XBPA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     467576 | PA      | $430796.12     | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2645 FR 09/55 FIXED 6.5            | CUSIP: 31427P5F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     685877 | PA      | $721908.25     | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CF4589 G2 06/43 FIXED 3                   | CUSIP: 3617W6C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2482334 | PA      | $2234397.10    | 0.17%             | 2043-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H06                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H06 FB         | CUSIP: 38375BPW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        350 | PA      | $349.23        | 0.00%             | 2062-01-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK7606 FN 09/48 FIXED 4.5                    | CUSIP: 3140HMNY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2504579 | PA      | $2461951.00    | 0.18%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5265 G2 06/48 FIXED 4.5                 | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221467 | PA      | $218026.88     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 600124 GN 02/33 FIXED 6                      | CUSIP: 36200FVR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        495 | PA      | $506.79        | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AO6444 G2 08/45 FIXED 4.5                 | CUSIP: 3617A7ER8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163338 | PA      | $159898.84     | 0.01%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 520979 GN 09/30 FIXED 8.5                    | CUSIP: 36211RXG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        539 | PA      | $555.19        | 0.00%             | 2030-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 488894 GN 09/28 FIXED 7                      | CUSIP: 36210DC74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $120.62        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 562384 GN 08/34 FIXED 6                      | CUSIP: 36213RXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        769 | PA      | $780.38        | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV6718 FN 03/44 FIXED 3                      | CUSIP: 3138XJPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15876 | PA      | $14495.62      | 0.00%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DC7032 G2 07/54 FIXED 6.5                 | CUSIP: 3618HMY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234075 | PA      | $243592.94     | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB5640 GN 11/42 FIXED 3.5                    | CUSIP: 36178SHR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26387 | PA      | $24749.24      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 575824 GN 03/32 FIXED 6.5                    | CUSIP: 36200XVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $220.62        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6685 FN 07/53 FIXED 4                      | CUSIP: 3140QSNB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     230122 | PA      | $220511.79     | 0.02%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005201 G2 10/41 FIXED 4                   | CUSIP: 36202FX68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1009 | PA      | $952.09        | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H042653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   62701000 | PA      | $60506635.55   | 4.54%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                       | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A              | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2000000 | PA      | $2003162.98    | 0.15%             | 2036-04-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA2301 FN 05/45 FIXED VAR                    | CUSIP: 3140W2RX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1516237 | PA      | $1568608.39    | 0.12%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 666411 GN 09/43 FIXED 4                      | CUSIP: 36295CKY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32640 | PA      | $31180.49      | 0.00%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AQ0081 G2 11/45 FIXED 3.5                 | CUSIP: 36189MCS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10546 | PA      | $9750.89       | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       4000 | PA      | $3997.58       | 0.00%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5104                                           | FREDDIE MAC FHR 5104 UB                                | CUSIP: 3137H02A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6344696 | PA      | $5313376.75    | 0.40%             | 2044-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5009 G2 02/48 FIXED 3                   | CUSIP: 36179TR64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94491 | PA      | $83826.71      | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4306 FN 04/51 FIXED 2.5                    | CUSIP: 31418DYC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5428111 | PA      | $4605451.06    | 0.35%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004039 G2 10/37 FIXED 6                   | CUSIP: 36202EPY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27415 | PA      | $28821.58      | 0.00%             | 2037-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 568860 GN 12/31 FIXED 6                      | CUSIP: 36213Y5V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $39.66         | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5536 FN 11/39 FIXED 5.5                    | CUSIP: 31418FEJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410692 | PA      | $418984.37     | 0.03%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004670 G2 04/40 FIXED 4                   | CUSIP: 36202FFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10035 | PA      | $9370.77       | 0.00%             | 2040-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4451 G2 05/47 FIXED 3.5                 | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2516084 | PA      | $2367126.70    | 0.18%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486597 GN 10/28 FIXED 6                      | CUSIP: 36210ARS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $67.42         | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 742276 G2 01/39 FIXED 5.5                 | CUSIP: 3620AWT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183752 | PA      | $186958.58     | 0.01%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 478967 GN 12/29 FIXED 8                      | CUSIP: 36209RCC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4783 | PA      | $4840.60       | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 778753 GN 01/42 FIXED 3.5                    | CUSIP: 36176W5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4129 | PA      | $3897.47       | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1993 G2 03/50 FIXED 3.5                 | CUSIP: 3617MQGA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     350370 | PA      | $324079.16     | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFAA5 PIMCO SWAPTION 3.635 PUT USD 2026091         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10400000 | NC      | $196286.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0618 G2 09/55 FIXED 3                   | CUSIP: 3618N5VL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1769888 | PA      | $1583644.79    | 0.12%             | 2055-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS7211 FN 02/54 FIXED VAR                    | CUSIP: 3140XPAM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2823377 | PA      | $2956095.17    | 0.22%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785821 G2 12/51 FIXED 2.5                 | CUSIP: 3622ABLA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     341884 | PA      | $294540.08     | 0.02%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2095 FN 07/48 FIXED 4.5                    | CUSIP: 3140Q9KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2504544 | PA      | $2461192.89    | 0.18%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ5550 FN 12/32 FIXED 4.3                    | CUSIP: 3140Q1EY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27500000 | PA      | $27276448.10   | 2.04%             | 2032-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98WA9 PIMCO FPPSWAPTION 4.285 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $177569.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780864 GN 09/28 FIXED 6                      | CUSIP: 36225A5Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.80         | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2013-MH1                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 MH1 A 144A      | CUSIP: 12647RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1404297 | PA      | $1269734.45    | 0.10%             | 2053-05-27      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617189 GN 08/36 FIXED 6.5                    | CUSIP: 36290TUN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3421 | PA      | $3632.65       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670076 GN 06/37 FIXED 6                      | CUSIP: 36295GMZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        572 | PA      | $592.70        | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 841056 FH 01/50 FLOATING VAR         | CUSIP: 31288QE55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     725263 | PA      | $714328.08     | 0.05%             | 2050-01-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-23                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 23 KA          | CUSIP: 38379VRN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75008 | PA      | $74507.12      | 0.01%             | 2031-01-20      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 448340 GN 04/31 FIXED 8                      | CUSIP: 36208EBH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8925 | PA      | $9002.09       | 0.00%             | 2031-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA2565 G2 05/47 FIXED 4.5                 | CUSIP: 3617AEZ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104607 | PA      | $102211.44     | 0.01%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/20/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1428979.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2022-45                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 45 ZQ          | CUSIP: 38383MP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1009061 | PA      | $641159.91     | 0.05%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9M8A5 PIMCO FPPSWAPTION 4.44 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $280090.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-64                                         | FANNIE MAE FNR 2018 64 ET                              | CUSIP: 3136B22X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385312 | PA      | $345975.28     | 0.03%             | 2048-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 600008 GN 05/33 FIXED 5.25                   | CUSIP: 36200FR59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3950 | PA      | $3951.61       | 0.00%             | 2033-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711363 GN 04/34 FIXED 5.5                    | CUSIP: 36297GJG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        465 | PA      | $472.67        | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004459 G2 06/39 FIXED 5                   | CUSIP: 36202E5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3133 | PA      | $3191.62       | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 787213 G2 06/49 FIXED 3.5                 | CUSIP: 3622AC3W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19056721 | PA      | $17413534.26   | 1.31%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2527 FN 08/32 FIXED VAR                    | CUSIP: 3138EJYZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34582 | PA      | $33593.32      | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 939477 FN 06/37 FIXED 5                      | CUSIP: 31413AFS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        827 | PA      | $832.01        | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8462 FR 09/54 FIXED 5.5            | CUSIP: 3132DWMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9533911 | PA      | $9587169.42    | 0.72%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004410 G2 04/39 FIXED 4                   | CUSIP: 36202E3T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34226 | PA      | $32828.04      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 517282 GN 03/30 FIXED 7.5                    | CUSIP: 36211MUF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1703 | PA      | $1731.02       | 0.00%             | 2030-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5180 FR 08/42 FIXED 3              | CUSIP: 3133KYXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6575 | PA      | $6102.54       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO9393 G2 05/62 FIXED 4.5                 | CUSIP: 3617FMNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60268 | PA      | $57905.54      | 0.00%             | 2062-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8627 FN 07/54 FIXED VAR                    | CUSIP: 3140XQSR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1243081 | PA      | $1306318.78    | 0.10%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1423 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1953825 | PA      | $1683256.87    | 0.13%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784017 G2 07/45 FIXED 4.5                 | CUSIP: 3622A2PA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277026 | PA      | $272411.00     | 0.02%             | 2045-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2436 G2 12/44 FIXED 4                   | CUSIP: 36179QV57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     722420 | PA      | $681691.82     | 0.05%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 583287 GN 06/32 FIXED 6.5                    | CUSIP: 36201G6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1074 | PA      | $1133.03       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2570 G2 05/48 FIXED 4                   | CUSIP: 3617G82B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28238 | PA      | $26624.64      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004240 G2 09/38 FIXED 6.5                 | CUSIP: 36202EV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64175 | PA      | $66444.35      | 0.00%             | 2038-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6599 G2 04/50 FIXED 3                   | CUSIP: 36179VKL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8605984 | PA      | $7711608.49    | 0.58%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-36                                         | FANNIE MAE FNR 2018 36 SA                              | CUSIP: 3136B2DF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2318332 | PA      | $279259.56     | 0.02%             | 2048-06-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-4832                                                  | FREDDIE MAC FHR 4832 FW                                | CUSIP: 3137FHRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1520096 | PA      | $1501904.55    | 0.11%             | 2038-04-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 353917 GN 10/27 FIXED 7                      | CUSIP: 36203NDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.76          | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CG8392 G2 09/51 FIXED 3                   | CUSIP: 3617WNKD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     524582 | PA      | $464413.19     | 0.03%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-99                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 99 DF          | CUSIP: 38379DDQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7425824 | PA      | $7346398.22    | 0.55%             | 2036-11-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE7131 FN 02/47 FIXED 3.5                    | CUSIP: 3140FS4R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     769102 | PA      | $718947.64     | 0.05%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780588 GN 06/27 FIXED 7                      | CUSIP: 36225AUM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.54          | 0.00%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704105 GN 12/38 FIXED 7                      | CUSIP: 36296XGN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $164.34        | 0.00%             | 2038-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003515 G2 02/34 FIXED 5.5                 | CUSIP: 36202D3Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $281.74        | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5653 G2 12/48 FIXED 5                   | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     334198 | PA      | $337014.50     | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704098 GN 12/38 FIXED 6                      | CUSIP: 36296XGF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1006 | PA      | $1056.40       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA7152 FN 02/54 FIXED 6.5                    | CUSIP: 3140A75N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60709 | PA      | $63981.14      | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764981 GN 02/42 FIXED 3.5                    | CUSIP: 36176FUE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53224 | PA      | $50090.96      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7818 G2 01/52 FIXED 3.5                 | CUSIP: 36179WVK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     512896 | PA      | $463755.51     | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AN5339 G2 02/39 FIXED 6                   | CUSIP: 36186J4Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1475771 | PA      | $1556039.68    | 0.12%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673009 GN 08/38 FIXED 6                      | CUSIP: 36295KVA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        602 | PA      | $634.73        | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 544524 GN 05/31 FIXED 6.5                    | CUSIP: 36212U4H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $475.22        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP7525 G2 09/62 FIXED 5                   | CUSIP: 3617FXLE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80185 | PA      | $79850.40      | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ0617 FN 08/30 FIXED 5.7                    | CUSIP: 3140NUVK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     926595 | PA      | $975309.13     | 0.07%             | 2030-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2144 GN 02/45 FIXED 4                      | CUSIP: 36183XLZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26012 | PA      | $24957.29      | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 747382 GN 07/40 FIXED 4.05                   | CUSIP: 3620C3J37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82418 | PA      | $78543.40      | 0.01%             | 2040-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG5667 G2 06/48 FIXED 4                   | CUSIP: 3617GQJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41263 | PA      | $39976.88      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704624 GN 07/39 FIXED 4.5                    | CUSIP: 36296XYV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     404409 | PA      | $405808.53     | 0.03%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003876 G2 07/36 FIXED 5                   | CUSIP: 36202EJV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2698 | PA      | $2739.15       | 0.00%             | 2036-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                           | FREDDIE MAC FHR 4988 IL                                | CUSIP: 3137FUPG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19525840 | PA      | $3610021.22    | 0.27%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKZ7 PIMCO CDSOPT PUT USD 99.09765625 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   39000000 | NC      | $33805.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004284 G2 11/38 FIXED 5.5                 | CUSIP: 36202EXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4518 | PA      | $4549.23       | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785657 G2 10/51 FIXED 2.5                 | CUSIP: 3622ABE65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     546498 | PA      | $470821.29     | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5166 FN 10/53 FIXED 6                      | CUSIP: 31418EW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1026409 | PA      | $1050128.80    | 0.08%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17743 FG 01/27 FIXED 3              | CUSIP: 3128PXS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50878 | PA      | $50608.37      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 550750 GN 12/35 FIXED 5.5                    | CUSIP: 36213CZP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4963 | PA      | $5005.21       | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4521 FN 08/38 FIXED VAR                    | CUSIP: 3140J9AX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148279 | PA      | $145459.20     | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA2579 G2 05/47 FIXED 4.5                 | CUSIP: 3617AE2L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123879 | PA      | $120583.60     | 0.01%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003489 G2 12/33 FIXED 6                   | CUSIP: 36202D2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        667 | PA      | $690.71        | 0.00%             | 2033-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3156 G2 12/62 FIXED 7                   | CUSIP: 3618AHQH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58309 | PA      | $60777.78      | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA         | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113183 | PA      | $113583.11     | 0.01%             | 2066-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2151 G2 08/44 FIXED 5                   | CUSIP: 36179QL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     696531 | PA      | $708453.34     | 0.05%             | 2044-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 755473 GN 09/40 FIXED 4.05                   | CUSIP: 36230QCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49520 | PA      | $47226.20      | 0.00%             | 2040-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DP0990 G2 12/55 FIXED 6                   | CUSIP: 3618MFC30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     536839 | PA      | $545381.54     | 0.04%             | 2055-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5018 G2 02/48 FIXED 3                   | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1085822 | PA      | $982069.97     | 0.07%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 786973 G2 09/53 FIXED 6                   | CUSIP: 3622ACT67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86862 | PA      | $90530.92      | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9QXA8 PIMCO FPPSWAPTION 4.55875 CALL USD           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   13000000 | NC      | $697031.40     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2964 FN 04/32 FIXED 3                      | CUSIP: 31418CJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1728975 | PA      | $1680764.32    | 0.13%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-47                                         | FANNIE MAE FNR 2015 47 GI                              | CUSIP: 3136APDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16270 | PA      | $723.40        | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004949 G2 02/41 FIXED 4                   | CUSIP: 36202FQA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3275 | PA      | $3090.34       | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698330 GN 05/39 FIXED 5                      | CUSIP: 36296QY37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18354 | PA      | $18746.73      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                          | FANNIE MAE FNR 2021 3 TI                               | CUSIP: 3136BDR42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3084032 | PA      | $526542.37     | 0.04%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-146                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 146 SB         | CUSIP: 38382KWK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1881212 | PA      | $262329.57     | 0.02%             | 2050-10-20      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BQ7066 G2 04/50 FIXED 3.5                 | CUSIP: 3617LRZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     897686 | PA      | $820528.65     | 0.06%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781516 GN 09/32 FIXED 6.5                    | CUSIP: 36225BVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        785 | PA      | $821.75        | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q51769 FG 11/47 FIXED 3.5            | CUSIP: 3132XT6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268800 | PA      | $250694.62     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0418 G2 04/55 FIXED 2.5                 | CUSIP: 3618N5PC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1785410 | PA      | $1540370.57    | 0.12%             | 2055-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 561564 GN 08/31 FIXED 7                      | CUSIP: 36213QZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        880 | PA      | $906.64        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H01 FV         | CUSIP: 38380LPB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107888 | PA      | $109053.53     | 0.01%             | 2068-12-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H11 FJ         | CUSIP: 38380LFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248580 | PA      | $250045.45     | 0.02%             | 2068-06-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CX4953 G2 06/56 FIXED 4                   | CUSIP: 3618FRQE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73784 | PA      | $69459.97      | 0.01%             | 2056-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8085 FR 07/53 FIXED 5.5            | CUSIP: 3133C86W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     406747 | PA      | $417085.44     | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98VA0 PIMCO FPPSWAPTION 4.285 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $251592.51     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD0559 G2 09/48 FIXED 5                   | CUSIP: 3617BFTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240862 | PA      | $237351.58     | 0.02%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 723336 FN 09/33 FIXED 4.5                    | CUSIP: 31402ASZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9626 | PA      | $9464.14       | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 787993 G2 06/55 FIXED 7                   | CUSIP: 3622ADXW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     655390 | PA      | $667691.92     | 0.05%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5390 G2 08/48 FIXED 5                   | CUSIP: 36179T7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49520 | PA      | $48863.98      | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 651815 GN 05/36 FIXED 6                      | CUSIP: 36292LDU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $377.41        | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2444 FN 10/48 FIXED 4.5                    | CUSIP: 3140Q9WE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2557563 | PA      | $2509975.26    | 0.19%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 635198 G2 05/47 FIXED 3                   | CUSIP: 36291QUX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     840068 | PA      | $757213.75     | 0.06%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0497 FN 11/39 FIXED VAR                    | CUSIP: 31418MRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67158 | PA      | $69079.21      | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG1480 FR 04/53 FIXED 5              | CUSIP: 3133C1UD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     387557 | PA      | $386206.85     | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003273 G2 08/32 FIXED 6                   | CUSIP: 36202DT68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        279 | PA      | $290.48        | 0.00%             | 2032-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC77A5 PIMCO SWAPTION 4.055 PUT USD 2026040         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7600000 | NC      | $3542.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC         | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8085439 | PA      | $8276411.82    | 0.62%             | 2073-05-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD0240 GN 04/43 FIXED 4                      | CUSIP: 36180BHR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166487 | PA      | $157761.85     | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1411 G2 11/50 FIXED 3.5                 | CUSIP: 3617U8R82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     629611 | PA      | $584447.24     | 0.04%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4695 FN 07/42 FIXED 3                      | CUSIP: 31418EGD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132489 | PA      | $122148.98     | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552313 GN 01/32 FIXED 6                      | CUSIP: 36213ESA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $150.29        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0179 GN 05/42 FIXED 3.25                   | CUSIP: 36177WFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251626 | PA      | $233295.16     | 0.02%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602211 GN 03/33 FIXED 5.5                    | CUSIP: 36200JAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $287.18        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003443 G2 09/33 FIXED 5.5                 | CUSIP: 36202DZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63062 | PA      | $64422.87      | 0.00%             | 2033-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783007 GN 06/40 FIXED 4.5                    | CUSIP: 36241LKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1061822 | PA      | $1043091.85    | 0.08%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 663852 GN 02/37 FIXED 5.5                    | CUSIP: 36294YQD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2757 | PA      | $2830.47       | 0.00%             | 2037-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO9345 GN 12/45 FIXED 4.5                    | CUSIP: 3617AAL28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3302 | PA      | $3197.58       | 0.00%             | 2045-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DB8068 G2 07/54 FIXED 6.5                 | CUSIP: 3618HA6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     639858 | PA      | $663889.52     | 0.05%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698329 GN 05/39 FIXED 4.5                    | CUSIP: 36296QY29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3796 | PA      | $3780.81       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672629 GN 03/38 FIXED 6                      | CUSIP: 36295KHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        361 | PA      | $382.44        | 0.00%             | 2038-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN6483 G2 12/45 FIXED 3                   | CUSIP: 3617F6FY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1163569 | PA      | $1047253.95    | 0.08%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AE8345 G2 05/44 FIXED 4                   | CUSIP: 36181CHW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80983 | PA      | $77711.82      | 0.01%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676015 GN 08/38 FIXED 6.5                    | CUSIP: 36295PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4017 | PA      | $4242.96       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486516 GN 09/28 FIXED 6.5                    | CUSIP: 36210AN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.33         | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002740 G2 04/29 FIXED 6                   | CUSIP: 36202DBH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.60         | 0.00%             | 2029-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 542852 GN 06/31 FIXED 6.5                    | CUSIP: 36212TBV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        828 | PA      | $851.28        | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004286 G2 11/38 FIXED 6.5                 | CUSIP: 36202EXP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11938 | PA      | $12294.35      | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DC3280 FN 09/54 FIXED 6.5                    | CUSIP: 3140AQUE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     758580 | PA      | $785002.39     | 0.06%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 605621 G2 08/34 FIXED 6                   | CUSIP: 36200NYS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1379 | PA      | $1378.39       | 0.00%             | 2034-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745101 FN 04/32 FIXED VAR                    | CUSIP: 31403CX63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7088 | PA      | $7193.07       | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5019 G2 02/48 FIXED 3.5                 | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154350 | PA      | $144751.28     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AP0335 FN 07/42 FIXED 3                      | CUSIP: 3138M3LR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1487 | PA      | $1372.86       | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD8801 GN 03/43 FIXED 3.5                    | CUSIP: 36180MX69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     237802 | PA      | $223949.93     | 0.02%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17813 FG 01/27 FIXED 3              | CUSIP: 3128PXVE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46185 | PA      | $45939.44      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP6892 G2 09/62 FIXED 5                   | CUSIP: 3617FWUR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169456 | PA      | $168748.13     | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 571228 GN 10/31 FIXED 7                      | CUSIP: 36200SSR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $241.13        | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 477043 GN 06/30 FIXED 8                      | CUSIP: 36209N5C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        845 | PA      | $866.20        | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N30139 FG 10/37 FIXED 5.5            | CUSIP: 31281AEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2325 | PA      | $2330.36       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9048 G2 11/47 FIXED 3.5                 | CUSIP: 3617BRBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     514319 | PA      | $478678.88     | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626967 GN 08/45 FIXED 3                      | CUSIP: 36291FQU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183927 | PA      | $165790.96     | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q62642 FG 03/49 FIXED 3.5            | CUSIP: 3132VN5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62900 | PA      | $58438.23      | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKY0 PIMCO CDSOPT PUT USD 99.09375000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6500000 | NC      | $5611.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-36                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 36 IO          | CUSIP: 38376GGH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2198053 | PA      | $21.98         | 0.00%             | 2052-01-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS2690 G2 02/50 FIXED 3                   | CUSIP: 3617MC7B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     440029 | PA      | $386003.70     | 0.03%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1910 FN 01/44 FIXED VAR                    | CUSIP: 3140XHDQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     254929 | PA      | $241334.66     | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 779579 GN 10/41 FIXED 3.5                    | CUSIP: 36176X2L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55140 | PA      | $51909.72      | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CY2462 G2 05/62 FIXED 4                   | CUSIP: 3618G1WX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94293 | PA      | $88765.66      | 0.01%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5684 FN 04/40 FIXED 5.5                    | CUSIP: 31418FJ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28652 | PA      | $29230.28      | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005082 G2 06/41 FIXED 4.5                 | CUSIP: 36202FUF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410319 | PA      | $404668.11     | 0.03%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                            | FREDDIEMAC STRIP FHS 389 C40                           | CUSIP: 31325YRU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17684542 | PA      | $2673804.90    | 0.20%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4940                                           | FREDDIE MAC FHR 4940 FE                                | CUSIP: 3137FQLW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128153 | PA      | $126248.65     | 0.01%             | 2050-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002496 G2 10/27 FIXED 7                   | CUSIP: 36202CXZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $99.35         | 0.00%             | 2027-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS2505 G2 01/50 FIXED 3                   | CUSIP: 3617MCYA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2160527 | PA      | $1900604.80    | 0.14%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 736782 G2 12/42 FIXED 3.15                | CUSIP: 3620AQRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127016 | PA      | $114681.80     | 0.01%             | 2042-12-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780618 GN 08/27 FIXED 8                      | CUSIP: 36225AVK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $107.09        | 0.00%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-64                                         | FANNIE MAE FNR 2015 64 KS                              | CUSIP: 3136AP3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84563 | PA      | $3240.01       | 0.00%             | 2045-09-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5806 G2 03/49 FIXED 3.5                 | CUSIP: 36179UNX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74248 | PA      | $67381.70      | 0.01%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 737004 G2 04/36 FIXED 5.5                 | CUSIP: 3620AQX99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77699 | PA      | $77936.02      | 0.01%             | 2036-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-77                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 77 GI          | CUSIP: 38378PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     849319 | PA      | $68592.96      | 0.01%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3.5 JUMBOS                           | CUSIP: 21H032639<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  122261646 | PA      | $112196857.01  | 8.41%             | 2056-03-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-77                                         | FANNIE MAE FNR 2012 77 IO                              | CUSIP: 3136A6H98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132098 | PA      | $6041.60       | 0.00%             | 2052-07-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003415 G2 07/33 FIXED 5.5                 | CUSIP: 36202DYL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95034 | PA      | $97248.88      | 0.01%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY9287 FN 10/53 FIXED 6.5                    | CUSIP: 3140NSJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82280 | PA      | $86665.41      | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5887 FN 11/40 FIXED 5.5                    | CUSIP: 31418FRH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1933003 | PA      | $1971578.24    | 0.15%             | 2040-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 466949 GN 04/28 FIXED 6.5                    | CUSIP: 36209BWJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $33.40         | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO7526 G2 05/62 FIXED 4.5                 | CUSIP: 3617FKLF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197255 | PA      | $189523.80     | 0.01%             | 2062-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                            | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      20000 | PA      | $19888.88      | 0.00%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782336 GN 05/38 FIXED 6                      | CUSIP: 36241KSZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18063 | PA      | $18822.04      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004746 G2 07/40 FIXED 4.5                 | CUSIP: 36202FHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67925 | PA      | $67395.81      | 0.01%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ9833 G2 10/47 FIXED 3.5                 | CUSIP: 3617HX4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     185388 | PA      | $172544.20     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO9185 G2 08/49 FIXED 4.5                 | CUSIP: 3617KRF27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88921 | PA      | $86547.70      | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16500000 | NC      | $-62467.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2961 G2 07/45 FIXED 3.5                 | CUSIP: 36179RJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1363903 | PA      | $1284584.89    | 0.10%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE8409 FN 03/47 FIXED 4                      | CUSIP: 3140FUKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4280 | PA      | $4099.51       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL WN2175 FR 03/32 FIXED 3.05           | CUSIP: 3132XGMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1770805 | PA      | $1649584.08    | 0.12%             | 2032-03-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638426 GN 05/35 FIXED 5.53                   | CUSIP: 36291UHB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64561 | PA      | $66515.57      | 0.00%             | 2035-05-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 726341 GN 09/39 FIXED 5.5                    | CUSIP: 3620AC5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2876 | PA      | $2953.46       | 0.00%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97WA1 PIMCO FPPSWAPTION 4.3075 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7200000 | NC      | $332460.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                                         | FANNIE MAE FNR 2015 58 AI                              | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127360 | PA      | $5807.24       | 0.00%             | 2055-08-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8097 FN 04/33 FIXED 4.7                    | CUSIP: 3140LJ7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     740302 | PA      | $749623.05     | 0.06%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-56                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 56 NO          | CUSIP: 38374VLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     207347 | PA      | $177132.07     | 0.01%             | 2039-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7445 FN 11/53 FIXED 6.5                    | CUSIP: 3140QTHX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1025831 | PA      | $1077227.38    | 0.08%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7000 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     459013 | PA      | $391517.91     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ3033 GN 06/45 FIXED 3.5                    | CUSIP: 36182XLN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89959 | PA      | $84522.69      | 0.01%             | 2045-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN1098 G2 06/62 FIXED 4.5                 | CUSIP: 3617YYGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     347707 | PA      | $334077.44     | 0.03%             | 2062-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9140 G2 01/48 FIXED 3.5                 | CUSIP: 3617BREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     812975 | PA      | $756647.79     | 0.06%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 778943 GN 03/42 FIXED 3.5                    | CUSIP: 36176XEQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79280 | PA      | $74837.32      | 0.01%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SNE1 PIMCO CDSOPT CALL USD 94.81250000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8500000 | NC      | $-10237.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 418                                     | FANNIEMAE STRIP FNS 418 C15                            | CUSIP: 31395Q3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72583 | PA      | $12275.96      | 0.00%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                 | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     447240 | PA      | $410527.25     | 0.03%             | 2056-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BQ1266 GN 11/49 FIXED 3.5                    | CUSIP: 3617LKMP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97130 | PA      | $89481.55      | 0.01%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH0035 G2 05/48 FIXED 4.5                 | CUSIP: 3617GWBC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1193450 | PA      | $1162149.23    | 0.09%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-93                                         | FANNIE MAE FNR 2025 93 FA                              | CUSIP: 3136BXS39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2999798 | PA      | $3010334.34    | 0.23%             | 2055-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5534 G2 12/38 FIXED 7                   | CUSIP: 36179UEF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8972 | PA      | $9243.75       | 0.00%             | 2038-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO6778 FN 06/42 FIXED 4                      | CUSIP: 3138LXQ85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     816078 | PA      | $788106.92     | 0.06%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SC0050 FR 02/40 FIXED 3              | CUSIP: 3132D9BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5794775 | PA      | $5387633.71    | 0.40%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA2871 FN 09/55 FIXED VAR                    | CUSIP: 3140W3FM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     563464 | PA      | $593064.55     | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 550151 GN 07/31 FIXED 8                      | CUSIP: 36213CEY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20932 | PA      | $21306.38      | 0.00%             | 2031-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -38600000 | PA      | $-36397395.22  | -2.73%            | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 25-210                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 210 QN         | CUSIP: 38385KCA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2980872 | PA      | $2946876.48    | 0.22%             | 2054-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC1920 G2 09/47 FIXED 3.5                 | CUSIP: 3617B5DZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     673276 | PA      | $625790.94     | 0.05%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604723 GN 10/33 FIXED 6                      | CUSIP: 36200MYU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $290.44        | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004071 G2 01/38 FIXED 5                   | CUSIP: 36202EQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        676 | PA      | $688.50        | 0.00%             | 2038-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672391 GN 12/37 FIXED 6                      | CUSIP: 36295J7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        541 | PA      | $570.53        | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784010 GN 03/45 FIXED 4                      | CUSIP: 3622A2N32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392050 | PA      | $382010.27     | 0.03%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC30A1 PIMCO SWAPTION 4.088 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-10025.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6330 G2 01/48 FIXED 3.5                 | CUSIP: 3617G1A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     290075 | PA      | $269617.86     | 0.02%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 JF         | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     929983 | PA      | $938097.85     | 0.07%             | 2074-04-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782106 GN 07/36 FIXED 6.5                    | CUSIP: 36241KKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4237 | PA      | $4559.02       | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H17 FB         | CUSIP: 38383KBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18780758 | PA      | $19050366.88   | 1.43%             | 2073-07-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD6621 FR 10/54 FIXED 6              | CUSIP: 3132DULA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     947480 | PA      | $983574.35     | 0.07%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 473458 GN 04/28 FIXED 6.5                    | CUSIP: 36209J5T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2479 | PA      | $2552.06       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4274                                           | FREDDIE MAC FHR 4274 VS                                | CUSIP: 3137B5WB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     297703 | PA      | $279499.62     | 0.02%             | 2035-10-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4894 FN 01/53 FIXED 6                      | CUSIP: 31418ENL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     988006 | PA      | $1012349.74    | 0.08%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004220 G2 08/38 FIXED 5                   | CUSIP: 36202EVM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        708 | PA      | $721.37        | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS3768 FR 06/43 FIXED 3.5            | CUSIP: 3132A4FH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     618851 | PA      | $583129.87     | 0.04%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4627                                           | FREDDIE MAC FHR 4627 PH                                | CUSIP: 3137BSBG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3088758 | PA      | $3025523.02    | 0.23%             | 2044-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ1543 G2 09/48 FIXED 4                   | CUSIP: 3617HNWC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     976204 | PA      | $945766.60     | 0.07%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546624 GN 12/34 FIXED 5.72                   | CUSIP: 36212XG90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43295 | PA      | $44811.79      | 0.00%             | 2034-12-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17900000 | NC      | $1014196.10    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM1522 G2 01/63 FIXED 3.5                 | CUSIP: 3617YLVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     362204 | PA      | $329229.55     | 0.02%             | 2063-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1410 G2 11/50 FIXED 3.5                 | CUSIP: 3617U8R74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1469866 | PA      | $1362598.13    | 0.10%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 687728 GN 05/38 FIXED 6                      | CUSIP: 36296DA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1368 | PA      | $1424.18       | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK7336 GN 04/45 FIXED 3.5                    | CUSIP: 36183REH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     334418 | PA      | $314211.21     | 0.02%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8176 FN 04/33 FIXED 4.385                  | CUSIP: 3140LKCN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     828000 | PA      | $821278.71     | 0.06%             | 2033-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 595082 GN 10/32 FIXED 6                      | CUSIP: 36200ACT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $176.86        | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                      | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A              | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2607764.25    | 0.20%             | 2037-04-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8202 FN 04/28 FIXED 4.14                   | CUSIP: 3140LKDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     774125 | PA      | $774597.45     | 0.06%             | 2028-04-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2008-34                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2008 34 OC          | CUSIP: 383742P64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45223 | PA      | $34562.51      | 0.00%             | 2037-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 436019 GN 12/27 FIXED 7                      | CUSIP: 36207MK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1961 | PA      | $1973.19       | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 755958 GN 01/41 FIXED 4                      | CUSIP: 36230QTP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2150 | PA      | $2068.27       | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781448 GN 05/32 FIXED 7                      | CUSIP: 36225BTD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        354 | PA      | $368.48        | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNR-2021-155                                                      | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 155 ID         | CUSIP: 38383AJX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4261918 | PA      | $714971.33     | 0.05%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17848 FG 01/27 FIXED 3              | CUSIP: 3128PXWH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22824 | PA      | $22702.91      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2533 FN 06/48 FIXED VAR                    | CUSIP: 3140X5Y72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99170 | PA      | $95029.52      | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1447 G2 11/43 FIXED 3                   | CUSIP: 36179NTC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1115775 | PA      | $1021192.08    | 0.08%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK7861 G2 02/49 FIXED 4.5                 | CUSIP: 3617J8WW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1597725 | PA      | $1547035.73    | 0.12%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0645 FN 10/43 FIXED 3.5                    | CUSIP: 3138W9WF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     778874 | PA      | $734041.79     | 0.06%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC7705 G2 10/47 FIXED 4.5                 | CUSIP: 3617BBR29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151838 | PA      | $148222.67     | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS9462 FN 04/47 FIXED 3.5                    | CUSIP: 3138WKQQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5824872 | PA      | $5477675.99    | 0.41%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKWA9 PIMCO SWAPTION 3.48 CALL USD 2026071         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   29900000 | NC      | $188220.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737419 GN 09/40 FIXED 3.5                    | CUSIP: 3620ARG47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73479 | PA      | $69361.40      | 0.01%             | 2040-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042442<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8700000 | PA      | $8638694.06    | 0.65%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004028 G2 09/37 FIXED 6                   | CUSIP: 36202EPM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        536 | PA      | $563.72        | 0.00%             | 2037-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2002-83                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2002 83 IO          | CUSIP: 38373VT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34628 | PA      | $0.24          | 0.00%             | 2042-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604471 GN 07/33 FIXED 5.5                    | CUSIP: 36200MQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        278 | PA      | $284.57        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV2                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV2 A3B 144A | CUSIP: 17331WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1367319 | PA      | $1394390.58    | 0.10%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0063 FR 08/49 FIXED 3.5            | CUSIP: 3132DMB87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1211207 | PA      | $1124394.15    | 0.08%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-1                                          | FANNIE MAE FNR 2019 1 HF                               | CUSIP: 3136B3ZE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149135 | PA      | $146901.12     | 0.01%             | 2049-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS7386 FN 12/29 FIXED 4.77                   | CUSIP: 3140LJF43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     674000 | PA      | $684118.36     | 0.05%             | 2029-12-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer