# EDGAR Filing Document

**Accession Number:** 0001478482
**File Stem:** 0001478482-26-000172
**Filing Date:** 2026-5
**Character Count:** 184299
**Document Hash:** daee9e491e38feec73e4cfcd94717025
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001478482-26-000172.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001478482-26-000172

**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:** John Hancock Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001478482

**ORGANIZATION NAME:**
- **EIN:** 001017025
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22733
- **FILM NUMBER:** 261039526

**BUSINESS ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116
- **BUSINESS PHONE:** 617-663-3000

**MAIL ADDRESS:**
- **STREET 1:** C/O JOHN HANCOCK FUNDS
- **STREET 2:** 200 BERKELEY STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02116

## Series and Classes Contracts Data

### John Hancock Mortgage-Backed Securities ETF (Series ID: S000072179)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000227987 | John Hancock Mortgage-Backed Securities ETF | JHMB            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** John Hancock Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22733

- **c. CIK number of Registrant:** 0001478482

- **d. LEI of Registrant:** 5493009IOCA1ISM4Y592

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

  - **Street Address 1:** 200 Berkeley Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02116

  - **Telephone number:** 617-543-9634

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

- **a. Name of Series:** John Hancock Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000072179

- **c. LEI of Series:** 549300DHVXX83H8NVG29

**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:** $223482260.68

**Total Liabilities:** $10804048.14

**Net Assets:** $212678212.54

**Delayed Delivery Securities:** $9142210.63

**Cash Not Reported:** $266.13

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -567.997475000000 | **1-Year:** -11428.280538000000 | **5-Year:** -34646.112846000000 | **10-Year:** -52702.684131000100 | **30-Year:** -14042.032812000000

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

- **3-Month:** -17.207265000000 | **1-Year:** -320.390223000000 | **5-Year:** -1316.038852000000 | **10-Year:** -623.596088000000 | **30-Year:** -39.395217000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000227987 | 0.53%                | 1.65%                | -1.93%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $72924.61                | $159260.93                                 |
| Month 2  | $78093.66                | $2579683.87                                |
| Month 3  | $-30346.92               | $-4972468.03                               |

### Schedule of Portfolio Investments

| Name                                                   | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275833 | PA      | $268243.12    | 0.13%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4                      | FREDDIE MAC POOL FR 09/52 FIXED 4                       | CUSIP: 3132DPAL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110554 | PA      | $105032.31    | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/52 FIXED 4                      | FREDDIE MAC POOL FR 11/52 FIXED 4                       | CUSIP: 3132DPC97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    850702 | PA      | $814325.36    | 0.38%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 2.5                      | CUSIP: 3140QNL75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207222 | PA      | $175216.99    | 0.08%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131226 | PA      | $1009406.14   | 0.47%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 2                        | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113378 | PA      | $910217.07    | 0.43%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    812055 | PA      | $723590.90    | 0.34%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNQU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1264953 | PA      | $1124384.65   | 0.53%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140QNQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148142 | PA      | $131291.06    | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNT36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146587 | PA      | $134889.02    | 0.06%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/54 FIXED 5                        | CUSIP: 3140QVMK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1364695 | PA      | $1355999.29   | 0.64%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/54 FIXED 5.5                      | CUSIP: 3140QVMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738192 | PA      | $744249.26    | 0.35%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/54 FIXED 5                        | CUSIP: 3140QVPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    984777 | PA      | $975732.29    | 0.46%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/54 FIXED 5                        | CUSIP: 3140QVQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    928067 | PA      | $923604.00    | 0.43%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/54 FIXED 5                        | CUSIP: 3140QVWD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1385371 | PA      | $1379141.73   | 0.65%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/54 FIXED 5                        | CUSIP: 3140QVWK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489082 | PA      | $485660.43    | 0.23%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/55 FIXED 5                        | CUSIP: 3140QWB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213097 | PA      | $211473.00    | 0.10%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/55 FIXED 5.5                      | CUSIP: 3140QWCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463420 | PA      | $471133.11    | 0.22%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/53 FIXED VAR                      | CUSIP: 3140W1WJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1027787 | PA      | $998702.73    | 0.47%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/50 FIXED VAR                      | CUSIP: 3140X6RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84809 | PA      | $81076.92     | 0.04%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/50 FIXED VAR                      | CUSIP: 3140X8YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600540 | PA      | $491333.44    | 0.23%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/51 FIXED VAR                      | CUSIP: 3140XA2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581254 | PA      | $472103.29    | 0.22%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 02/51 FIXED 2.5                  | GINNIE MAE II POOL G2 02/51 FIXED 2.5                   | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214708 | PA      | $184651.16    | 0.09%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 06/50 FIXED 2.5                  | GINNIE MAE II POOL G2 06/50 FIXED 2.5                   | CUSIP: 36179VN22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418835 | PA      | $361118.33    | 0.17%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 07/51 FIXED 2.5                  | GINNIE MAE II POOL G2 07/51 FIXED 2.5                   | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480736 | PA      | $412987.05    | 0.19%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 05/53 FIXED 3                    | GINNIE MAE II POOL G2 05/53 FIXED 3                     | CUSIP: 36179X2F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201729 | PA      | $181091.64    | 0.09%             | 2053-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 03/53 FIXED 2.5                  | GINNIE MAE II POOL G2 03/53 FIXED 2.5                   | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    414959 | PA      | $357031.14    | 0.17%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES GSMBS 2022 LTV2 A33 144A | GS MORTGAGE-BACKED SECURITIES GSMBS 2022 LTV2 A33 144A  | CUSIP: 36268SDA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895415 | PA      | $825390.80    | 0.39%             | 2052-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust 2023-PJ2           | GS MORTGAGE-BACKED SECURITIES GSMBS 2023 PJ2 A3 144A    | CUSIP: 362938AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229832 | PA      | $225020.36    | 0.11%             | 2053-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-INV1 TRUST GCAT 2023 INV1 A1 144A            | GCAT 2023-INV1 TRUST GCAT 2023 INV1 A1 144A             | CUSIP: 36830QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    621397 | PA      | $627999.43    | 0.30%             | 2053-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                              | JERSEY MIKE'S FUNDING LLC JMIKE 2026 1A A2II 144A       | CUSIP: 476681AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725000 | PA      | $712518.11    | 0.34%             | 2056-02-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| KINETIC ABS ISSUER LLC UNITK 2026 1A B 144A            | KINETIC ABS ISSUER LLC UNITK 2026 1A B 144A             | CUSIP: 49459AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $997864.20    | 0.47%             | 2056-02-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| LMRK Issuer Co. 2 LLC                                  | LMRK ISSUER CO 2 LLC LMRK 2025 1A A 144A                | CUSIP: 50209AAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    805000 | PA      | $803062.28    | 0.38%             | 2055-09-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-1                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 1 A2 144A     | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51845 | PA      | $47402.81     | 0.02%             | 2066-01-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2021-3                      | VERUS SECURITIZATION TRUST 202 VERUS 2021 3 A3 144A     | CUSIP: 92539LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54097 | PA      | $48375.54     | 0.02%             | 2066-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-2                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 2 A3 144A     | CUSIP: 92539UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80408 | PA      | $80835.11     | 0.04%             | 2069-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2.5                    | FREDDIE MAC POOL FR 01/52 FIXED 2.5                     | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1172041 | PA      | $1001828.62   | 0.47%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 3.5                    | FREDDIE MAC POOL FR 04/52 FIXED 3.5                     | CUSIP: 3132DNCA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1031383 | PA      | $951845.97    | 0.45%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4                      | FREDDIE MAC POOL FR 09/52 FIXED 4                       | CUSIP: 3132DN4H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163555 | PA      | $155027.72    | 0.07%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/52 FIXED 4.5                    | FREDDIE MAC POOL FR 10/52 FIXED 4.5                     | CUSIP: 3132DN4Z3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1213942 | PA      | $1180159.41   | 0.55%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/52 FIXED 3.5                    | FREDDIE MAC POOL FR 06/52 FIXED 3.5                     | CUSIP: 3132DNES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    706049 | PA      | $653454.28    | 0.31%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4                      | FREDDIE MAC POOL FR 07/52 FIXED 4                       | CUSIP: 3132DNET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    690302 | PA      | $655822.54    | 0.31%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5                      | FREDDIE MAC POOL FR 03/54 FIXED 5                       | CUSIP: 3132DS3T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    388769 | PA      | $387263.67    | 0.18%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/53 FIXED 4.5                    | FREDDIE MAC POOL FR 08/53 FIXED 4.5                     | CUSIP: 3132DT2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    272112 | PA      | $264199.37    | 0.12%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/52 FIXED 3.5                    | FREDDIE MAC POOL FR 08/52 FIXED 3.5                     | CUSIP: 3132DTDL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1014707 | PA      | $941338.72    | 0.44%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/53 FIXED 4                      | FREDDIE MAC POOL FR 04/53 FIXED 4                       | CUSIP: 3132DTER7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    573256 | PA      | $545518.27    | 0.26%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 3                      | FREDDIE MAC POOL FR 01/52 FIXED 3                       | CUSIP: 3132DNFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224287 | PA      | $197821.21    | 0.09%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4                      | FREDDIE MAC POOL FR 07/52 FIXED 4                       | CUSIP: 3132DNHF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1299972 | PA      | $1232704.53   | 0.58%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 3.5                    | FREDDIE MAC POOL FR 09/52 FIXED 3.5                     | CUSIP: 3132DTLY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319422 | PA      | $294329.84    | 0.14%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/52 FIXED 4                      | FREDDIE MAC POOL FR 11/52 FIXED 4                       | CUSIP: 3132DTPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1106960 | PA      | $1049005.65   | 0.49%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/52 FIXED 3.5                    | FREDDIE MAC POOL FR 08/52 FIXED 3.5                     | CUSIP: 3132DNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519940 | PA      | $482670.49    | 0.23%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/52 FIXED 4                      | FREDDIE MAC POOL FR 10/52 FIXED 4                       | CUSIP: 3132DNZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1056002 | PA      | $1001276.61   | 0.47%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/50 FIXED 2.5                    | FREDDIE MAC POOL FR 08/50 FIXED 2.5                     | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127391 | PA      | $109726.33    | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3                      | FREDDIE MAC POOL FR 03/52 FIXED 3                       | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1187242 | PA      | $1061245.22   | 0.50%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/52 FIXED 4.5                    | FREDDIE MAC POOL FR 12/52 FIXED 4.5                     | CUSIP: 3132DVME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575314 | PA      | $560921.57    | 0.26%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2                      | FREDDIE MAC POOL FR 01/52 FIXED 2                       | CUSIP: 3133B1RZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    791023 | PA      | $640502.54    | 0.30%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/52 FIXED 3                      | FREDDIE MAC POOL FR 02/52 FIXED 3                       | CUSIP: 3133B4ZZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    594529 | PA      | $528461.82    | 0.25%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/52 FIXED 4                      | FREDDIE MAC POOL FR 05/52 FIXED 4                       | CUSIP: 3133BBF87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425550 | PA      | $405424.69    | 0.19%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3133BGCZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    950012 | PA      | $923306.48    | 0.43%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2023 4 2A6 144A   | J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2023 4 2A6 144A    | CUSIP: 46656QBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344140 | PA      | $341209.74    | 0.16%             | 2053-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2025 2A C 144A      | CUSIP: 59170JBB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    260000 | PA      | $263889.68    | 0.12%             | 2055-08-20      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2025 4A C 144A      | CUSIP: 59170JBH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $396816.64    | 0.19%             | 2055-12-20      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| TRINITY RAIL LEASING 2025 LLC TRL 2025 1A A 144A       | TRINITY RAIL LEASING 2025 LLC TRL 2025 1A A 144A        | CUSIP: 89657MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    493158 | PA      | $491163.92    | 0.23%             | 2055-10-19      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| NY COMMERCIAL MORTGAGE TRUST 2 NY 2025 299P A 144A     | NY COMMERCIAL MORTGAGE TRUST 2 NY 2025 299P A 144A      | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1348000 | PA      | $1396967.72   | 0.66%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE CREDIT FUND III OXFINF 2025 A A2 144A   | OXFORD FINANCE CREDIT FUND III OXFINF 2025 A A2 144A    | CUSIP: 69145VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $248374.33    | 0.12%             | 2034-08-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/54 FIXED 5                      | FREDDIE MAC POOL FR 11/54 FIXED 5                       | CUSIP: 3132DU3E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    999312 | PA      | $992945.24    | 0.47%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 5                      | FREDDIE MAC POOL FR 09/52 FIXED 5                       | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1017858 | PA      | $1015825.43   | 0.48%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/53 FIXED 5                      | FREDDIE MAC POOL FR 06/53 FIXED 5                       | CUSIP: 3133KRJB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    669221 | PA      | $663702.50    | 0.31%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/53 FIXED 5                      | FREDDIE MAC POOL FR 08/53 FIXED 5                       | CUSIP: 3133KRVH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162536 | PA      | $161195.66    | 0.08%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 2                        | CUSIP: 3140KNKN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340240 | PA      | $276985.59    | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED 2.5                      | CUSIP: 3140M2FB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    743169 | PA      | $636866.57    | 0.30%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED 2.5                      | CUSIP: 3140M2S29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490789 | PA      | $419436.73    | 0.20%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED 3                        | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    787057 | PA      | $702300.52    | 0.33%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/55 FIXED 5.5                      | CUSIP: 3140MESK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535060 | PA      | $541958.90    | 0.25%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED 3                        | CUSIP: 3140MHUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1506108 | PA      | $1346271.18   | 0.63%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JH COLLATERAL                                          | JH COLLATERAL                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |    904773 | NS      | $9049272.01   | 4.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Uniti Fiber ABS Issuer LLC                             | UNITI FIBER ABS ISSUER LLC UNIT 2025 1A B 144A          | CUSIP: 91326EAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    885000 | PA      | $899462.85    | 0.42%             | 2055-04-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A C2II 144A       | VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A C2II 144A        | CUSIP: 91823AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $366333.92    | 0.17%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A F 144A          | VB-S1 ISSUER LLC - VBTEL VBTEL 2022 1A F 144A           | CUSIP: 91823ABA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $245012.68    | 0.12%             | 2052-02-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| VDCM COMMERCIAL MORTGAGE TRUST VDCM 2025 AZ B 144A     | VDCM COMMERCIAL MORTGAGE TRUST VDCM 2025 AZ B 144A      | CUSIP: 91825CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299313.18    | 0.14%             | 2044-07-13      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC VBTEL 2026 1A F 144A                  | VB-S1 ISSUER LLC VBTEL 2026 1A F 144A                   | CUSIP: 91825HAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    770000 | PA      | $773250.17    | 0.36%             | 2056-03-15      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED 3                        | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331660 | PA      | $296151.27    | 0.14%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED 2                        | CUSIP: 3140QNB84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412895 | PA      | $336908.07    | 0.16%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED 3.5                      | CUSIP: 3140QNGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1084822 | PA      | $1007401.57   | 0.47%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED 5.5                      | CUSIP: 3140QQQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130176 | PA      | $131874.53    | 0.06%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XGLJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271737 | PA      | $241540.33    | 0.11%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/53 FIXED 4.5                      | CUSIP: 3140QS2M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429297 | PA      | $416679.59    | 0.20%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/53 FIXED 4.5                      | CUSIP: 3140QSPA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270549 | PA      | $262765.99    | 0.12%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/53 FIXED 5                        | CUSIP: 3140QSPR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225351 | PA      | $223492.37    | 0.11%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/54 FIXED 5.5                      | CUSIP: 3140QT2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163757 | PA      | $165164.32    | 0.08%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K109 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K109 X1             | CUSIP: 3137FTG27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1931572 | PA      | $101370.85    | 0.05%             | 2030-04-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/46 FIXED VAR                      | CUSIP: 3138ERNB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158196 | PA      | $142791.29    | 0.07%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/53 FIXED 5.5                      | CUSIP: 3140QTED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264349 | PA      | $266704.22    | 0.13%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/54 FIXED 5                        | CUSIP: 3140QU6Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039699 | PA      | $1028559.63   | 0.48%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| A+D MORTGAGE TRUST ADMT 2026 NQM1 A2                   | A+D MORTGAGE TRUST ADMT 2026 NQM1 A2                    | CUSIP: 00040DAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987606 | PA      | $976416.42    | 0.46%             | 2071-02-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| AMSR 2024-SFR1 TRUST AMSR 2024 SFR1 D 144A             | AMSR 2024-SFR1 TRUST AMSR 2024 SFR1 D 144A              | CUSIP: 00179CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1005000 | PA      | $966832.41    | 0.45%             | 2041-07-17      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust 2020-2                 | RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2020 2 B2 144A      | CUSIP: 76123MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $248025.95    | 0.12%             | 2060-05-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC               | RETAINED VANTAGE DATA CENTERS VDCR 2024 1A B 144A       | CUSIP: 76134KAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $581716.14    | 0.27%             | 2049-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1497000 | PA      | $1503257.01   | 0.71%             | N/A             | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 5 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 5 A1 144A      | CUSIP: 03464HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326245 | PA      | $324850.30    | 0.15%             | 2067-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST 2026-OMA SLG 2026 OMA E 144A          | SLG OFFICE TRUST 2026-OMA SLG 2026 OMA E 144A           | CUSIP: 78451FAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $502063.25    | 0.24%             | 2041-04-15      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121922 | PA      | $111817.22    | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 2.5                      | CUSIP: 3140QNUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1096531 | PA      | $939169.71    | 0.44%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| A+D MORTGAGE TRUST ADMT 2026 NQM2 A3                   | A+D MORTGAGE TRUST ADMT 2026 NQM2 A3                    | CUSIP: 00038TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    994970 | PA      | $983118.44    | 0.46%             | 2071-03-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| AandD MORTGAGE TRUST 2024-NQM4 ADMT 2024 NQM4 M1 144A  | AandD MORTGAGE TRUST 2024-NQM4 ADMT 2024 NQM4 M1 144A   | CUSIP: 002939AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199921.88    | 0.09%             | 2069-08-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ARIA BX 2025 ARIA B 144A                 | BX TRUST 2025-ARIA BX 2025 ARIA B 144A                  | CUSIP: 05619TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1000737.00   | 0.47%             | 2042-12-13      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| BANK 2024-BNK47 BANK 2024 BNK47 A5                     | BANK 2024-BNK47 BANK 2024 BNK47 A5                      | CUSIP: 06540GAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743000 | PA      | $776917.21    | 0.37%             | 2057-06-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/54 FIXED 5                      | FREDDIE MAC POOL FR 11/54 FIXED 5                       | CUSIP: 3132DU4X2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    976952 | PA      | $972559.37    | 0.46%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/54 FIXED 5                      | FREDDIE MAC POOL FR 10/54 FIXED 5                       | CUSIP: 3132DUJC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1083340 | PA      | $1074033.59   | 0.51%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5.5                    | FREDDIE MAC POOL FR 12/54 FIXED 5.5                     | CUSIP: 3132DUY43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    918813 | PA      | $930875.10    | 0.44%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/52 FIXED 4                        | CUSIP: 3140MP5Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271276 | PA      | $258446.86    | 0.12%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4                        | CUSIP: 3140MQB65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448774 | PA      | $425279.12    | 0.20%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4.5                      | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    354716 | PA      | $344345.62    | 0.16%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/35 FIXED 5.1                      | CUSIP: 3140NXJT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $620471.70    | 0.29%             | 2035-01-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 2.5                      | CUSIP: 3140QNUW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1182933 | PA      | $1010953.80   | 0.48%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED 3.5                      | CUSIP: 3140QNYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468272 | PA      | $430169.63    | 0.20%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/52 FIXED 4                        | CUSIP: 3140QPAM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1244927 | PA      | $1189747.46   | 0.56%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4                        | CUSIP: 3140QPJA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1075798 | PA      | $1020046.95   | 0.48%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED 4.5                      | CUSIP: 3140QPJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251390 | PA      | $244865.51    | 0.12%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED 4.5                      | CUSIP: 3140QPPS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434682 | PA      | $421362.53    | 0.20%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV2                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV2 B4 144A  | CUSIP: 46651DBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339952 | PA      | $323261.99    | 0.15%             | 2050-02-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 6 A12 144A   | JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 6 A12 144A    | CUSIP: 46653PBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306772 | PA      | $298648.68    | 0.14%             | 2051-10-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| PROVIDENT FUNDING MORTGAGE TRU PFMT 2025 4 A1 144A     | PROVIDENT FUNDING MORTGAGE TRU PFMT 2025 4 A1 144A      | CUSIP: 74387AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342765 | PA      | $345121.12    | 0.16%             | 2055-09-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-S1 SEMT 2025 S1 A1 144A    | SEQUOIA MORTGAGE TRUST 2025-S1 SEMT 2025 S1 A1 144A     | CUSIP: 81749TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468780 | PA      | $389984.71    | 0.18%             | 2054-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2021 14 A12 144A  | J.P. MORGAN MORTGAGE TRUST 202 JPMMT 2021 14 A12 144A   | CUSIP: 46653QBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299333 | PA      | $288736.84    | 0.14%             | 2052-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Metronet Infrastructure Issuer LLC                     | METRONET INFRASTRUCTURE ISSUER MNET 2025 2A B 144A      | CUSIP: 59170JAZ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250505.25    | 0.12%             | 2055-08-20      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-12 SEMT 2025 12 A2 144A    | SEQUOIA MORTGAGE TRUST 2025-12 SEMT 2025 12 A2 144A     | CUSIP: 81749XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701831 | PA      | $687136.44    | 0.32%             | 2055-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-1 SEMT 2026 1 A2 144A      | SEQUOIA MORTGAGE TRUST 2026-1 SEMT 2026 1 A2 144A       | CUSIP: 81750KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731701 | PA      | $703662.42    | 0.33%             | 2056-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/55 FIXED 5.5                    | FREDDIE MAC POOL FR 01/55 FIXED 5.5                     | CUSIP: 3132DVGR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    850995 | PA      | $866913.21    | 0.41%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 3                      | FREDDIE MAC POOL FR 01/52 FIXED 3                       | CUSIP: 3133USHU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230238 | PA      | $204580.97    | 0.10%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SERVPRO Master Issuer LLC                              | SERVPRO MASTER ISSUER LLC SPRO 2024 1A A2 144A          | CUSIP: 817743AJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196000 | PA      | $200675.91    | 0.09%             | 2054-01-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE 2025-3 RECEIV SRFC 2025 3A C 144A     | SIERRA TIMESHARE 2025-3 RECEIV SRFC 2025 3A C 144A      | CUSIP: 82650FAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164051 | PA      | $162460.96    | 0.08%             | 2044-08-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A          | NEIGHBORLY ISSUER 2022-1 NBLY 2022 1A A2 144A           | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817920 | PA      | $770589.51    | 0.36%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2024-Nqm3          | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM3 A2 144A    | CUSIP: 647910AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    482297 | PA      | $486363.33    | 0.23%             | 2064-11-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2026-NQM3          | NEW RESIDENTIAL MORTGAGE LOAN 02/66 1                   | CUSIP: 64832PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743581 | PA      | $735739.24    | 0.35%             | 2066-02-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust 2025-CP1                               | NYMT LOAN TRUST 2025-CP1 NYMT 2025 CP1 A1 144A          | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458500 | PA      | $441215.08    | 0.21%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/51 FIXED 2.5                    | FREDDIE MAC POOL FR 10/51 FIXED 2.5                     | CUSIP: 3132DWCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    719210 | PA      | $608917.46    | 0.29%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133ASJB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203874 | PA      | $173629.20    | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/46 FIXED 3                        | CUSIP: 3138WJGH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262966 | PA      | $237359.15    | 0.11%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294967 | PA      | $241235.51    | 0.11%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMSR 2025-SFR1 TRUST AMSR 2025 SFR1 D 144A             | AMSR 2025-SFR1 TRUST AMSR 2025 SFR1 D 144A              | CUSIP: 00182MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $831602.52    | 0.39%             | 2042-06-17      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ARZ TRUST 2024-BILT ARZ 2024 BILT C 144A               | ARZ TRUST 2024-BILT ARZ 2024 BILT C 144A                | CUSIP: 00218TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $705862.92    | 0.33%             | 2039-06-11      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED VAR                      | CUSIP: 3140XGV89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061152 | PA      | $941572.37    | 0.44%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XH3L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406235 | PA      | $361346.01    | 0.17%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII AND STR 2019 1 A4 144A      | STORE MASTER FUNDING I-VII AND STR 2019 1 A4 144A       | CUSIP: 86212XAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116200 | PA      | $104272.52    | 0.05%             | 2049-11-20      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| TVC MORTGAGE TRUST 2026-RRTL1 TVC 2026 RRTL1 A1 144A   | TVC MORTGAGE TRUST 2026-RRTL1 TVC 2026 RRTL1 A1 144A    | CUSIP: 87306XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $497503.35    | 0.23%             | 2041-02-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables V LLC                        | 321 HENDERSON RECEIVABLES V LL HENDR 2008 3A A1 144A    | CUSIP: 88576VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498585 | PA      | $550737.71    | 0.26%             | 2045-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/54 FIXED VAR                      | CUSIP: 3140XQC39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918797 | PA      | $934447.55    | 0.44%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5.5                    | FREDDIE MAC POOL FR 12/54 FIXED 5.5                     | CUSIP: 31427MGH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409718 | PA      | $414359.99    | 0.19%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust 2024-RRTL2                       | TOORAK MORTGAGE TRUST 2024-RRT 09/39 VAR                | CUSIP: 89055JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $300663.33    | 0.14%             | 2039-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 B1B 144A    | TOWD POINT MORTGAGE TRUST 2019 TPMT 2019 4 B1B 144A     | CUSIP: 89178BBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $245643.96    | 0.12%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XRYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1370160 | PA      | $1224750.59   | 0.58%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/55 FIXED 5.5                      | CUSIP: 3140Y6SW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619964 | PA      | $630911.68    | 0.30%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5                      | FREDDIE MAC POOL FR 12/54 FIXED 5                       | CUSIP: 31427MGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1104910 | PA      | $1098525.80   | 0.52%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/55 FIXED 5                      | FREDDIE MAC POOL FR 01/55 FIXED 5                       | CUSIP: 31427MHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1021279 | PA      | $1012857.06   | 0.48%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A    | TOWD POINT MORTGAGE TRUST 2024 TPMT 2024 4 A1A 144A     | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730570 | PA      | $731177.52    | 0.34%             | 2064-10-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 C 144A    | TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 C 144A     | CUSIP: 895975AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $343439.81    | 0.16%             | 2041-11-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/55 FIXED 5.5                    | FREDDIE MAC POOL FR 02/55 FIXED 5.5                     | CUSIP: 31427MLM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1083666 | PA      | $1100686.05   | 0.52%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/55 FIXED 5.5                    | FREDDIE MAC POOL FR 10/55 FIXED 5.5                     | CUSIP: 31427QL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    977792 | PA      | $989253.29    | 0.47%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 2 A2 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 2 A2 144A      | CUSIP: 03464PAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    977742 | PA      | $918114.07    | 0.43%             | 2067-01-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 3 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 3 A1 144A      | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334570 | PA      | $326506.29    | 0.15%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2023 R04 1B1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2023 R04 1B1 144A     | CUSIP: 20754QAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $320476.68    | 0.15%             | 2043-05-25      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 D 144A    | TRICON RESIDENTIAL 2024-SFR4 T TCN 2024 SFR4 D 144A     | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $346883.67    | 0.16%             | 2041-11-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2024-SFR3 T TCN 2024 SFR3 C 144A    | TRICON RESIDENTIAL 2024-SFR3 T TCN 2024 SFR3 C 144A     | CUSIP: 89616YAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $496723.35    | 0.23%             | 2041-08-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TRICON RESIDENTIAL 2025-SFR2 T TCN 2025 SFR2 D 144A    | TRICON RESIDENTIAL 2025-SFR2 T TCN 2025 SFR2 D 144A     | CUSIP: 89617FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649354 | PA      | $642337.17    | 0.30%             | 2044-08-17      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER 202 EHGVT 2025 A D 144A     | ELARA HGV TIMESHARE ISSUER 202 EHGVT 2025 A D 144A      | CUSIP: 28416VAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196116 | PA      | $195054.24    | 0.09%             | 2040-01-25      | Fixed         | 6.91%                 | No            |                  2 | On Loan: No      |
| ENFIN RESIDENTIAL SOLAR RECEIV ENFIN 2024 1A A 144A    | ENFIN RESIDENTIAL SOLAR RECEIV ENFIN 2024 1A A 144A     | CUSIP: 29281LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    486266 | PA      | $448420.30    | 0.21%             | 2055-02-20      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE   CAS CAS 2025 R06 1B1                      | FANNIE MAE   CAS CAS 2025 R06 1B1                       | CUSIP: 20754YCL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    270000 | PA      | $273232.68    | 0.13%             | 2045-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/54 FIXED 5                        | CUSIP: 3140QUG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133342 | PA      | $131908.62    | 0.06%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/54 FIXED 5.5                      | CUSIP: 3140QUHG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497514 | PA      | $502723.79    | 0.24%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROSS MORTGAGE TRUST CROSS 2024 H2 A3 144A             | CROSS MORTGAGE TRUST CROSS 2024 H2 A3 144A              | CUSIP: 22757BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107079 | PA      | $107688.51    | 0.05%             | 2069-04-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H7 MORTGAGE TRUST CROSS 2024 H7 B1A 144A    | CROSS 2024-H7 MORTGAGE TRUST CROSS 2024 H7 B1A 144A     | CUSIP: 22757CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201364.56    | 0.09%             | 2069-11-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                 | FANNIE MAE OR FREDDIE MAC MBS 30YR TBA                  | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1459000 | PA      | $1226471.88   | 0.58%             | N/A             | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1904000 | PA      | $1673288.70   | 0.79%             | N/A             | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/54 FIXED 5.5                      | CUSIP: 3140QUHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    843591 | PA      | $850315.54    | 0.40%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/55 FIXED 5.5                      | CUSIP: 3140QV3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257335 | PA      | $262261.23    | 0.12%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Obx 2025-Nqm23 Trust                                   | OBX 2025-NQM23 TRUST OBX 2025 NQM23 M1 144A             | CUSIP: 67123BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $495616.25    | 0.23%             | 2065-10-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                   | OBX 2024-NQM12 TRUST OBX 2024 NQM12 A2 144A             | CUSIP: 67448PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150410 | PA      | $150940.05    | 0.07%             | 2064-07-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| OBX 2020-EXP2 Trust                                    | OBX 2020-EXP2 TRUST OBX 2020 EXP2 A8 144A               | CUSIP: 67448VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60699 | PA      | $53517.45     | 0.03%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 Trust                                   | OBX 2023-NQM10 TRUST OBX 2023 NQM10 A3 144A             | CUSIP: 67449CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224105 | PA      | $225578.62    | 0.11%             | 2063-10-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR 2022 22 B                        | FANNIE MAE REMICS FNR 2022 22 B                         | CUSIP: 3136BMH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $238430.64    | 0.11%             | 2054-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K118 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K118 X1             | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3120891 | PA      | $110003.93    | 0.05%             | 2030-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHR 5150 IS                         | FREDDIE MAC REMICS FHR 5150 IS                          | CUSIP: 3137H2Z98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1741000 | PA      | $122853.14    | 0.06%             | 2051-08-25      | Floating      | 0.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS FHR 5250 AY                         | FREDDIE MAC REMICS FHR 5250 AY                          | CUSIP: 3137H8N23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449984 | PA      | $273238.41    | 0.13%             | 2055-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Willis Engine Structured Trust V                       | WILLIS ENGINE STRUCTURED TRUST WESTF 2020 A C 144A      | CUSIP: 97064FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128210 | PA      | $126755.96    | 0.06%             | 2045-03-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TRUST WESTF 2025 B A 144A     | WILLIS ENGINE STRUCTURED TRUST WESTF 2025 B A 144A      | CUSIP: 970910AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    296587 | PA      | $295403.18    | 0.14%             | 2050-12-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XCB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225711 | PA      | $193778.29    | 0.09%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCB72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435725 | PA      | $372854.33    | 0.18%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XCBW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236216 | PA      | $193555.74    | 0.09%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED VAR                      | CUSIP: 3140XCJ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437367 | PA      | $358652.64    | 0.17%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHJL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323406 | PA      | $307252.06    | 0.14%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHLP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605976 | PA      | $576655.59    | 0.27%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHLW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395314 | PA      | $364260.11    | 0.17%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XHMF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342221 | PA      | $332548.29    | 0.16%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133ASJD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351834 | PA      | $299748.90    | 0.14%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2.5                    | FREDDIE MAC POOL FR 01/52 FIXED 2.5                     | CUSIP: 3133B2YC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    699505 | PA      | $597152.71    | 0.28%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/52 FIXED 4.5                    | FREDDIE MAC POOL FR 07/52 FIXED 4.5                     | CUSIP: 3133BGCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    702571 | PA      | $680714.03    | 0.32%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/53 FIXED 5.5                    | FREDDIE MAC POOL FR 04/53 FIXED 5.5                     | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164438 | PA      | $165928.91    | 0.08%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/51 FIXED 2.5                    | FREDDIE MAC POOL FR 05/51 FIXED 2.5                     | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1203712 | PA      | $1024385.89   | 0.48%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/51 FIXED 2                      | FREDDIE MAC POOL FR 08/51 FIXED 2                       | CUSIP: 3133KMGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1084317 | PA      | $886797.56    | 0.42%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 6 A1 144A     | ANGEL OAK MORTGAGE TRUST 2022- AOMT 2022 6 A1 144A      | CUSIP: 03465VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662758 | PA      | $659550.20    | 0.31%             | 2067-07-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 3 A1 144A     | ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 3 A1 144A      | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153629 | PA      | $152715.21    | 0.07%             | 2068-11-26      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| AandD MORTGAGE TRUST 2025-NQM4 ADMT 2025 NQM4 M1 144A  | AandD MORTGAGE TRUST 2025-NQM4 ADMT 2025 NQM4 M1 144A   | CUSIP: 002941AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250225.60    | 0.12%             | 2070-10-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133KMM77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135683 | PA      | $116359.66    | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2.5                    | FREDDIE MAC POOL FR 09/51 FIXED 2.5                     | CUSIP: 3133KMQG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210046 | PA      | $176938.21    | 0.08%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE XXX CLO LTD VENTR 2017 30A C 144A              | VENTURE XXX CLO LTD VENTR 2017 30A C 144A               | CUSIP: 92331NAG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $99790.80     | 0.05%             | 2031-01-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| VERDANT RECEIVABLES 2025-1 LLC VERD 2025 1A D 144A     | VERDANT RECEIVABLES 2025-1 LLC VERD 2025 1A D 144A      | CUSIP: 92340GAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $307197.33    | 0.14%             | 2033-05-12      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| VISIO 2019-2 TRUST VISIO 2019 2 A1 144A                | VISIO 2019-2 TRUST VISIO 2019 2 A1 144A                 | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1209 | PA      | $1203.95      | 0.00%             | 2054-11-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 2                      | FREDDIE MAC POOL FR 09/51 FIXED 2                       | CUSIP: 3133KMSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201775 | PA      | $165145.66    | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VISIO 2020-1 TRUST VISIO 2020 1 A3 144A                | VISIO 2020-1 TRUST VISIO 2020 1 A3 144A                 | CUSIP: 92837KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176000 | PA      | $172006.38    | 0.08%             | 2055-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2021 1A B 144A                | CUSIP: 12565KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134407 | PA      | $124217.11    | 0.06%             | 2046-02-18      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| EXTENET ISSUER LLC EXTNT 2024 1A B 144A                | EXTENET ISSUER LLC EXTNT 2024 1A B 144A                 | CUSIP: 30227XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $302958.87    | 0.14%             | 2054-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FIP MASTER FUNDING LLC FI 2024 1A A2 144A              | FIP MASTER FUNDING LLC FI 2024 1A A2 144A               | CUSIP: 30332YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398426 | PA      | $390656.17    | 0.18%             | 2054-10-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XD6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206268 | PA      | $176312.18    | 0.08%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XD6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547216 | PA      | $468942.30    | 0.22%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/55 FIXED 5.5                      | CUSIP: 3140Y7S82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985214 | PA      | $994914.93    | 0.47%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/55 FIXED 5                        | CUSIP: 3140Y7SX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    981237 | PA      | $974984.63    | 0.46%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FS COMMERCIAL MORTGAGE TRUST 2 FS 2023 4SZN B 144A     | FS COMMERCIAL MORTGAGE TRUST 2 FS 2023 4SZN B 144A      | CUSIP: 30334RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $384292.29    | 0.18%             | 2039-11-10      | Variable      | 7.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/51 FIXED 2                      | FREDDIE MAC POOL FR 02/51 FIXED 2                       | CUSIP: 3133KK5P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587525 | PA      | $477930.83    | 0.22%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED 3.5                      | CUSIP: 31418D3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253565 | PA      | $233804.81    | 0.11%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/53 FIXED 5.5                      | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288041 | PA      | $290426.99    | 0.14%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5.5                    | FREDDIE MAC POOL FR 03/54 FIXED 5.5                     | CUSIP: 3142GRDF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73734 | PA      | $74298.56     | 0.03%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/54 FIXED 5.5                    | FREDDIE MAC POOL FR 03/54 FIXED 5.5                     | CUSIP: 3142GRFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264189 | PA      | $268689.45    | 0.13%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H5 MORTGAGE TRUST CROSS 2024 H5 A3 144A     | CROSS 2024-H5 MORTGAGE TRUST CROSS 2024 H5 A3 144A      | CUSIP: 22757HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124717 | PA      | $125552.88    | 0.06%             | 2069-08-26      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| CROSS 2026-NQM1 MORTGAGE TRUST CROSS 2026 NQM1 A2 144A | CROSS 2026-NQM1 MORTGAGE TRUST CROSS 2026 NQM1 A2 144A  | CUSIP: 22758EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    984114 | PA      | $972638.10    | 0.46%             | 2061-02-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/54 FIXED 5.5                    | FREDDIE MAC POOL FR 04/54 FIXED 5.5                     | CUSIP: 3142GRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    863434 | PA      | $870316.87    | 0.41%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/55 FIXED 5.5                    | FREDDIE MAC POOL FR 02/55 FIXED 5.5                     | CUSIP: 3142GT2E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549635 | PA      | $559470.15    | 0.26%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2026-NQM4 MORTGAGE TRUST CROSS 2026 NQM4 A2 144A | CROSS 2026-NQM4 MORTGAGE TRUST CROSS 2026 NQM4 A2 144A  | CUSIP: 22758FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999969.20    | 0.47%             | 2071-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H1 MORTGAGE TRUST CROSS 2025 H1 B1A 144A    | CROSS 2025-H1 MORTGAGE TRUST CROSS 2025 H1 B1A 144A     | CUSIP: 22758NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $301335.78    | 0.14%             | 2070-02-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/54 FIXED 5                      | FREDDIE MAC POOL FR 11/54 FIXED 5                       | CUSIP: 3142GTFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299815 | PA      | $297716.96    | 0.14%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/54 FIXED 5                      | FREDDIE MAC POOL FR 12/54 FIXED 5                       | CUSIP: 3142GTKX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436289 | PA      | $434190.76    | 0.20%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2022 NQM5 A3 144A | IMPERIAL FUND MORTGAGE TRUST 2 IMPRL 2022 NQM5 A3 144A  | CUSIP: 45276QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60997 | PA      | $60868.74     | 0.03%             | 2067-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| INSTAR LEASING III LLC INSTR 2021 1A A 144A            | INSTAR LEASING III LLC INSTR 2021 1A A 144A             | CUSIP: 45783NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1165456 | PA      | $1111423.30   | 0.52%             | 2054-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 3 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 3 A1 144A      | CUSIP: 31573EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234878 | PA      | $234108.14    | 0.11%             | 2067-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LL CNSL 2025 4A A2 144A    | CONSOLIDATED COMMUNICATIONS LL CNSL 2025 4A A2 144A     | CUSIP: 315961AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $402386.24    | 0.19%             | 2055-12-20      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $192843.76    | 0.09%             | N/A             | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $887097.69    | 0.42%             | N/A             | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED VAR                      | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233453 | PA      | $199768.22    | 0.09%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/50 FIXED VAR                      | CUSIP: 3140XCSB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183381 | PA      | $164492.86    | 0.08%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/54 FIXED 5                        | CUSIP: 3140QVK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468911 | PA      | $466802.06    | 0.22%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV6 PMTLT 2025 INV6 A29 144A      | PMT LOAN TRUST 2025-INV6 PMTLT 2025 INV6 A29 144A       | CUSIP: 69382MBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284431 | PA      | $286920.24    | 0.13%             | 2056-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED COMMUNICATIONS LL CNSL 2026 1A B 144A     | CONSOLIDATED COMMUNICATIONS LL CNSL 2026 1A B 144A      | CUSIP: 315961AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $987965.10    | 0.46%             | 2056-03-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-6 FSMT 2021 6INV A4 144A  | FLAGSTAR MORTGAGE TRUST 2021-6 FSMT 2021 6INV A4 144A   | CUSIP: 33851GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1192439 | PA      | $991261.36    | 0.47%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PENN COMMERCIAL MORTGAGE TRUST P11 2025 P11 B 144A     | PENN COMMERCIAL MORTGAGE TRUST P11 2025 P11 B 144A      | CUSIP: 69382VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1024299.50   | 0.48%             | 2042-08-10      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV11 PMTLT 2025 INV11 A29 144A    | PMT LOAN TRUST 2025-INV11 PMTLT 2025 INV11 A29 144A     | CUSIP: 729916BE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469528 | PA      | $466612.07    | 0.22%             | 2056-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FLAGSTAR MORTGAGE TRUST 2021-3 FSMT 2021 3INV A18 144A | FLAGSTAR MORTGAGE TRUST 2021-3 FSMT 2021 3INV A18 144A  | CUSIP: 33852CAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307525 | PA      | $301302.54    | 0.14%             | 2051-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST GCAT 2024 NQM2 M1 144A            | GCAT 2024-NQM2 TRUST GCAT 2024 NQM2 M1 144A             | CUSIP: 36831CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201073.86    | 0.09%             | 2059-06-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED VAR                      | CUSIP: 3140XHRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264877 | PA      | $257754.18    | 0.12%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED VAR                      | CUSIP: 3140XHVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141560 | PA      | $129953.11    | 0.06%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2025-INV8 PMTLT 2025 INV8 A28 144A      | PMT LOAN TRUST 2025-INV8 PMTLT 2025 INV8 A28 144A       | CUSIP: 73015EBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345226 | PA      | $348246.45    | 0.16%             | 2056-07-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR5 PROG 2021 SFR5 E2 144A  | PROGRESS RESIDENTIAL 2021-SFR5 PROG 2021 SFR5 E2 144A   | CUSIP: 74333FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $223226.78    | 0.10%             | 2038-07-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/52 FIXED VAR                      | CUSIP: 3140XHWZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545948 | PA      | $485108.96    | 0.23%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XJCU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1784914 | PA      | $1586564.07   | 0.75%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 135 IO          | CUSIP: 38378XPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12494785 | PA      | $259258.04    | 0.12%             | 2056-01-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 159 IO          | CUSIP: 38380JAH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3399696 | PA      | $80946.41     | 0.04%             | 2059-06-16      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR3 PROG 2025 SFR3 D 144A   | PROGRESS RESIDENTIAL 2025-SFR3 PROG 2025 SFR3 D 144A    | CUSIP: 74334BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $546679.56    | 0.26%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 D 144A   | PROGRESS RESIDENTIAL 2025-SFR2 PROG 2025 SFR2 D 144A    | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    496889 | PA      | $460688.50    | 0.22%             | 2042-04-17      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2026-SFR1 PROG 2026 SFR1 D 144A   | PROGRESS RESIDENTIAL 2026-SFR1 PROG 2026 SFR1 D 144A    | CUSIP: 74334HAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $372403.56    | 0.18%             | 2043-02-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2025-SFR5 PROG 2025 SFR5 D 144A   | PROGRESS RESIDENTIAL 2025-SFR5 PROG 2025 SFR5 D 144A    | CUSIP: 74334RAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    349639 | PA      | $328732.12    | 0.15%             | 2042-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/51 FIXED 3                      | FREDDIE MAC POOL FR 09/51 FIXED 3                       | CUSIP: 3133KMT47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403299 | PA      | $360372.30    | 0.17%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 3.5                    | FREDDIE MAC POOL FR 04/52 FIXED 3.5                     | CUSIP: 3133KN4F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88948 | PA      | $81849.59     | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CLI Funding VIII LLC                                   | CLI FUNDING VIII LLC CLIF 2022 1A B 144A                | CUSIP: 12565KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263253 | PA      | $239093.73    | 0.11%             | 2047-01-18      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| COLT 2024-5 MORTGAGE LOAN TRUS COLT 2024 5 M1 144A     | COLT 2024-5 MORTGAGE LOAN TRUS COLT 2024 5 M1 144A      | CUSIP: 19685AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199551.30    | 0.09%             | 2069-08-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| COLT 2021-4 MORTGAGE LOAN TRUS COLT 2021 4 B1 144A     | COLT 2021-4 MORTGAGE LOAN TRUS COLT 2021 4 B1 144A      | CUSIP: 19688GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $555564.31    | 0.26%             | 2066-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 B1 144A   | COLT 2021-HX1 MORTGAGE LOAN TR COLT 2021 HX1 B1 144A    | CUSIP: 19688KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $75030.52     | 0.04%             | 2066-10-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Trust 2013-1                        | AGATE BAY MORTGAGE TRUST 2013- ABMT 2013 1 A1 144A      | CUSIP: 008414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136689 | PA      | $128322.74    | 0.06%             | 2043-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    475000 | PA      | $381762.68    | 0.18%             | N/A             | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FARM 2025-1 MORTGAGE TRUST FARM 2025 1 A2 144A         | FARM 2025-1 MORTGAGE TRUST FARM 2025 1 A2 144A          | CUSIP: 30768CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350000 | PA      | $326049.08    | 0.15%             | 2055-08-01      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/47 FIXED 3.5                    | FREDDIE MAC POOL FR 09/47 FIXED 3.5                     | CUSIP: 3132A5HL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261993 | PA      | $243623.02    | 0.11%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED VAR                      | CUSIP: 3140XDFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220112 | PA      | $193863.38    | 0.09%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XKES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284559 | PA      | $231656.30    | 0.11%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/55 FIXED 5                      | FREDDIE MAC POOL FR 05/55 FIXED 5                       | CUSIP: 31426KTL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    972167 | PA      | $961415.78    | 0.45%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/55 FIXED 5                      | FREDDIE MAC POOL FR 06/55 FIXED 5                       | CUSIP: 31426NU81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596062 | PA      | $589469.91    | 0.28%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLEXENTIAL ISSUER LLC FLX 2025 2A A2 144A              | FLEXENTIAL ISSUER LLC FLX 2025 2A A2 144A               | CUSIP: 33938MAM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $495793.85    | 0.23%             | 2060-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Mscr Trust Mn12                            | FREDDIE MAC MSCR TRUST MN12 MSCR 2025 MN12 M2 144A      | CUSIP: 355913AB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $399525.24    | 0.19%             | 2045-11-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Mscr Trust Mn13                            | FREDDIE MAC MSCR TRUST MN13 MSCR 2026 MN13 M2 144A      | CUSIP: 355921AB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $999989.10    | 0.47%             | 2046-03-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE II POOL G2 09/49 FIXED 2.5                  | GINNIE MAE II POOL G2 09/49 FIXED 2.5                   | CUSIP: 36179UZR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597260 | PA      | $515515.46    | 0.24%             | 2049-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 3A A2 144A   | CYRUSONE DATA CENTERS ISSUER I CYRUS 2024 3A A2 144A    | CUSIP: 23284BAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $522368.28    | 0.25%             | 2049-05-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB MASTER FINANCE LLC DNKN 2025 1A A2II 144A            | CUSIP: 233046AW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    628425 | PA      | $618833.98    | 0.29%             | 2055-08-20      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-Inv1                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV1 B3 144A  | CUSIP: 46591DAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571294 | PA      | $553494.67    | 0.26%             | 2049-09-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-Inv1                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV1 B5 144A  | CUSIP: 46591DBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334615 | PA      | $289581.13    | 0.14%             | 2049-09-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV3                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV3 A15 144A | CUSIP: 46591LBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106163 | PA      | $95603.54     | 0.04%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust 2019-INV3                   | JP MORGAN MORTGAGE TRUST 2019- JPMMT 2019 INV3 B3 144A  | CUSIP: 46591LBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196383 | PA      | $181811.78    | 0.09%             | 2050-05-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 23 IO           | CUSIP: 38380JPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1191721 | PA      | $38026.52     | 0.02%             | 2059-11-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 193 IO          | CUSIP: 38381LG97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2955937 | PA      | $180057.35    | 0.08%             | 2066-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                    | HOTWIRE FUNDING LLC HWIRE 2024 1A B 144A                | CUSIP: 44148JAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $254311.68    | 0.12%             | 2054-06-20      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 12 A12 144A  | JP MORGAN MORTGAGE TRUST 2021- JPMMT 2021 12 A12 144A   | CUSIP: 46592WBL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217054 | PA      | $211483.26    | 0.10%             | 2052-02-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JG WENTWORTH XXXV LLC HENDR 2015 2A A 144A             | JG WENTWORTH XXXV LLC HENDR 2015 2A A 144A              | CUSIP: 46619RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    996336 | PA      | $910204.84    | 0.43%             | 2058-03-15      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM3 TRUST MFRA 2020 NQM3 M1 144A             | MFA 2020-NQM3 TRUST MFRA 2020 NQM3 M1 144A              | CUSIP: 552757AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93424.26     | 0.04%             | 2065-01-26      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| MVW 2023-2 LLC MVWOT 2023 2A C 144A                    | MVW 2023-2 LLC MVWOT 2023 2A C 144A                     | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42401 | PA      | $43414.18     | 0.02%             | 2040-11-20      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare 2025-1 Receivables Funding LLC        | SIERRA TIMESHARE 2025-1 RECEIV SRFC 2025 1A D 144A      | CUSIP: 82653CAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    266123 | PA      | $267649.19    | 0.13%             | 2042-01-21      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                      | SONIC CAPITAL LLC SONIC 2021 1A A2II 144A               | CUSIP: 83546DAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360875 | PA      | $1162915.46   | 0.55%             | 2051-08-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 3.5                    | FREDDIE MAC POOL FR 04/52 FIXED 3.5                     | CUSIP: 3133KN4M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182195 | PA      | $168167.46    | 0.08%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677769 | PA      | $548799.50    | 0.26%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/51 FIXED 2.5                    | FREDDIE MAC POOL FR 11/51 FIXED 2.5                     | CUSIP: 3133KNBE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    534074 | PA      | $456512.03    | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/49 FIXED 3.5                      | CUSIP: 3140QB4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520956 | PA      | $481986.31    | 0.23%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT 2025-1 MORTGAGE LOAN TRUS COLT 2025 1 A3 144A     | COLT 2025-1 MORTGAGE LOAN TRUS COLT 2025 1 A3 144A      | CUSIP: 196920AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310907 | PA      | $312595.03    | 0.15%             | 2070-01-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| CONCORD MUSIC ROYALTIES LLC TUNES 2024 1A A 144A       | CONCORD MUSIC ROYALTIES LLC TUNES 2024 1A A 144A        | CUSIP: 20633KAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $200775.20    | 0.09%             | 2074-10-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CONCORD MUSIC ROYALTIES LLC TUNES 2025 2A A 144A       | CONCORD MUSIC ROYALTIES LLC TUNES 2025 2A A 144A        | CUSIP: 20633KAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251855.85    | 0.12%             | 2075-07-20      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES CAS 2023 R06 1B1 144A    | CONNECTICUT AVENUE SECURITIES CAS 2023 R06 1B1 144A     | CUSIP: 20754EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $416183.04    | 0.20%             | 2043-07-25      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-3 SEMT 2025 3 A20 144A     | SEQUOIA MORTGAGE TRUST 2025-3 SEMT 2025 3 A20 144A      | CUSIP: 817370AV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395150 | PA      | $392131.08    | 0.18%             | 2055-04-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/50 FIXED 3.5                    | FREDDIE MAC POOL FR 01/50 FIXED 3.5                     | CUSIP: 3133KHG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237855 | PA      | $219987.75    | 0.10%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 08/50 FIXED 3                      | FREDDIE MAC POOL FR 08/50 FIXED 3                       | CUSIP: 3133KJXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327889 | PA      | $288890.45    | 0.14%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029867 | PA      | $842266.27    | 0.40%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED VAR                      | CUSIP: 3140XL5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370588 | PA      | $351186.08    | 0.17%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-1 SEMT 2025 1 A1 144A      | SEQUOIA MORTGAGE TRUST 2025-1 SEMT 2025 1 A1 144A       | CUSIP: 81743EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279066 | PA      | $280984.71    | 0.13%             | 2055-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-S2 SEMT 2025 S2 A2 144A    | SEQUOIA MORTGAGE TRUST 2025-S2 SEMT 2025 S2 A2 144A     | CUSIP: 81748UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580758 | PA      | $526409.14    | 0.25%             | 2055-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/53 FIXED VAR                      | CUSIP: 3140XLLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    948488 | PA      | $939723.87    | 0.44%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED VAR                      | CUSIP: 3140XLNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543049 | PA      | $441751.17    | 0.21%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/53 FIXED VAR                      | CUSIP: 3140XMGW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62744 | PA      | $60781.91     | 0.03%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/52 FIXED VAR                      | CUSIP: 3140XMKD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233087 | PA      | $214703.74    | 0.10%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XMLF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918682 | PA      | $853692.52    | 0.40%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XN5B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162475 | PA      | $132269.04    | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2025 INV1 M1 144A  | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2025 INV1 M1 144A   | CUSIP: 24382EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $492466.30    | 0.23%             | 2060-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A    | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A C 144A     | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $196180.64    | 0.09%             | 2049-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-4                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 4 M1 144A     | CUSIP: 92540GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $201239.92    | 0.09%             | 2069-06-25      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| VTR COMMERCIAL MORTGAGE TRUST VTR 2025 STEM D 144A     | VTR COMMERCIAL MORTGAGE TRUST VTR 2025 STEM D 144A      | CUSIP: 92890YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $492943.15    | 0.23%             | 2039-10-13      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| WHARF COMMERCIAL MORTGAGE TRUS WHARF 2025 DC D 144A    | WHARF COMMERCIAL MORTGAGE TRUS WHARF 2025 DC D 144A     | CUSIP: 92987LAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $354793.36    | 0.17%             | 2040-07-15      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/52 FIXED 2.5                    | FREDDIE MAC POOL FR 01/52 FIXED 2.5                     | CUSIP: 3132DM4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197616 | PA      | $169472.30    | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/50 FIXED 3.5                      | CUSIP: 3140QC5P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795715 | PA      | $730223.62    | 0.34%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/49 FIXED 3.5                      | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599838 | PA      | $555716.69    | 0.26%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER COLO 2026 1A A2 144A                   | DATABANK ISSUER COLO 2026 1A A2 144A                    | CUSIP: 23802WAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325000 | PA      | $322965.99    | 0.15%             | 2056-02-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2023-2 LLC DEXT 2023 2 D 144A                 | DEXT ABS 2023-2 LLC DEXT 2023 2 D 144A                  | CUSIP: 25216CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $524739.00    | 0.25%             | 2034-05-15      | Fixed         | 8.30%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII AND STR 2019 1 A2 144A      | STORE MASTER FUNDING I-VII AND STR 2019 1 A2 144A       | CUSIP: 86212XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    549180 | PA      | $472230.22    | 0.22%             | 2049-11-20      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | WINGSTOP FUNDING LLC WSTOP 2024 1A A2 144A              | CUSIP: 974153AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440000 | PA      | $446850.05    | 0.21%             | 2054-12-05      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 10 M1 144A    | ANGEL OAK MORTGAGE TRUST 2024- AOMT 2024 10 M1 144A     | CUSIP: 034933AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $200890.34    | 0.09%             | 2069-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025- AOMT 2025 13 M1 144A    | ANGEL OAK MORTGAGE TRUST 2025- AOMT 2025 13 M1 144A     | CUSIP: 034952AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $495836.35    | 0.23%             | 2070-10-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Arby's Funding Llc                                     | ARBYS FUNDING LLC ARBYS 2020 1A A2 144A                 | CUSIP: 038779AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    756000 | PA      | $737557.15    | 0.35%             | 2050-07-30      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                       | DOMINO'S PIZZA MASTER ISSUER L DPABS 2025 1A A2II 144A  | CUSIP: 25755TAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $164036.65    | 0.08%             | 2055-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2024 1A A2 144A          | CUSIP: 26209XAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625475 | PA      | $576969.41    | 0.27%             | 2054-10-20      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST 2019-1 ARRW 2019 1 A3 144A       | ARROYO MORTGAGE TRUST 2019-1 ARRW 2019 1 A3 144A        | CUSIP: 042859AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76738 | PA      | $75138.83     | 0.04%             | 2049-01-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2026- DRVPNK 2026 1A D 144A   | AUTONATION FINANCE TRUST 2026- DRVPNK 2026 1A D 144A    | CUSIP: 05330WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $566207.51    | 0.27%             | 2034-01-11      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-1 SEMT 2024 1 B2 144A      | SEQUOIA MORTGAGE TRUST 2024-1 SEMT 2024 1 B2 144A       | CUSIP: 81749GCE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288371 | PA      | $280404.61    | 0.13%             | 2054-01-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-4 SEMT 2025 4 A19 144A     | SEQUOIA MORTGAGE TRUST 2025-4 SEMT 2025 4 A19 144A      | CUSIP: 81749MAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292219 | PA      | $294045.10    | 0.14%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/49 FIXED 3.5                      | CUSIP: 3140QCKV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215752 | PA      | $199410.87    | 0.09%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/50 FIXED 3.5                      | CUSIP: 3140QCSK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829356 | PA      | $766020.18    | 0.36%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Driven Brands Funding LLC                              | DRIVEN BRANDS FUNDING LLC HONK 2025 1A A2 144A          | CUSIP: 26209XAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    598500 | PA      | $535662.71    | 0.25%             | 2055-10-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress Nc Storm Funding II LLC           | DUKE ENERGY PROGRESS NC STORM SR SECURED 01/48 4.89     | CUSIP: 26443NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $493935.41    | 0.23%             | 2046-01-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/51 FIXED 3                      | FREDDIE MAC POOL FR 05/51 FIXED 3                       | CUSIP: 3132DMUU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206304 | PA      | $184796.85    | 0.09%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 10/51 FIXED 2.5                    | FREDDIE MAC POOL FR 10/51 FIXED 2.5                     | CUSIP: 3132DMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259673 | PA      | $221717.73    | 0.10%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 09/52 FIXED 4.5                    | FREDDIE MAC POOL FR 09/52 FIXED 4.5                     | CUSIP: 3132DN2R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    935109 | PA      | $905579.01    | 0.43%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/53 FIXED 5                      | FREDDIE MAC POOL FR 07/53 FIXED 5                       | CUSIP: 3132DQ3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168984 | PA      | $167453.47    | 0.08%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/51 FIXED 2                      | FREDDIE MAC POOL FR 03/51 FIXED 2                       | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306325 | PA      | $249376.13    | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 04/52 FIXED 2.5                    | FREDDIE MAC POOL FR 04/52 FIXED 2.5                     | CUSIP: 3132DQJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101129 | PA      | $86441.90     | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 07/53 FIXED 5.5                    | FREDDIE MAC POOL FR 07/53 FIXED 5.5                     | CUSIP: 3132DQUC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325323 | PA      | $328546.17    | 0.15%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1152555 | PA      | $941524.82    | 0.44%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 02/52 FIXED 2                      | FREDDIE MAC POOL FR 02/52 FIXED 2                       | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    495247 | PA      | $404103.84    | 0.19%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNVB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    180409 | PA      | $166236.95    | 0.08%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 2                      | FREDDIE MAC POOL FR 03/52 FIXED 2                       | CUSIP: 3133KNW41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1428271 | PA      | $1167650.58   | 0.55%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    912231 | PA      | $842852.02    | 0.40%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG WFCM 2024 C63 A5        | WELLS FARGO COMMERCIAL MORTGAG WFCM 2024 C63 A5         | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    824000 | PA      | $841068.83    | 0.40%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/51 FIXED VAR                      | CUSIP: 3140XBLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156350 | PA      | $144996.40    | 0.07%             | 2051-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/49 FIXED VAR                      | CUSIP: 3140XBM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84176 | PA      | $80681.32     | 0.04%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust 2024-7                      | VERUS SECURITIZATION TRUST 202 VERUS 2024 7 M1 144A     | CUSIP: 924925AF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199029.18    | 0.09%             | 2069-09-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding (AESOP) LLC             | AVIS BUDGET RENTAL CAR FUNDING AESOP 2025 4A C 144A     | CUSIP: 05377RLC6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $586524.24    | 0.28%             | 2032-02-20      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| BAHA TRUST 2024-MAR BAHA 2024 MAR B 144A               | BAHA TRUST 2024-MAR BAHA 2024 MAR B 144A                | CUSIP: 05493XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1030389.90   | 0.48%             | 2041-12-10      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 2                        | CUSIP: 3140QEVT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518552 | PA      | $424416.63    | 0.20%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 2.5                      | CUSIP: 3140QEW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260632 | PA      | $224247.48    | 0.11%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-I HAWT 2021 INV3 B1 144A  | HUNDRED ACRE WOOD TRUST 2021-I HAWT 2021 INV3 B1 144A   | CUSIP: 44555QBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    714195 | PA      | $621840.03    | 0.29%             | 2051-12-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A      | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219978 | PA      | $219734.58    | 0.10%             | 2067-09-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES1 EFMT 2025 CES1 A2 144A                  | EFMT 2025-CES1 EFMT 2025 CES1 A2 144A                   | CUSIP: 26846VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $303108.69    | 0.14%             | 2060-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer 2021-A LLC                  | ELARA HGV TIMESHARE ISSUER 202 EHGVT 2021 A D 144A      | CUSIP: 28416LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43030 | PA      | $41038.28     | 0.02%             | 2035-08-27      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 01/51 FIXED 2                      | FREDDIE MAC POOL FR 01/51 FIXED 2                       | CUSIP: 3133KKY86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1301889 | PA      | $1067584.13   | 0.50%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 11/51 FIXED 2.5                    | FREDDIE MAC POOL FR 11/51 FIXED 2.5                     | CUSIP: 3133KNBF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162374 | PA      | $138640.77    | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 12/51 FIXED 2                      | FREDDIE MAC POOL FR 12/51 FIXED 2                       | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    651535 | PA      | $530611.70    | 0.25%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/50 FIXED 3                        | CUSIP: 3140QEZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70577 | PA      | $62734.49     | 0.03%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 2                        | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510760 | PA      | $415804.16    | 0.20%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 03/52 FIXED 3.5                    | FREDDIE MAC POOL FR 03/52 FIXED 3.5                     | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499790 | PA      | $461309.87    | 0.22%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/52 FIXED 4                      | FREDDIE MAC POOL FR 05/52 FIXED 4                       | CUSIP: 3133KPGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178625 | PA      | $168921.64    | 0.08%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/50 FIXED 3                        | CUSIP: 3140QFF46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677828 | PA      | $596361.35    | 0.28%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/51 FIXED 2                        | CUSIP: 3140QGXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303237 | PA      | $246672.52    | 0.12%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-C30 BBCMS 2024 C30 A5        | BBCMS MORTGAGE TRUST 2024-C30 BBCMS 2024 C30 A5         | CUSIP: 05493YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $620026.20    | 0.29%             | 2057-11-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C27 BBCMS 2024 5C27 B       | BBCMS MORTGAGE TRUST 2024-5C27 BBCMS 2024 5C27 B        | CUSIP: 05555FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $207521.58    | 0.10%             | 2057-07-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/51 FIXED 3                        | CUSIP: 3140QHHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892325 | PA      | $797347.27    | 0.37%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 05/51 FIXED 2.5                      | CUSIP: 3140QKR91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572312 | PA      | $487408.10    | 0.23%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 B       | BBCMS MORTGAGE TRUST 2024-5C29 BBCMS 2024 5C29 B        | CUSIP: 05555PAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $857178.06    | 0.40%             | 2057-09-15      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-OC11 BX 2019 OC11 D 144A                 | BX TRUST 2019-OC11 BX 2019 OC11 D 144A                  | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $472669.70    | 0.22%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 06/51 FIXED 3                        | CUSIP: 3140QKY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537031 | PA      | $479367.20    | 0.23%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED 3                        | CUSIP: 3140QL2N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665228 | PA      | $593590.46    | 0.28%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL C 144A     | HUDSON YARDS 2025-SPRL MORTGAG HY 2025 SPRL C 144A      | CUSIP: 44855PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $563565.92    | 0.26%             | 2040-01-13      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A             | ROCK TRUST 2024-CNTR ROCC 2024 CNTR D 144A              | CUSIP: 74970WAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $519592.30    | 0.24%             | 2041-11-13      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| RATE MORTGAGE TRUST 2024-J3 RATE 2024 J3 B3 144A       | RATE MORTGAGE TRUST 2024-J3 RATE 2024 J3 B3 144A        | CUSIP: 75409UCJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439508 | PA      | $417172.96    | 0.20%             | 2054-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE TRUST 2 RCMT 2019 5 E 144A      | READY CAPITAL MORTGAGE TRUST 2 RCMT 2019 5 E 144A       | CUSIP: 75575MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $228046.15    | 0.11%             | 2052-02-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2019 3 B2 144A     | RESIDENTIAL MORTGAGE LOAN TRUS RMLT 2019 3 B2 144A      | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $351571.60    | 0.17%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Sesac Finance LLC                                      | SESAC FINANCE LLC SESAC 2025 1 A2 144A                  | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    420000 | PA      | $411716.72    | 0.19%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEB FUNDING LLC SEB4P 2024 1A A2 144A                  | SEB FUNDING LLC SEB4P 2024 1A A2 144A                   | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $631016.78    | 0.30%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 06/52 FIXED 4.5                    | FREDDIE MAC POOL FR 06/52 FIXED 4.5                     | CUSIP: 3133KPME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1086882 | PA      | $1053577.91   | 0.50%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 02/35 FIXED 5.18                     | CUSIP: 3140NXPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $623951.82    | 0.29%             | 2035-02-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC POOL FR 05/51 FIXED 2                      | FREDDIE MAC POOL FR 05/51 FIXED 2                       | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1445816 | PA      | $1182445.35   | 0.56%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCT FHMS K116 X1            | FREDDIE MAC MULTIFAMILY STRUCT FHMS K116 X1             | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2659471 | PA      | $130071.00    | 0.06%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/48 FIXED 4                        | CUSIP: 3140H1V98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95220 | PA      | $90821.37     | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/50 FIXED 3.5                      | CUSIP: 3140K3BF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1060614 | PA      | $983595.26    | 0.46%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED 2                        | CUSIP: 3140QLNM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213298 | PA      | $173243.81    | 0.08%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/51 FIXED 2.5                      | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    569122 | PA      | $486469.70    | 0.23%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PGandE Wildfire Recovery Funding LLC                   | PGandE WILDFIRE RECOVERY FUNDING SR SECURED 06/43 5.081 | CUSIP: 693342AH0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $971794.73    | 0.46%             | 2041-06-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-C32 BBCMS 2025 C32 A5        | BBCMS MORTGAGE TRUST 2025-C32 BBCMS 2025 C32 A5         | CUSIP: 07337AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622000 | PA      | $649497.44    | 0.31%             | 2062-02-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BLUE STREAM ISSUER LLC BSTRM 2024 1A B 144A            | BLUE STREAM ISSUER LLC BSTRM 2024 1A B 144A             | CUSIP: 09606BAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $252032.65    | 0.12%             | 2054-11-20      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 M1 144A | BRAVO RESIDENTIAL FUNDING TRUS BRAVO 2021 NQM1 M1 144A  | CUSIP: 10569TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92126.08     | 0.04%             | 2049-02-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| BUSINESS JET SECURITIES 2024-2 BJETS 2024 2A A 144A    | BUSINESS JET SECURITIES 2024-2 BJETS 2024 2A A 144A     | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156022 | PA      | $155608.19    | 0.07%             | 2039-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2.5                      | CUSIP: 3140QLCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831982 | PA      | $708815.71    | 0.33%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2                        | CUSIP: 3140QLD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493893 | PA      | $402381.73    | 0.19%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ServiceMaster Funding LLC                              | SERVICEMASTER FUNDING LLC SERV 2021 1 A2II 144A         | CUSIP: 81761TAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473245 | PA      | $406890.97    | 0.19%             | 2051-07-30      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2.5                      | CUSIP: 3140QLD94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268327 | PA      | $227429.67    | 0.11%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED 2                        | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692117 | PA      | $563877.87    | 0.27%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 L.P.                                          | CARS-DB4 LP CAUTO 2020 1A A6 144A                       | CUSIP: 12510HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    244010 | PA      | $230737.74    | 0.11%             | 2050-02-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 L.P.                                          | CARS-DB4 LP CAUTO 2020 1A B3 144A                       | CUSIP: 12510HAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $94147.47     | 0.04%             | 2050-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CARS-DB6 LP CAUTO 2022 1A B 144A                       | CARS-DB6 LP CAUTO 2022 1A B 144A                        | CUSIP: 12510HAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $163647.00    | 0.08%             | 2052-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST 2025-2 CCG 2025 2 D 144A         | CCG RECEIVABLES TRUST 2025-2 CCG 2025 2 D 144A          | CUSIP: 12516XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $233679.70    | 0.11%             | 2034-08-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED 2.5                      | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381752 | PA      | $326668.87    | 0.15%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED 3                        | CUSIP: 3140QLWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517330 | PA      | $459033.08    | 0.22%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/51 FIXED 2.5                      | CUSIP: 3140QLYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901196 | PA      | $767501.76    | 0.36%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/51 FIXED 2                        | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528330 | PA      | $432419.57    | 0.20%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/52 FIXED 4                        | CUSIP: 3140QPRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206749 | PA      | $196228.64    | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 08/52 FIXED 4.5                      | CUSIP: 3140QPZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570294 | PA      | $557631.21    | 0.26%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4                        | CUSIP: 3140QQDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282231 | PA      | $266193.49    | 0.13%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED 4.5                      | CUSIP: 3140QQDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227877 | PA      | $220520.92    | 0.10%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FLEXENTIAL ISSUER LLC FLX 2025 1A A2 144A              | FLEXENTIAL ISSUER LLC FLX 2025 1A A2 144A               | CUSIP: 33938MAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $496577.75    | 0.23%             | 2060-10-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 178 IA          | CUSIP: 38381D5A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36207518 | PA      | $169780.67    | 0.08%             | 2061-10-16      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 141 BC          | CUSIP: 38381HPW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265000 | PA      | $143425.55    | 0.07%             | 2064-06-16      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 35 IO           | CUSIP: 38381L7W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5477396 | PA      | $311026.80    | 0.15%             | 2066-09-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 161 IO          | CUSIP: 38381LA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6747756 | PA      | $376951.89    | 0.18%             | 2064-06-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE RIDE 2025 SHRE E 144A                   | RIDE 2025-SHRE RIDE 2025 SHRE E 144A                    | CUSIP: 765692AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $515213.15    | 0.24%             | 2047-02-14      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED VAR                      | CUSIP: 3140XJM91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235071 | PA      | $222888.85    | 0.10%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 10/52 FIXED VAR                      | CUSIP: 3140XJPY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115006 | PA      | $111841.78    | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 11/51 FIXED VAR                      | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189658 | PA      | $169649.11    | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 12/51 FIXED VAR                      | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386976 | PA      | $330413.40    | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED VAR                      | CUSIP: 3140XN6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374554 | PA      | $333282.77    | 0.16%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 09/52 FIXED VAR                      | CUSIP: 3140XPBU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182884 | PA      | $168289.48    | 0.08%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 03/52 FIXED VAR                      | CUSIP: 3140XF4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592500 | PA      | $483458.76    | 0.23%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFNV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144485 | PA      | $128744.89    | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1163308 | PA      | $997090.63    | 0.47%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 01/52 FIXED VAR                      | CUSIP: 3140XFPZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446871 | PA      | $381553.86    | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 04/52 FIXED VAR                      | CUSIP: 3140XGCW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129286 | PA      | $1009439.74   | 0.47%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Pool                                        | FANNIE MAE POOL FN 07/51 FIXED VAR                      | CUSIP: 3140XGGK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183378 | PA      | $149916.75    | 0.07%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 3 IO            | CUSIP: 38381LU75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1561635 | PA      | $104772.27    | 0.05%             | 2067-04-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 128 IO          | CUSIP: 38381MA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3581811 | PA      | $283369.23    | 0.13%             | 2067-09-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 73 IO           | CUSIP: 38381MJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3968554 | PA      | $235147.96    | 0.11%             | 2067-08-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 197 IO          | CUSIP: 38384GVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1609891 | PA      | $130861.30    | 0.06%             | 2065-09-16      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST 20 HGMT 2025 HGLR A 144A   | HOUSTON GALLERIA MALL TRUST 20 HGMT 2025 HGLR A 144A    | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1233000 | PA      | $1260087.53   | 0.59%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| IRV TRUST 2025-200P IRV 2025 200P B 144A               | IRV TRUST 2025-200P IRV 2025 200P B 144A                | CUSIP: 45006HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $546732.12    | 0.26%             | 2047-03-14      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| JGWPT XXX LLC HENDR 2013 3A A 144A                     | JGWPT XXX LLC HENDR 2013 3A A 144A                      | CUSIP: 46617LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    589314 | PA      | $561323.94    | 0.26%             | 2073-01-17      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKE'S FUNDING JMIKE 2025 1A A2 144A            | JERSEY MIKE'S FUNDING JMIKE 2025 1A A2 144A             | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    796000 | PA      | $807874.81    | 0.38%             | 2055-08-16      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-29

**Name of Applicant:** John Hancock Exchange-Traded Fund Trust

**Signature:** /s/Salvatore Schiavone

**Name of Signer:** Salvatore Schiavone

**Title:** Treasurer