# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0000940400-26-007504
**Filing Date:** 2026-2
**Character Count:** 547910
**Document Hash:** bd818b6d4ac12e1f36e4f6494f4bf173
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-007504.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0000940400-26-007504

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK ALLOCATION TARGET SHARES
- **CENTRAL INDEX KEY:** 0001221845

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21457
- **FILM NUMBER:** 26675561

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK BOND ALLOCATION TARGET SHARES
- **DATE OF NAME CHANGE:** 20030306

## Series and Classes Contracts Data

### BATS: Mortgage Total Return Series (Series ID: S000001470)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000003892 | BATS: Mortgage Total Return Series | BRAMX           |

## Nport-Ex

Schedule of Investments (unaudited)

December 31, 2025

**BATS: Mortgage Total Return Series**

**(Formerly BATS: Series M Portfolio)**

**(Percentages shown are based on Net Assets)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par* <br>*(000)*<br>| *Value* |
| **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
| &nbsp;&nbsp;&nbsp; ARI Fleet Lease Trust, Series 2024-A, Class A2, <br> 5.30%, 11/15/32<sup>(a)</sup><br>| USD  | 604 | $607718 |
| &nbsp;&nbsp;&nbsp; Chesapeake Funding II LLC, Series 2023-2A, <br> Class A1, 6.16%, 10/15/35<sup>(a)</sup><br>|  | 494 | 498806 |
| Enterprise Fleet Financing LLC |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A2, 5.56%, 04/22/30<sup>(a)</sup> |  | 667 | 670199 |
| &nbsp;&nbsp;&nbsp; Series 2024-1, Class A3, 5.16%, 09/20/30<sup>(a)</sup> |  | 294 | 299623 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A3, 5.61%, 04/20/28<sup>(a)</sup> |  | 8007 | 8143026 |
| &nbsp;&nbsp;&nbsp; Series 2024-3, Class A4, 5.06%, 03/20/31<sup>(a)</sup> |  | 378 | 386785 |
| Ford Credit Floorplan Master Owner Trust A |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class A1, 4.92%, 05/15/28<sup>(a)</sup> |  | 3331 | 3341616 |
| &nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.24%, 04/15/31<sup>(a)</sup> |  | 5015 | 5199326 |
| GMF Floorplan Owner Revolving Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-1, Class A1, 5.34%, 06/15/28<sup>(a)</sup> |  | 1805 | 1815807 |
| &nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 5.34%, 06/15/30<sup>(a)</sup> |  | 617 | 636615 |
| &nbsp;&nbsp;&nbsp; Mosaic Solar Loan Trust, Series 2019-2A, Class A, <br> 2.88%, 09/20/40<sup>(a)</sup><br>|  | 90 | 80419 |
| &nbsp;&nbsp;&nbsp; PFS Financing Corp., Series 2024-D, Class A, <br> 5.34%, 04/15/29<sup>(a)</sup><br>|  | 4901 | 4986119 |
| **Total Asset-Backed Securities — 1.8%** <br>**(Cost: $26,201,447)** | **Total Asset-Backed Securities — 1.8%** <br>**(Cost: $26,201,447)** | **Total Asset-Backed Securities — 1.8%** <br>**(Cost: $26,201,447)** | 26666059 |
| **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Commercial Mortgage-Backed Securities — 10.0%** | **Commercial Mortgage-Backed Securities — 10.0%** | **Commercial Mortgage-Backed Securities — 10.0%** | **Commercial Mortgage-Backed Securities — 10.0%** |
| &nbsp;&nbsp;&nbsp; 1211 Avenue of the Americas Trust, Series 2015-<br> 1211, Class A1A2, 3.90%, 08/10/35<sup>(a)</sup><br>|  | 945 | 911925 |
| &nbsp;&nbsp;&nbsp; 1301 Trust, Series 2025-1301, Class A, 5.06%, <br> 08/11/42<sup>(a)(b)</sup><br>|  | 975 | 987021 |
| &nbsp;&nbsp;&nbsp; 280 Park Avenue Mortgage Trust, Series 2017-280P, <br> Class A, (1-mo. CME Term SOFR + 1.18%), <br> 4.96%, 09/15/34<sup>(a)(b)</sup><br>|  | 3928 | 3915117 |
| &nbsp;&nbsp;&nbsp; Arbor Multifamily Mortgage Securities Trust, <br> Series 2020-MF1, Class C, 3.60%, 05/15/53<sup>(a)(b)</sup><br>|  | 400 | 376685 |
| ARES Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 5.44%, 07/15/41<sup>(a)(b)</sup><br>|  | 2220 | 2222743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND2, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 10/15/34<sup>(a)(b)</sup><br>|  | 400 | 400247 |
| &nbsp;&nbsp;&nbsp; ARES Trust, Series 2025-IND3, Class A, (1-mo. <br> CME Term SOFR + 1.50%), 5.25%, 04/15/42<sup>(a)(b)</sup><br>|  | 1070 | 1070668 |
| &nbsp;&nbsp;&nbsp; Atrium Hotel Portfolio Trust, Series 2024-ATRM, <br> Class A, 5.41%, 11/10/29<sup>(a)(b)</sup><br>|  | 550 | 561021 |
| &nbsp;&nbsp;&nbsp; Banc of America Merrill Lynch Commercial Mortgage <br> Securities Trust, Series 2024-BHP, Class A, (1-<br> mo. CME Term SOFR + 2.35%), 6.10%, <br> 08/15/39<sup>(a)(b)</sup><br>|  | 600 | 600991 |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2017-BNK4, Class AS, 3.78%, 05/15/50 |  | 659 | 645632 |
| &nbsp;&nbsp;&nbsp; Series 2018-BN11, Class B, 4.34%, 03/15/61<sup>(b)</sup> |  | 1769 | 1718970 |
| &nbsp;&nbsp;&nbsp; Series 2021-BN38, Class A5, 2.52%, 12/15/64 |  | 5090 | 4517021 |
| &nbsp;&nbsp;&nbsp; BBCMS Mortgage Trust, Series 2018-TALL, Class A, <br> (1-mo. CME Term SOFR + 0.92%), 4.67%, <br> 03/15/37<sup>(a)(b)</sup><br>|  | 795 | 752543 |
| Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-B2, Class A5, 3.88%, 02/15/51<sup>(b)</sup> |  | 1000 | 992160 |
| &nbsp;&nbsp;&nbsp; Series 2025-V18, Class B, 5.95%, 10/15/58 |  | 975 | 1002326 |
| BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.24%, 11/15/41<sup>(a)(b)</sup><br>|  | 560 | 560350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WRHS, Class A, (1-mo. CME Term <br> SOFR + 1.49%), 5.24%, 07/15/39<sup>(a)(b)</sup><br>|  | 2012 | 2012212 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2025-5MW, Class A, 4.67%, 10/10/42<sup>(a)(b)</sup> | USD  | 2228 | $2227869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-660F, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.25%, 11/15/42<sup>(a)(b)</sup><br>|  | 855 | 857404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-660F, Class B, (1-mo. CME Term <br> SOFR + 1.80%), 5.55%, 11/15/42<sup>(a)(b)</sup><br>|  | 873 | 875717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-EWEST, Class A, (1-mo. CME Term <br> SOFR + 1.55%), 5.30%, 06/15/42<sup>(a)(b)</sup><br>|  | 1537 | 1536998 |
| &nbsp;&nbsp;&nbsp; Series 2025-FPM, Class A, 5.01%, 10/10/40<sup>(a)(b)</sup> |  | 1268 | 1282385 |
| &nbsp;&nbsp;&nbsp; BPR Mortgage Trust, Series 2025-ALDR, Class A, <br> 5.67%, 06/05/42<sup>(a)</sup><br>|  | 850 | 877898 |
| BPR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-TY, Class A, (1-mo. CME Term <br> SOFR + 1.16%), 4.92%, 09/15/38<sup>(a)(b)</sup><br>|  | 1031 | 1030683 |
| &nbsp;&nbsp;&nbsp; Series 2025-STAR, Class B, 5.38%, 11/05/42<sup>(a)(b)</sup> |  | 795 | 797896 |
| &nbsp;&nbsp;&nbsp; BRCK Trust, Series 2025-830B, Class A, 4.96%, <br> 12/10/42<sup>(a)(b)</sup><br>|  | 793 | 793209 |
| &nbsp;&nbsp;&nbsp; BSTN Commercial Mortgage Trust, Series 2025-<br> HUB, Class A, 4.90%, 04/13/41<sup>(a)(b)</sup><br>|  | 760 | 763006 |
| &nbsp;&nbsp;&nbsp; BWAY Mortgage Trust, Series 2025-1535, Class A, <br> 6.31%, 05/05/42<sup>(a)(b)</sup><br>|  | 993 | 1027118 |
| BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LP2, Class A, (1-mo. CME Term <br> SOFR + 1.01%), 4.76%, 02/15/39<sup>(a)(b)</sup><br>|  | 929 | 927652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term <br> SOFR + 1.76%), 5.51%, 12/09/40<sup>(a)(b)</sup><br>|  | 2200 | 2201618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 5.44%, 08/15/41<sup>(a)(b)</sup><br>|  | 3539 | 3545417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class A, (1-mo. CME Term <br> SOFR + 1.29%), 5.04%, 12/15/39<sup>(a)(b)</sup><br>|  | 883 | 882924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 02/15/39<sup>(a)(b)</sup><br>|  | 2364 | 2366350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 02/15/39<sup>(a)(b)</sup><br>|  | 2320 | 2321516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BCAT, Class A, (1-mo. CME Term <br> SOFR + 1.38%), 5.13%, 08/15/42<sup>(a)(b)</sup><br>|  | 2099 | 2101258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-JDI, Class A, (1-mo. CME Term <br> SOFR + 1.40%), 5.15%, 11/15/42<sup>(a)(b)</sup><br>|  | 1415 | 1416315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SPOT, Class A, (1-mo. CME Term <br> SOFR + 1.44%), 5.19%, 04/15/40<sup>(a)(b)</sup><br>|  | 1559 | 1560398 |
| BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-OC11, Class D, 3.94%, <br> 12/09/41<sup>(a)(b)</sup><br>|  | 1489 | 1418335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AV, (1-mo. CME Term <br> SOFR + 0.91%), 4.67%, 02/15/36<sup>(a)(b)</sup><br>|  | 217 | 217296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term <br> SOFR + 2.09%), 5.84%, 03/15/41<sup>(a)(b)</sup><br>|  | 1530 | 1530000 |
| &nbsp;&nbsp;&nbsp; Series 2025-ARIA, Class A, 5.03%, 12/13/42<sup>(a)(b)</sup> |  | 2190 | 2209852 |
| &nbsp;&nbsp;&nbsp; Series 2025-LIFE, Class A, 5.88%, 06/13/47<sup>(a)(b)</sup> |  | 2000 | 2045247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-LUNR, Class A, (1-mo. CME Term <br> SOFR + 1.50%), 5.25%, 06/15/40<sup>(a)(b)</sup><br>|  | 2264 | 2266413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-OMG, Class A, (1-mo. CME Term <br> SOFR + 1.35%), 5.10%, 10/15/42<sup>(a)(b)</sup><br>|  | 1015 | 1015633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ROIC, Class A, (1-mo. CME Term <br> SOFR + 1.14%), 4.89%, 03/15/30<sup>(a)(b)</sup><br>|  | 401 | 400933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-TAIL, Class A, (1-mo. CME Term <br> SOFR + 1.40%), 5.15%, 06/15/35<sup>(a)(b)</sup><br>|  | 1618 | 1618000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-VOLT, Class A, (1-mo. CME Term <br> SOFR + 1.70%), 5.45%, 12/15/44<sup>(a)(b)</sup><br>|  | 2198 | 2199367 |
| &nbsp;&nbsp;&nbsp; CENT Trust, Series 2025-CITY, Class A, 4.92%, <br> 07/10/40<sup>(a)(b)</sup><br>|  | 1840 | 1862379 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Mortgage Total Return Series**

**(Formerly BATS: Series M Portfolio)**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; CFK Trust, Series 2020-MF2, Class B, 2.79%, <br> 03/15/39<sup>(a)</sup><br>| USD  | 1254 | $1170734 |
| &nbsp;&nbsp;&nbsp; CHI Commercial Mortgage Trust, Series 2025-110W, <br> Class A, 5.10%, 12/13/40<sup>(a)(b)</sup><br>|  | 1430 | 1432312 |
| &nbsp;&nbsp;&nbsp; CIP Commercial Mortgage Trust, Series 2025-SBAY, <br> Class A, (1-mo. CME Term SOFR + 1.40%), <br> 5.15%, 10/15/37<sup>(a)(b)</sup><br>|  | 1367 | 1368270 |
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, Series 2023-<br> SMRT, Class A, 5.82%, 10/12/40<sup>(a)(b)</sup><br>|  | 1370 | 1411859 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust, Series 2024-WCL1, <br> Class A, (1-mo. CME Term SOFR + 1.84%), <br> 5.59%, 06/15/41<sup>(a)(b)</sup><br>|  | 1454 | 1455797 |
| &nbsp;&nbsp;&nbsp; CONE Trust, Series 2024-DFW1, Class A, (1-mo. <br> CME Term SOFR + 1.64%), 5.39%, 08/15/41<sup>(a)(b)</sup><br>|  | 930 | 928550 |
| &nbsp;&nbsp;&nbsp; CRSO Trust, Series 2023-BRND, 7.12%, <br> 07/10/40<sup>(a)</sup><br>|  | 763 | 791999 |
| CSTL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2024-GATE, Class A, 4.76%, 11/10/41<sup>(a)(b)</sup> |  | 1625 | 1635337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-GATE2, Class A, 4.56%, <br> 11/10/42<sup>(a)(b)</sup><br>|  | 1100 | 1096521 |
| &nbsp;&nbsp;&nbsp; DBC Mortgage Trust, Series 2025-DBC, Class A, <br> (1-mo. CME Term SOFR + 1.35%), 5.10%, <br> 11/15/42<sup>(a)(b)</sup><br>|  | 1785 | 1786379 |
| &nbsp;&nbsp;&nbsp; DK Trust, Series 2025-LXP, Class A, (1-mo. CME <br> Term SOFR + 1.59%), 5.33%, 08/15/37<sup>(a)(b)</sup><br>|  | 340 | 340527 |
| &nbsp;&nbsp;&nbsp; Durst Commercial Mortgage Trust, Series 2025-151, <br> Class A, 5.15%, 08/10/42<sup>(a)(b)</sup><br>|  | 990 | 1009843 |
| &nbsp;&nbsp;&nbsp; Extended Stay America Trust, Series 2025-ESH, <br> Class A, (1-mo. CME Term SOFR + 1.30%), <br> 5.05%, 10/15/42<sup>(a)(b)</sup><br>|  | 658 | 659027 |
| &nbsp;&nbsp;&nbsp; Grace Mortgage Trust, Series 2020-GRCE, Class B, <br> 2.60%, 12/10/40<sup>(a)</sup><br>|  | 900 | 804798 |
| GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ROSS, Class A, (1-mo. CME Term <br> SOFR + 1.41%), 5.17%, 05/15/26<sup>(a)(b)</sup><br>|  | 730 | 693545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class A, (1-mo. CME Term <br> SOFR + 2.09%), 5.84%, 03/15/28<sup>(a)(b)</sup><br>|  | 1100 | 1104081 |
| &nbsp;&nbsp;&nbsp; GSAT Trust, Series 2025-BMF, Class A, (1-mo. CME <br> Term SOFR + 1.50%), 5.25%, 07/15/40<sup>(a)(b)</sup><br>|  | 2519 | 2522148 |
| &nbsp;&nbsp;&nbsp; GWT, Series 2024-WLF2, Class A, (1-mo. CME <br> Term SOFR + 1.69%), 5.44%, 05/15/41<sup>(a)(b)</sup><br>|  | 1570 | 1574372 |
| &nbsp;&nbsp;&nbsp; Houston Galleria Mall Trust, Series 2025-HGLR, <br> Class A, 5.46%, 02/05/45<sup>(a)(b)</sup><br>|  | 1875 | 1942853 |
| &nbsp;&nbsp;&nbsp; Hudson Yards Mortgage Trust, Series 2019-30HY, <br> Class D, 3.44%, 07/10/39<sup>(a)(b)</sup><br>|  | 669 | 619785 |
| &nbsp;&nbsp;&nbsp; ILPT Commercial Mortgage Trust, Series 2025-<br> LPF2, Class A, 5.29%, 07/13/42<sup>(a)(b)</sup><br>|  | 2454 | 2501356 |
| &nbsp;&nbsp;&nbsp; INT Commercial Mortgage Trust, Series 2025-<br> PLAZA, Class A, 4.88%, 11/05/37<sup>(a)(b)</sup><br>|  | 239 | 239681 |
| &nbsp;&nbsp;&nbsp; INTOWN Mortgage Trust, Series 2025-STAY, <br> Class A, (1-mo. CME Term SOFR + 1.35%), <br> 5.10%, 03/15/42<sup>(a)(b)</sup><br>|  | 2084 | 2086603 |
| &nbsp;&nbsp;&nbsp; INV Mortgage Trust, Series 2024-IND, Class A, (1-<br> mo. CME Term SOFR + 1.74%), 5.49%, <br> 11/15/41<sup>(a)(b)</sup><br>|  | 640 | 635212 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities <br> Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-NINE, Class A, 2.85%, 09/06/38<sup>(a)(b)</sup> |  | 1790 | 1770216 |
| &nbsp;&nbsp;&nbsp; Series 2021-2NU, Class A, 1.97%, 01/05/40<sup>(a)</sup> |  | 1210 | 1118488 |
| &nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.17%, 11/09/39<sup>(a)(b)</sup> |  | 440 | 444423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BHR5, Class A, (1-mo. CME Term <br> SOFR + 1.69%), 5.44%, 03/15/40<sup>(a)(b)</sup><br>|  | 248 | 248203 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
| &nbsp;&nbsp;&nbsp; KSL Commercial Mortgage Trust, Series 2024-HT2, <br> Class A, (1-mo. CME Term SOFR + 1.54%), <br> 5.29%, 12/15/39<sup>(a)(b)</sup><br>| USD  | 738 | $737659 |
| &nbsp;&nbsp;&nbsp; LQR Trust, Series 2025-CALI, Class A, (1-mo. CME <br> Term SOFR + 1.60%), 5.33%, 01/15/43<sup>(a)(b)</sup><br>|  | 1281 | 1280997 |
| &nbsp;&nbsp;&nbsp; LUX, Series 2023-LION, Class A, (1-mo. CME Term <br> SOFR + 2.69%), 6.44%, 08/15/40<sup>(a)(b)</sup><br>|  | 880 | 888511 |
| &nbsp;&nbsp;&nbsp; MAD Commercial Mortgage Trust, Series 2025-<br> 11MD, Class A, 4.75%, 10/15/42<sup>(a)(b)</sup><br>|  | 1510 | 1515724 |
| &nbsp;&nbsp;&nbsp; MCR Mortgage Trust, Series 2024-HF1, Class A, <br> (1-mo. CME Term SOFR + 1.79%), 5.54%, <br> 12/15/41<sup>(a)(b)</sup><br>|  | 1207 | 1209668 |
| &nbsp;&nbsp;&nbsp; MF1, Series 2021-W10, Class B, (1-mo. CME Term <br> SOFR + 1.37%), 5.12%, 12/15/34<sup>(a)(b)</sup><br>|  | 640 | 639933 |
| Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-H3, Class B, 4.62%, 07/15/51<sup>(b)</sup> |  | 739 | 707897 |
| &nbsp;&nbsp;&nbsp; Series 2018-MP, Class A, 4.28%, 07/11/40<sup>(a)(b)</sup> |  | 1000 | 929289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NSTB, Class A, 3.90%, <br> 09/24/57<sup>(a)(b)</sup><br>|  | 624 | 616421 |
| &nbsp;&nbsp;&nbsp; NCMF Trust, Series 2025-MFS, Class A, 4.88%, <br> 06/10/33<sup>(a)(b)</sup><br>|  | 2179 | 2186846 |
| &nbsp;&nbsp;&nbsp; NJ, Series 2025-WBRK, Class A, 5.87%, <br> 03/05/35<sup>(a)(b)</sup><br>|  | 1485 | 1542301 |
| &nbsp;&nbsp;&nbsp; NRTH Commercial Mortgage Trust, Series 2025-<br> PARK, Class A, (1-mo. CME Term SOFR + <br> 1.39%), 5.14%, 10/15/40<sup>(a)(b)</sup><br>|  | 2396 | 2398246 |
| NYC Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-11X, Class A, (1-mo. CME Term <br> SOFR + 1.74%), 5.49%, 10/15/40<sup>(a)(b)</sup><br>|  | 860 | 862675 |
| &nbsp;&nbsp;&nbsp; Series 2025-28L, Class A, 4.67%, 11/05/38<sup>(a)(b)</sup> |  | 589 | 590246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3BP, Class A, (1-mo. CME Term <br> SOFR + 1.21%), 4.96%, 02/15/42<sup>(a)(b)</sup><br>|  | 1401 | 1389643 |
| &nbsp;&nbsp;&nbsp; Series 2025-77C, Class A, 4.79%, 01/10/38<sup>(a)(b)</sup> |  | 2785 | 2796757 |
| &nbsp;&nbsp;&nbsp; PENN Commercial Mortgage Trust, Series 2025-<br> P11, Class A, 5.34%, 08/10/42<sup>(a)(b)</sup><br>|  | 406 | 415885 |
| &nbsp;&nbsp;&nbsp; PRM Trust, Series 2025-PRM6, Class A, 4.48%, <br> 07/05/33<sup>(a)(b)</sup><br>|  | 1748 | 1745995 |
| &nbsp;&nbsp;&nbsp; PRM5 Trust, Series 2025-PRM5, Class A, 4.47%, <br> 03/10/33<sup>(a)(b)</sup><br>|  | 2572 | 2571041 |
| &nbsp;&nbsp;&nbsp; SDAL Trust, Series 2025-DAL, Class A, (1-mo. CME <br> Term SOFR + 2.44%), 6.19%, 04/15/42<sup>(a)(b)</sup><br>|  | 2128 | 2141217 |
| &nbsp;&nbsp;&nbsp; SHRN Trust, Series 2025-MF18, Class A, (1-mo. <br> CME Term SOFR + 1.20%), 4.95%, 10/15/40<sup>(a)(b)</sup><br>|  | 2415 | 2416494 |
| &nbsp;&nbsp;&nbsp; UNIV Trust, Series 2025-APTS, Class A, (1-mo. <br> CME Term SOFR + 1.65%), 5.40%, 11/15/42<sup>(a)(b)</sup><br>|  | 1721 | 1723123 |
| &nbsp;&nbsp;&nbsp; VEGAS Trust, Series 2024-TI, Class A, 5.52%, <br> 11/10/39<sup>(a)</sup><br>|  | 555 | 562509 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-AUS, Class A, 4.06%, 08/17/36<sup>(a)(b)</sup> |  | 2417 | 2379177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FCMT, Class A, (1-mo. CME Term <br> SOFR + 1.31%), 5.07%, 05/15/31<sup>(a)(b)</sup><br>|  | 3516 | 3513353 |
| &nbsp;&nbsp;&nbsp; Series 2024-1CHI, Class A, 5.31%, 07/15/35<sup>(a)(b)</sup> |  | 1090 | 1099436 |
| &nbsp;&nbsp;&nbsp; WEST Trust, Series 2025-ROSE, Class A, 5.28%, <br> 04/10/35<sup>(a)(b)</sup><br>|  | 1309 | 1329261 |
| &nbsp;&nbsp;&nbsp; WHARF Commercial Mortgage Trust, Series 2025-<br> DC, Class A, 5.35%, 07/15/40<sup>(a)(b)</sup><br>|  | 1027 | 1055332 |
|  |  |  | 144063273 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Arbor Multifamily Mortgage Securities Trust, <br> Series 2020-MF1, Class XA, 0.93%, <br> 05/15/53<sup>(a)(b)</sup><br>|  | 1525 | 48992 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Mortgage Total Return Series**

**(Formerly BATS: Series M Portfolio)**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** |
| BANK |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-BN29, Class XA, 1.30%, 11/15/53<sup>(b)</sup> | USD  | 4120 | $208660 |
| &nbsp;&nbsp;&nbsp; Series 2021-BN33, Class XA, 1.04%, 05/15/64<sup>(b)</sup> |  | 15474 | 570884 |
| &nbsp;&nbsp;&nbsp; Benchmark Mortgage Trust, Series 2020-B21, <br> Class XA, 1.41%, 12/17/53<sup>(a)(b)</sup><br>|  | 3675 | 197421 |
| &nbsp;&nbsp;&nbsp; BMO Mortgage Trust, Series 2023-C5, Class XA, <br> 0.72%, 06/15/56<sup>(b)</sup><br>|  | 8703 | 345617 |
| &nbsp;&nbsp;&nbsp; UBS Commercial Mortgage Trust, Series 2019-C17, <br> Class XA, 1.44%, 10/15/52<sup>(b)</sup><br>|  | 9482 | 418122 |
| Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2018-C44, Class XA, 0.71%, 05/15/51<sup>(b)</sup> |  | 7541 | 100524 |
| &nbsp;&nbsp;&nbsp; Series 2020-C58, Class XA, 1.79%, 07/15/53<sup>(b)</sup> |  | 4351 | 282706 |
|  |  |  | 2172926 |
| **Total Non-Agency Mortgage-Backed Securities — 10.1%** <br>**(Cost: $147,258,241)** | **Total Non-Agency Mortgage-Backed Securities — 10.1%** <br>**(Cost: $147,258,241)** | **Total Non-Agency Mortgage-Backed Securities — 10.1%** <br>**(Cost: $147,258,241)** | 146236199 |
| **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Collateralized Mortgage Obligations — 2.9%** | **Collateralized Mortgage Obligations — 2.9%** | **Collateralized Mortgage Obligations — 2.9%** | **Collateralized Mortgage Obligations — 2.9%** |
| Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2011-8, Class ZA, 4.00%, 02/25/41 |  | 468 | 456885 |
| &nbsp;&nbsp;&nbsp; Series 2017-100, Class ZJ, 3.50%, 12/25/47 |  | 3223 | 2921873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-32, Class PS, (SOFR (30-day) + <br> 7.10%), 2.58%, 05/25/48<sup>(b)</sup><br>|  | 1653 | 1418159 |
| &nbsp;&nbsp;&nbsp; Series 2018-76, Class ZL, 4.00%, 10/25/58 |  | 4942 | 4592512 |
| &nbsp;&nbsp;&nbsp; Series 2022-25, Class KL, 4.00%, 05/25/52 |  | 1500 | 1388302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-48, Class FC, (SOFR (30-day) + <br> 1.10%), 4.97%, 07/25/54<sup>(b)</sup><br>|  | 2564 | 2572213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-83, Class FA, (SOFR (30-day) + <br> 1.15%), 5.02%, 10/25/54<sup>(b)</sup><br>|  | 3287 | 3297140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-95, Class FC, (SOFR (30-day) + <br> 1.40%), 5.27%, 12/25/54<sup>(b)</sup><br>|  | 151 | 152109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-18, Class FH, (SOFR (30-day) + <br> 1.40%), 5.27%, 08/25/54<sup>(b)</sup><br>|  | 269 | 271491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class FG, (SOFR (30-day) + <br> 1.45%), 5.32%, 02/25/55<sup>(b)</sup><br>|  | 938 | 946369 |
| &nbsp;&nbsp;&nbsp; Series 2025-33, Class DV, 5.50%, 04/25/36 |  | 2185 | 2275403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-35, Class FJ, (SOFR (30-day) + <br> 1.60%), 5.47%, 05/25/55<sup>(b)</sup><br>|  | 626 | 632944 |
| &nbsp;&nbsp;&nbsp; Series 2025-40, Class EV, 5.00%, 06/25/36 |  | 691 | 709094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-42, Class FA, (SOFR (30-day) + <br> 1.50%), 5.37%, 06/25/55<sup>(b)</sup><br>|  | 373 | 376743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-42, Class FE, (SOFR (30-day) + <br> 1.55%), 5.42%, 06/25/55<sup>(b)</sup><br>|  | 681 | 688263 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 3745, Class ZA, 4.00%, 10/15/40 |  | 334 | 324798 |
| &nbsp;&nbsp;&nbsp; Series 3780, Class ZA, 4.00%, 12/15/40 |  | 1162 | 1117768 |
| &nbsp;&nbsp;&nbsp; Series 4355, Class ZL, 4.00%, 06/15/44 |  | 2548 | 2429915 |
| &nbsp;&nbsp;&nbsp; Series 4758, Class Z, 4.00%, 02/15/48 |  | 1647 | 1561936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5444, Class FC, (SOFR (30-day) + <br> 1.12%), 4.99%, 08/25/54<sup>(b)</sup><br>|  | 4166 | 4178639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5468, Class FM, (SOFR (30-day) + <br> 1.20%), 5.07%, 11/25/54<sup>(b)</sup><br>|  | 2929 | 2939884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5468, Class MF, (SOFR (30-day) + <br> 1.30%), 5.17%, 11/25/54<sup>(b)</sup><br>|  | 2265 | 2278845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5479, Class FB, (SOFR (30-day) + 1.40%), <br> 5.27%, 12/25/54<sup>(b)</sup><br>|  | 313 | 315700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5515, Class FB, (SOFR (30-day) + 1.40%), <br> 5.27%, 03/25/55<sup>(b)</sup><br>|  | 384 | 387698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5539, Class FC, (SOFR (30-day) + <br> 1.50%), 5.37%, 05/25/55<sup>(b)</sup><br>|  | 516 | 520784 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5543, Class FC, (SOFR (30-day) + <br> 1.50%), 5.37%, 06/25/55<sup>(b)</sup><br>| USD  | 395 | $398845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5543, Class FG, (SOFR (30-day) + <br> 1.50%), 5.37%, 06/25/55<sup>(b)</sup><br>|  | 399 | 402531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5543, Class FM, (SOFR (30-day) + <br> 1.50%), 5.37%, 06/25/55<sup>(b)</sup><br>|  | 528 | 533103 |
| &nbsp;&nbsp;&nbsp; Series 5544, Class HV, 5.00%, 05/25/36 |  | 672 | 683924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5570, Class FA, (SOFR (30-day) + 1.40%), <br> 5.27%, 05/25/55<sup>(b)</sup><br>|  | 567 | 572214 |
|  |  |  | 41346084 |
| **Commercial Mortgage-Backed Securities — 1.2%** | **Commercial Mortgage-Backed Securities — 1.2%** | **Commercial Mortgage-Backed Securities — 1.2%** | **Commercial Mortgage-Backed Securities — 1.2%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series K082, Class A2, 3.92%, 09/25/28<sup>(b)</sup> |  | 2400 | 2404957 |
| &nbsp;&nbsp;&nbsp; Series K139, Class A2, 2.59%, 01/25/32<sup>(b)</sup> |  | 12000 | 10979671 |
| &nbsp;&nbsp;&nbsp; Series K154, Class A2, 3.42%, 04/25/32 |  | 3500 | 3438432 |
|  |  |  | 16823060 |
| **Interest Only Collateralized Mortgage Obligations — 1.2%** | **Interest Only Collateralized Mortgage Obligations — 1.2%** | **Interest Only Collateralized Mortgage Obligations — 1.2%** | **Interest Only Collateralized Mortgage Obligations — 1.2%** |
| Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2013-10, Class PI, 3.00%, 02/25/43 |  | 801 | 95657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-66, Class AS, (SOFR (30-day) + <br> 6.14%), 2.26%, 09/25/45<sup>(b)</sup><br>|  | 1515 | 92735 |
| &nbsp;&nbsp;&nbsp; Series 2020-27, Class IJ, 4.50%, 05/25/50 |  | 4075 | 791520 |
| &nbsp;&nbsp;&nbsp; Series 2021-23, Class CI, 3.50%, 07/25/46 |  | 1979 | 353851 |
| &nbsp;&nbsp;&nbsp; Series 2021-41, Class IO, 3.50%, 07/25/51 |  | 3774 | 674753 |
| &nbsp;&nbsp;&nbsp; Series 2021-88, Class IO, 2.50%, 12/25/51 |  | 1803 | 241293 |
| &nbsp;&nbsp;&nbsp; Series 2024-7, Class IA, 3.50%, 11/25/49 |  | 4445 | 563126 |
| &nbsp;&nbsp;&nbsp; Series 435, Class C24, 2.00%, 04/25/52 |  | 19306 | 2443358 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 5052, Class KI, 4.00%, 12/25/50 |  | 10491 | 2148390 |
| &nbsp;&nbsp;&nbsp; Series 5109, Class ID, 2.50%, 05/25/51 |  | 1673 | 253759 |
| &nbsp;&nbsp;&nbsp; Series 5112, Class KI, 3.50%, 06/25/51 |  | 1212 | 226260 |
| &nbsp;&nbsp;&nbsp; Series 5119, Class IC, 4.00%, 06/25/51 |  | 2794 | 568170 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2020-151, Class MI, 2.50%, 10/20/50 |  | 9612 | 1382750 |
| &nbsp;&nbsp;&nbsp; Series 2021-104, Class IH, 3.00%, 06/20/51 |  | 4036 | 682600 |
| &nbsp;&nbsp;&nbsp; Series 2021-149, Class KI, 3.00%, 08/20/51 |  | 7623 | 1285619 |
| &nbsp;&nbsp;&nbsp; Series 2021-193, Class IA, 3.00%, 11/20/51 |  | 11630 | 1932011 |
| &nbsp;&nbsp;&nbsp; Series 2021-87, Class NI, 3.00%, 05/20/51 |  | 6623 | 1114430 |
| &nbsp;&nbsp;&nbsp; Series 2022-5, Class LI, 3.50%, 01/20/52 |  | 9860 | 1816730 |
| &nbsp;&nbsp;&nbsp; Series 2022-78, Class IO, 3.00%, 08/20/51 |  | 6459 | 1049470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6, Class ES, (SOFR (30-day) + <br> 6.05%), 2.13%, 07/20/53<sup>(b)</sup><br>|  | 4432 | 351594 |
|  |  |  | 18068076 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series K110, Class X1, 1.64%, 04/25/30<sup>(b)</sup> |  | 1116 | 64181 |
| &nbsp;&nbsp;&nbsp; Series K116, Class X1, 1.41%, 07/25/30<sup>(b)</sup> |  | 2036 | 105234 |
| &nbsp;&nbsp;&nbsp; Series K119, Class X1, 0.92%, 09/25/30<sup>(b)</sup> |  | 3251 | 116612 |
| &nbsp;&nbsp;&nbsp; Series K122, Class X1, 0.87%, 11/25/30<sup>(b)</sup> |  | 4961 | 173648 |
| Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2016-151, Class IO, 0.88%, 06/16/58<sup>(b)</sup> |  | 16076 | 730735 |
| &nbsp;&nbsp;&nbsp; Series 2017-61, Class IO, 0.69%, 05/16/59<sup>(b)</sup> |  | 914 | 31433 |
|  |  |  | 1221843 |
| **Mortgage-Backed Securities — 118.2%** | **Mortgage-Backed Securities — 118.2%** | **Mortgage-Backed Securities — 118.2%** | **Mortgage-Backed Securities — 118.2%** |
| Fannie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 12/01/35 - 04/01/52 |  | 38986 | 32631264 |
| &nbsp;&nbsp;&nbsp; 2.00%, 10/01/31 - 04/01/52 |  | 125218 | 104638454 |
| &nbsp;&nbsp;&nbsp; 2.50%, 09/01/27 - 04/01/52 |  | 79265 | 69414977 |
| &nbsp;&nbsp;&nbsp; 3.00%, 04/01/28 - 06/01/52 |  | 35444 | 32436852 |
| &nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 - 04/01/52 |  | 20126 | 19069079 |

---

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Mortgage Total Return Series**

**(Formerly BATS: Series M Portfolio)**

**(Percentages shown are based on Net Assets)**

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)*<br>| *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
| Fannie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 4.00%, 02/01/31 - 05/01/52 | USD  | 24325 | $23459409 |
| &nbsp;&nbsp;&nbsp; 4.50%, 06/01/40 - 10/01/52 |  | 32220 | 31784405 |
| &nbsp;&nbsp;&nbsp; 5.00%, 02/01/35 - 11/01/55 |  | 46897 | 47073318 |
| &nbsp;&nbsp;&nbsp; 5.50%, 05/01/34 - 10/01/55 |  | 80150 | 81491605 |
| &nbsp;&nbsp;&nbsp; 5.81%, 06/01/31 |  | 3574 | 3712967 |
| &nbsp;&nbsp;&nbsp; 6.00%, 02/01/38 - 08/01/55 |  | 39399 | 40710617 |
| &nbsp;&nbsp;&nbsp; 6.50%, 07/01/37 - 09/01/55 |  | 19871 | 20693532 |
| Freddie Mac Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 04/01/36 - 04/01/52 |  | 11080 | 9013290 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/36 - 02/01/52 |  | 99042 | 82579242 |
| &nbsp;&nbsp;&nbsp; 2.50%, 02/01/30 - 01/01/53 |  | 76545 | 65988941 |
| &nbsp;&nbsp;&nbsp; 3.00%, 09/01/27 - 08/01/52 |  | 41054 | 37323795 |
| &nbsp;&nbsp;&nbsp; 3.50%, 02/01/31 - 06/01/50 |  | 17512 | 16601081 |
| &nbsp;&nbsp;&nbsp; 4.00%, 08/01/40 - 06/01/52 |  | 14944 | 14494914 |
| &nbsp;&nbsp;&nbsp; 4.50%, 12/01/39 - 10/01/52 |  | 7040 | 6923653 |
| &nbsp;&nbsp;&nbsp; 5.00%, 05/01/28 - 11/01/55<sup>(c)</sup> |  | 77770 | 77721468 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/28 - 01/01/55 |  | 47340 | 48174264 |
| &nbsp;&nbsp;&nbsp; 6.00%, 08/01/28 - 08/01/55 |  | 85445 | 88008916 |
| &nbsp;&nbsp;&nbsp; 6.50%, 02/01/53 - 09/01/55 |  | 22055 | 23028973 |
| Ginnie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 08/20/50 - 01/15/56<sup>(d)</sup> |  | 73992 | 61288900 |
| &nbsp;&nbsp;&nbsp; 2.50%, 04/20/51 - 01/15/56<sup>(d)</sup> |  | 53264 | 45965362 |
| &nbsp;&nbsp;&nbsp; 3.00%, 12/20/44 - 01/15/56<sup>(d)</sup> |  | 83007 | 74617433 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/42 - 01/15/56<sup>(d)</sup> |  | 32553 | 30018527 |
| &nbsp;&nbsp;&nbsp; 4.00%, 04/20/39 - 01/15/56<sup>(d)</sup> |  | 30090 | 28577633 |
| &nbsp;&nbsp;&nbsp; 4.50%, 09/20/39 - 01/15/56<sup>(d)</sup> |  | 48504 | 47405890 |
| &nbsp;&nbsp;&nbsp; 5.00%, 07/15/33 - 01/15/56<sup>(d)</sup> |  | 35491 | 35490288 |
| &nbsp;&nbsp;&nbsp; 5.50%, 07/15/38 - 01/15/56<sup>(d)</sup> |  | 86525 | 87436151 |
| &nbsp;&nbsp;&nbsp; 6.00%, 03/20/53 - 01/15/56<sup>(d)</sup> |  | 24608 | 25087400 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/56<sup>(d)</sup> |  | 20768 | 21456019 |
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 1.50%, 01/01/41<sup>(d)</sup> |  | 2664 | 2409879 |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/41 - 01/01/56<sup>(d)</sup> |  | 59230 | 49518759 |
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/41 - 01/01/56<sup>(d)</sup> |  | 20695 | 18051802 |
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/41 - 01/01/56<sup>(d)</sup> |  | 46341 | 41139349 |
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/41 - 01/01/56<sup>(d)</sup> |  | 52698 | 48658754 |
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/41 - 01/01/56<sup>(d)</sup> |  | 3872 | 3737366 |
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/41 - 01/01/56<sup>(d)</sup> |  | 18882 | 18712031 |
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/56<sup>(d)</sup> |  | 7615 | 7593583 |
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/56<sup>(d)</sup> |  | 62030 | 62897340 |
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/56<sup>(d)</sup> |  | 6467 | 6639847 |
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/56<sup>(d)</sup> |  | 11802 | 12265117 |
|  |  |  | 1705942446 |
| **Principal Only Collateralized Mortgage Obligations — 0.7%** | **Principal Only Collateralized Mortgage Obligations — 0.7%** | **Principal Only Collateralized Mortgage Obligations — 0.7%** | **Principal Only Collateralized Mortgage Obligations — 0.7%** |
| Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 2023-36, Class AO, 0.00%, 08/25/50<sup>(e)</sup> |  | 3247 | 2366061 |
| &nbsp;&nbsp;&nbsp; Series 2024-16, Class PO, 0.00%, 03/25/51<sup>(e)</sup> |  | 1448 | 1047519 |
| Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp; Series 5319, Class PO, 0.00%, 08/25/50<sup>(e)</sup> |  | 6366 | 4399811 |
| &nbsp;&nbsp;&nbsp; Series 5341, Class AO, 0.00%, 06/25/50<sup>(e)</sup> |  | 3550 | 2558447 |
| &nbsp;&nbsp;&nbsp; Ginnie Mae, Series 2022-195, Class PO, 0.00%, <br> 11/20/52<sup>(e)</sup><br>|  | 433 | 349672 |
|  |  |  | 10721510 |
| **Total U.S. Government Sponsored Agency Securities — 124.3%** <br>**(Cost: $1,836,571,663)** | **Total U.S. Government Sponsored Agency Securities — 124.3%** <br>**(Cost: $1,836,571,663)** | **Total U.S. Government Sponsored Agency Securities — 124.3%** <br>**(Cost: $1,836,571,663)** | 1794123019 |
| **Total Long-Term Investments — 136.2%** <br>**(Cost: $2,010,031,351)** | **Total Long-Term Investments — 136.2%** <br>**(Cost: $2,010,031,351)** | **Total Long-Term Investments — 136.2%** <br>**(Cost: $2,010,031,351)** | 1967025277 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| *Security* | <br>*Shares*<br>| *Value* |
| **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| &nbsp;&nbsp;&nbsp; Dreyfus Treasury Securities Cash Management, <br> Institutional Class, 3.64%<sup>(f)</sup><br>| 5352765 | $5352765 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | |
|:---|:---|:---|:---|
|  |  | *Par* <br>*(000)*<br>|  |
| **U.S. Treasury Obligations**<sup>(g)</sup> **— 1.5%** | **U.S. Treasury Obligations**<sup>(g)</sup> **— 1.5%** | **U.S. Treasury Obligations**<sup>(g)</sup> **— 1.5%** | **U.S. Treasury Obligations**<sup>(g)</sup> **— 1.5%** |
| U.S. Treasury Bills |  |  |  |
| &nbsp;&nbsp;&nbsp; 3.54%, 01/06/26 | USD  | 1535 | 1534411 |
| &nbsp;&nbsp;&nbsp; 3.51%, 01/15/26 |  | 20355 | 20328985 |
| **Total U.S. Treasury Obligations — 1.5%** <br>**(Cost: $21,861,540)**<br>|  |  | 21863396 |
| **Total Short-Term Securities — 1.9%** <br>**(Cost: $27,214,305)** | **Total Short-Term Securities — 1.9%** <br>**(Cost: $27,214,305)** | **Total Short-Term Securities — 1.9%** <br>**(Cost: $27,214,305)** | 27216161 |
| **Total Investments Before TBA Sale Commitments — 138.1%** <br>**(Cost: $2,037,245,656)** | **Total Investments Before TBA Sale Commitments — 138.1%** <br>**(Cost: $2,037,245,656)** | **Total Investments Before TBA Sale Commitments — 138.1%** <br>**(Cost: $2,037,245,656)** | 1994241438 |
| **TBA Sale Commitments**<sup>(d)</sup> | **TBA Sale Commitments**<sup>(d)</sup> | **TBA Sale Commitments**<sup>(d)</sup> | **TBA Sale Commitments**<sup>(d)</sup> |
| **Mortgage-Backed Securities — (28.1)%** | **Mortgage-Backed Securities — (28.1)%** | **Mortgage-Backed Securities — (28.1)%** | **Mortgage-Backed Securities — (28.1)%** |
| Ginnie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/15/56 |  | (21515)<br>| (17813662)<br>|
| &nbsp;&nbsp;&nbsp; 2.50%, 01/15/56 |  | (684)<br>| (589897)<br>|
| &nbsp;&nbsp;&nbsp; 3.00%, 01/15/56 |  | (45171)<br>| (40581556)<br>|
| &nbsp;&nbsp;&nbsp; 3.50%, 01/15/56 |  | (937)<br>| (852560)<br>|
| &nbsp;&nbsp;&nbsp; 4.00%, 01/15/56 |  | (558)<br>| (527027)<br>|
| &nbsp;&nbsp;&nbsp; 4.50%, 01/15/56 |  | (23200)<br>| (22594625)<br>|
| &nbsp;&nbsp;&nbsp; 5.00%, 01/15/56 |  | (450)<br>| (448936)<br>|
| &nbsp;&nbsp;&nbsp; 5.50%, 01/15/56 |  | (11232)<br>| (11340910)<br>|
| &nbsp;&nbsp;&nbsp; 6.00%, 01/15/56 |  | (865)<br>| (881455)<br>|
| &nbsp;&nbsp;&nbsp; 6.50%, 01/15/56 |  | (10594)<br>| (10950720)<br>|
| Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp; 2.00%, 01/01/41 - 01/01/56 |  | (3825)<br>| (3201399)<br>|
| &nbsp;&nbsp;&nbsp; 2.50%, 01/01/41 - 01/01/56 |  | (1957)<br>| (1674342)<br>|
| &nbsp;&nbsp;&nbsp; 3.00%, 01/01/41 - 01/01/56 |  | (24021)<br>| (21250436)<br>|
| &nbsp;&nbsp;&nbsp; 3.50%, 01/01/41 - 01/01/56 |  | (26231)<br>| (24252543)<br>|
| &nbsp;&nbsp;&nbsp; 4.00%, 01/01/41 - 01/01/56 |  | (65418)<br>| (62044960)<br>|
| &nbsp;&nbsp;&nbsp; 4.50%, 01/01/41 - 01/01/56 |  | (6028)<br>| (5893820)<br>|
| &nbsp;&nbsp;&nbsp; 5.00%, 01/01/56 |  | (117881)<br>| (117549460)<br>|
| &nbsp;&nbsp;&nbsp; 5.50%, 01/01/56 |  | (848)<br>| (859857)<br>|
| &nbsp;&nbsp;&nbsp; 6.00%, 01/01/56 |  | (48628)<br>| (49927703)<br>|
| &nbsp;&nbsp;&nbsp; 6.50%, 01/01/56 |  | (12338)<br>| (12822150)<br>|
| **Total TBA Sale Commitments — (28.1)%** <br>**(Proceeds: $(405342654))** | **Total TBA Sale Commitments — (28.1)%** <br>**(Proceeds: $(405342654))** | **Total TBA Sale Commitments — (28.1)%** <br>**(Proceeds: $(405342654))** | (406058018)<br>|
| **Total Investments Net of TBA Sale Commitments — 110.0%** <br>**(Cost: $1,631,903,002)** | **Total Investments Net of TBA Sale Commitments — 110.0%** <br>**(Cost: $1,631,903,002)** | **Total Investments Net of TBA Sale Commitments — 110.0%** <br>**(Cost: $1,631,903,002)** | 1588183420 |
| **Liabilities in Excess of Other Assets — (10.0)%** | **Liabilities in Excess of Other Assets — (10.0)%** | **Liabilities in Excess of Other Assets — (10.0)%** | (144657927)<br>|
| **Net Assets — 100.0%** | **Net Assets — 100.0%** | **Net Assets — 100.0%** | $1443525493 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. 

<sup>(b)</sup> Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. 

<sup>(c)</sup> All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments. 

<sup>(d)</sup> Represents or includes a TBA transaction.

<sup>(e)</sup> Zero-coupon bond.

<sup>(f)</sup> Annualized 7-day yield as of period end.

<sup>(g)</sup> Rates are discount rates or a range of discount rates as of period end.

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Mortgage Total Return Series**

**(Formerly BATS: Series M Portfolio)**

**Derivative Financial Instruments Outstanding as of Period End**

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | &nbsp;&nbsp; *Number of* <br>*Contracts*<br>| &nbsp;&nbsp;&nbsp;&nbsp; *Expiration* <br>*Date*<br>| &nbsp;&nbsp;&nbsp; *Notional* <br>*Amount* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(000)*<br>| &nbsp;&nbsp;&nbsp; *Value/* <br>*Unrealized* <br>*Appreciation* <br>&nbsp;&nbsp;&nbsp;&nbsp;*(Depreciation)*<br>|
| Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds (30 Year) | 79 | 03/20/26 | &nbsp;&nbsp;&nbsp;&nbsp; $9132 | &nbsp;&nbsp;&nbsp;&nbsp; $34445 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (10 Year) | 275 | 03/20/26 | &nbsp;&nbsp;&nbsp;&nbsp; 30920 | &nbsp;&nbsp;&nbsp;&nbsp; (30344)<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (2 Year) | 44 | 03/31/26 | &nbsp;&nbsp;&nbsp;&nbsp; 9187 | &nbsp;&nbsp;&nbsp;&nbsp; 7796 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 11897 |
| Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Notes (10 Year) | 66 | 03/20/26 | &nbsp;&nbsp;&nbsp;&nbsp; 7591 | &nbsp;&nbsp;&nbsp;&nbsp; 10718 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes (5 Year) | 154 | 03/31/26 | &nbsp;&nbsp;&nbsp;&nbsp; 16833 | &nbsp;&nbsp;&nbsp;&nbsp; 32009 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 42727 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; $54624 |

---

**OTC Credit Default Swaps — Buy Protection** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | &nbsp;&nbsp; *Financing* <br>*Rate* <br>*Paid* <br>*by the* <br>*Fund*<br>| &nbsp;&nbsp;&nbsp; *Payment* <br>*Frequency*<br>| *Counterparty* | &nbsp;&nbsp; *Termination* <br>*Date*<br>| &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | &nbsp;&nbsp; *Notional* <br>*Amount* <br>*(000)* | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| CMBX.NA.10.BBB- | &nbsp;&nbsp;&nbsp;&nbsp; 3.00<br> % <br>| Monthly | Goldman Sachs International | 11/17/59 | USD | &nbsp;&nbsp; 3974 | &nbsp;&nbsp; $872201 | &nbsp;&nbsp; $162605 | &nbsp;&nbsp; $709596 |
| CMBX.NA.10.BBB- | &nbsp;&nbsp;&nbsp;&nbsp;3.00 | Monthly | Goldman Sachs International | 11/17/59 | USD | &nbsp;&nbsp; 4172 | &nbsp;&nbsp; 915811 | &nbsp;&nbsp; 179099 | &nbsp;&nbsp; 736712 |
|  |  |  |  |  |  |  | &nbsp;&nbsp; $1788012 | &nbsp;&nbsp; $341704 | &nbsp;&nbsp; $1446308 |

---

**OTC Credit Default Swaps — Sell Protection** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing* <br>*Rate* <br>*Received* <br>*by* <br>*the Fund*<br>| &nbsp;&nbsp; *Payment* <br>*Frequency*<br>| *Counterparty* | *Termination* <br>*Date*<br>| *Credit* <br>*Rating*<sup>(a)</sup> <br>| *Notional* <br>*Amount* <br>*(000)*<sup>(b)</sup>  | *Notional* <br>*Amount* <br>*(000)*<sup>(b)</sup>  | *Value* | *Upfront* <br>*Premium* <br>*Paid* <br>*(Received)*<br>| *Unrealized* <br>*Appreciation* <br>*(Depreciation)*<br>|
| CMBX.NA.10.BBB- | 3.00<br> % <br>| Monthly | Goldman Sachs International | 11/17/59 | BBB- | USD | 4395 | $(964759)<br>| $(273432)<br>| $(691327)<br>|
| CMBX.NA.10.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 11/17/59 | BBB- | USD | 3751 | (823253)<br>| (235138)<br>| (588115)<br>|
|  |  |  |  |  |  |  |  | $(1788012)<br>| $(508570)<br>| $(1279442)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

<sup>(b)</sup> The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

**Fair Value Hierarchy as of Period End**

Various inputs are used in determining the fair value of financial instruments at the measurement date. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — Unadjusted price quotations in active markets/exchanges that the Fund has the ability to access for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (including the Valuation Committee's assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the

------

Schedule of Investments (unaudited) (continued)

December 31, 2025

**BATS: Mortgage Total Return Series**

**(Formerly BATS: Series M Portfolio)**

**Fair Value Hierarchy as of Period End (continued)**

pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of financial instruments, refer to its most recent financial statements.

The following table summarizes the Fund's financial instruments categorized in the fair value hierarchy. The breakdown of the Fund's financial instruments into major categories is disclosed in the Schedule of Investments above.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp; $26666059 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $26666059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 146236199 | &nbsp;&nbsp; — | &nbsp;&nbsp; 146236199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 1794123019 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1794123019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | &nbsp;&nbsp; 5352765 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 5352765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 21863396 | &nbsp;&nbsp; — | &nbsp;&nbsp; 21863396 |
| Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments | &nbsp;&nbsp; — | &nbsp;&nbsp; (406058018)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (406058018)<br>|
|  | &nbsp;&nbsp; $5352765 | &nbsp;&nbsp; $1582830655 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $1588183420 |
| Derivative Financial Instruments<sup>(a)</sup> <br>|  |  |  |  |
| &nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; $— | &nbsp;&nbsp; $1446308 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $1446308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; 84968 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 84968 |
| &nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; (1279442)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (1279442)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | &nbsp;&nbsp; (30344)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; (30344)<br>|
|  | &nbsp;&nbsp; $54624 | &nbsp;&nbsp; $166866 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $221490 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>(a)</sup> Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Currency Abbreviation**  | **Currency Abbreviation**  |
| USD | United States Dollar |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Portfolio Abbreviation**  | **Portfolio Abbreviation**  |
| CME | Chicago Mercantile Exchange |
| IO | Interest Only |
| OTC | Over-the-Counter |
| SOFR | Secured Overnight Financing Rate |
| TBA | To-be-Announced |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Allocation Target Shares

- **b. Investment Company Act file number:** 811-21457

- **c. CIK number of Registrant:** 0001221845

- **d. LEI of Registrant:** 549300R5YFYF3PL2MC94

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BATS: Mortgage Total Return Series

- **b. EDGAR series identifier (if any):** S000001470

- **c. LEI of Series:** DKP5ZOE81OU2MKOCXL37

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2393980628.45

**Total Liabilities:** $950676404.08

**Net Assets:** $1443304224.37

**Delayed Delivery Securities:** $32943013.60

**Stand-by Commitments:** $499436182.81

**Cash Not Reported:** $2629000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 8469.82000000 | **1-Year:** 9419.93000000 | **5-Year:** 636272.15000000 | **10-Year:** 81374.66000000 | **30-Year:** 24467.34000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 30.02000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000003892 | 0.83%                | 0.82%                | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1331833.97              | $5340899.66                                |
| Month 2  | $943253.30               | $4359751.27                                |
| Month 3  | $202900.92               | $-4109206.08                               |

**Designated Index Information**

- **Index Name:** 90% Bloomberg U.S. MBS Index/10% BBG CMBS Eligible for U.S. Aggregate Index

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        275 | NC      | $-30344.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XBG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1628330 | PA      | $1483214.66    | 0.10%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4163040 | PA      | $3608805.40    | 0.25%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XCXK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     270145 | PA      | $235835.13     | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FNL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1218974 | PA      | $1266229.04    | 0.09%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1558854 | PA      | $1405104.31    | 0.10%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BSLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2564399 | PA      | $2572212.63    | 0.18%             | 2054-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     844495 | PA      | $760318.49     | 0.05%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128P7JU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        702 | PA      | $706.14        | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62157 | PA      | $60925.43      | 0.00%             | 2036-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140N6TX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110465 | PA      | $114858.11     | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16498 | PA      | $16385.95      | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KRVF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1047582 | PA      | $1047210.61    | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54930 | PA      | $52580.50      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                  | PRM5 Trust 2025-PRM5                                             | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2572000 | PA      | $2571040.90    | 0.18%             | 2033-03-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QE4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171014 | PA      | $158734.29     | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10392177 | PA      | $8609317.31    | 0.60%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418D7D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101969 | PA      | $78709.01      | 0.01%             | 2051-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GVKJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61624 | PA      | $58849.85      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X42N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197988 | PA      | $190594.09     | 0.01%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81610 | PA      | $78457.58      | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     775605 | PA      | $723670.73     | 0.05%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31416WP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12249 | PA      | $12345.03      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6057 | PA      | $5806.25       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22950 | PA      | $22560.37      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38383DVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11629863 | PA      | $1932010.94    | 0.13%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KEYU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141978 | PA      | $140019.62     | 0.01%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14338 | PA      | $13942.71      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H5K26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16667 | PA      | $16195.67      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24737 | PA      | $24384.92      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2025-JDI                            | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1415000 | PA      | $1416315.10    | 0.10%             | 2042-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GJ5A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14705 | PA      | $14397.89      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61021 | PA      | $59422.44      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31329KXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283339 | PA      | $267963.71     | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2586326 | PA      | $2335151.01    | 0.16%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2025-5MW                          | CUSIP: 088921AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2228000 | PA      | $2227868.99    | 0.15%             | 2042-10-10      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73538 | PA      | $67556.46      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11275 | PA      | $10899.88      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132D9LU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5199476 | PA      | $4525731.40    | 0.31%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66986 | PA      | $65582.25      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1041543 | PA      | $1067165.37    | 0.07%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5486 | PA      | $5318.37       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47666 | PA      | $46884.70      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132XCRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     607620 | PA      | $592745.92     | 0.04%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                          | MCR 2024-HF1 Mortgage Trust                                      | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1207416 | PA      | $1209668.34    | 0.08%             | 2041-12-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-OMG                                                | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1015000 | PA      | $1015632.85    | 0.07%             | 2042-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203211 | PA      | $188729.68     | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60713 | PA      | $59472.47      | 0.00%             | 2036-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138Y4BK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6173 | PA      | $6089.78       | 0.00%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BTME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3287290 | PA      | $3297139.67    | 0.23%             | 2054-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KNGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11904260 | PA      | $9777432.33    | 0.68%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44047 | PA      | $43942.72      | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     998915 | PA      | $960849.52     | 0.07%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61526 | PA      | $59941.15      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                  | SDAL Trust 2025-DAL                                              | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2128000 | PA      | $2141217.43    | 0.15%             | 2042-04-15      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KRVE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     933055 | PA      | $939154.04     | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132E0YN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     252797 | PA      | $195361.52     | 0.01%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     586872 | PA      | $545448.51     | 0.04%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140KEP69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1282842 | PA      | $1136511.27    | 0.08%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10490939 | PA      | $2148390.05    | 0.15%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45527 | PA      | $41823.55      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15660 | PA      | $14216.13      | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1120095 | PA      | $1143623.28    | 0.08%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31335BDT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36968 | PA      | $38310.47      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13597268 | PA      | $12240154.95   | 0.85%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     423479 | PA      | $404414.39     | 0.03%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3171976 | PA      | $3208842.97    | 0.22%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     491933 | PA      | $381788.59     | 0.03%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20561 | PA      | $19700.22      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2044496 | PA      | $1679640.60    | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93915 | PA      | $86014.00      | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2024-1CHI                  | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1090000 | PA      | $1099435.80    | 0.08%             | 2035-07-15      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3541196 | PA      | $2891052.26    | 0.20%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2314768 | PA      | $2242366.76    | 0.16%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31425 | PA      | $30782.62      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-LUNR                                               | CUSIP: 05594CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2263585 | PA      | $2266412.88    | 0.16%             | 2040-06-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H3FV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5216 | PA      | $5076.46       | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10252 | PA      | $10004.71      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRM Trust                                   | PRM Trust 2025-PRM6                                              | CUSIP: 74277DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1748000 | PA      | $1745995.22    | 0.12%             | 2033-07-05      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -10594000 | PA      | $-10950719.90  | -0.76%            | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GRVW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1706201 | PA      | $1761943.07    | 0.12%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36297G4Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64659 | PA      | $66515.14      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38384G2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4432312 | PA      | $351594.07     | 0.02%             | 2053-07-20      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     421357 | PA      | $430824.15     | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     839415 | PA      | $864036.50     | 0.06%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2025-V18 Mortgage Trust                                | CUSIP: 08164EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975000 | PA      | $1002325.74    | 0.07%             | 2058-10-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2894881 | PA      | $2500410.84    | 0.17%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     505606 | PA      | $439144.67     | 0.03%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2021-FCMT                  | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3515788 | PA      | $3513352.97    | 0.24%             | 2031-05-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168305 | PA      | $154717.06     | 0.01%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10594000 | PA      | $10950719.90   | 0.76%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1979209 | PA      | $1627432.51    | 0.11%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42207 | PA      | $38991.71      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                | Atrium Hotel Portfolio Trust 2024-ATRM                           | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550000 | PA      | $561021.07     | 0.04%             | 2029-11-10      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61899 | PA      | $60869.39      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     256454 | PA      | $254441.82     | 0.02%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44665 | PA      | $41225.85      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82655 | PA      | $81476.15      | 0.01%             | 2036-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218056 | PA      | $212148.99     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     352654 | PA      | $359197.14     | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179Y2J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     478876 | PA      | $466993.78     | 0.03%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3953900 | PA      | $3412322.25    | 0.24%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253664 | PA      | $253928.17     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307QFC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21405 | PA      | $20640.80      | 0.00%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33592 | PA      | $32748.43      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GXNR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11433 | PA      | $11104.17      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38382UJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4035753 | PA      | $682599.63     | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312933J47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190242 | PA      | $195099.93     | 0.01%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4599395 | PA      | $3973482.02    | 0.28%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14520 | PA      | $13786.76      | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2752960 | PA      | $2476746.51    | 0.17%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1293853 | PA      | $1281874.57    | 0.09%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1333450 | PA      | $1245879.60    | 0.09%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J8ND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     665815 | PA      | $647778.96     | 0.04%             | 2032-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BWKS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373108 | PA      | $376743.32     | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QADN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     553062 | PA      | $564216.70     | 0.04%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9370 | PA      | $9243.61       | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418D2L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2815554 | PA      | $2290122.64    | 0.16%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45133 | PA      | $45163.05      | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510341 | PA      | $511846.29     | 0.04%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QRER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3270288 | PA      | $3387962.84    | 0.23%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2440362 | PA      | $2349034.44    | 0.16%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8714666 | PA      | $7547067.73    | 0.52%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136B9TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4074654 | PA      | $791519.57     | 0.05%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FDES7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3500000 | PA      | $3438432.20    | 0.24%             | 2032-04-25      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36230UEK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     147152 | PA      | $142788.93     | 0.01%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GR6V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1819948 | PA      | $1880351.82    | 0.13%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1161542 | PA      | $1098043.18    | 0.08%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1232977 | PA      | $1147226.58    | 0.08%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QADM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     770864 | PA      | $786013.30     | 0.05%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15648730 | PA      | $15871016.44   | 1.10%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142J6BL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2578114 | PA      | $2678057.10    | 0.19%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60844 | PA      | $56084.27      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36241LSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19555 | PA      | $20164.37      | 0.00%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-2NU  | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1210000 | PA      | $1118488.43    | 0.08%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36167 | PA      | $35766.83      | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1292241 | PA      | $997086.63     | 0.07%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247734 | PA      | $228348.64     | 0.02%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90421 | PA      | $82982.09      | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     158746 | PA      | $152027.23     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YGYD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58572 | PA      | $57134.01      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     101996 | PA      | $97638.22      | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1981681 | PA      | $1790239.48    | 0.12%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8547 | PA      | $8191.35       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69427 | PA      | $69492.53      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch               | BAMLL Trust 2024-BHP                                             | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $600990.72     | 0.04%             | 2039-08-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QQTM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1356535 | PA      | $1405342.60    | 0.10%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128KSF23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $243.16        | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSBJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2607237 | PA      | $2723419.06    | 0.19%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17842 | PA      | $17586.67      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     788191 | PA      | $750996.71     | 0.05%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142J6BK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47407022 | PA      | $48676973.07   | 3.37%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46409 | PA      | $45624.74      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46876 | PA      | $43150.24      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1190885 | PA      | $1239050.04    | 0.09%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33114 | PA      | $32255.71      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128KJZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29324 | PA      | $30958.45      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6890000 | PA      | $6725619.55    | 0.47%             | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B21 Mortgage Trust                                | CUSIP: 08163LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3675193 | PA      | $197420.71     | 0.01%             | 2053-12-17      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98694 | PA      | $95426.92      | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126574 | PA      | $122846.20     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38160 | PA      | $37604.11      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DN4Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4918340 | PA      | $4245176.72    | 0.29%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YNK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126554 | PA      | $116438.41     | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127122 | PA      | $127307.30     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FPG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11850557 | PA      | $12018904.42   | 0.83%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31335BJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     574972 | PA      | $532549.33     | 0.04%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XJTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     399220 | PA      | $414271.00     | 0.03%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -5630000 | PA      | $-5495680.42   | -0.38%            | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8061 | PA      | $8532.56       | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1803273 | PA      | $241293.41     | 0.02%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4476 | PA      | $4372.00       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128MDCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.12          | 0.00%             | 2026-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WHMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     723014 | PA      | $699120.94     | 0.05%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2023-XL3                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2199579 | PA      | $2201617.64    | 0.15%             | 2040-12-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38382TKQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6622548 | PA      | $1114430.37    | 0.08%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138Y4T58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55612 | PA      | $54738.47      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31427MKT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2333766 | PA      | $2413409.38    | 0.17%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79464 | PA      | $77877.19      | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WGR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239991 | PA      | $219989.08     | 0.02%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J5X87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434286 | PA      | $430475.64     | 0.03%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HMM23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     567334 | PA      | $572213.66     | 0.04%             | 2055-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128E45R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        834 | PA      | $856.05        | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     800572 | PA      | $764264.70     | 0.05%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1480857 | PA      | $1221922.02    | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QQ3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1604926 | PA      | $1662676.17    | 0.12%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 3622A2CX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45915 | PA      | $48051.32      | 0.00%             | 2040-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128P7HZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6433 | PA      | $6528.24       | 0.00%             | 2028-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162874 | PA      | $155392.27     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2095213 | PA      | $2145672.06    | 0.15%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31427P4E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8252042 | PA      | $6996296.42    | 0.48%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28012 | PA      | $27813.55      | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     341747 | PA      | $330941.67     | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31427QR46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     830610 | PA      | $833847.75     | 0.06%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2002845 | PA      | $2051082.04    | 0.14%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31414LYX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11675 | PA      | $12302.49      | 0.00%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FGW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     323669 | PA      | $326005.84     | 0.02%             | 2040-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                 | Houston Galleria Mall Trust 2025-HGLR                            | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1875000 | PA      | $1942852.88    | 0.13%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M7WJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20880 | PA      | $22020.04      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604228 | PA      | $568664.46     | 0.04%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140L6AS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433126 | PA      | $359832.90     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12464174 | PA      | $12225261.50   | 0.85%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81104 | PA      | $79732.65      | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140Y66J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1221517 | PA      | $1258121.28    | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140L6B45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636852 | PA      | $525800.38     | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3617VSKW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4429526 | PA      | $4208757.84    | 0.29%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42674 | PA      | $39417.86      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96626 | PA      | $90174.41      | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                        | CUSIP: 31424UAZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19305548 | PA      | $2443357.80    | 0.17%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116984 | PA      | $109540.51     | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1453386 | PA      | $1196876.36    | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251642 | PA      | $233236.81     | 0.02%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BQDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3247149 | PA      | $2366061.14    | 0.16%             | 2050-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2806280 | PA      | $2919780.52    | 0.20%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2200 | PA      | $2159.36       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWGZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     463522 | PA      | $470976.50     | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1907795 | PA      | $1965130.28    | 0.14%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     834825 | PA      | $783771.35     | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                   | BPR Trust 2021-TY                                                | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1031000 | PA      | $1030683.28    | 0.07%             | 2038-09-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140N8U97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331315 | PA      | $334570.18     | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      97925 | PA      | $90642.00      | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2021-BNK33                                                  | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15473494 | PA      | $570883.72     | 0.04%             | 2064-05-15      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8299 | PA      | $8090.00       | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3493699 | PA      | $3015900.62    | 0.21%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49922 | PA      | $48797.72      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416810 | PA      | $362696.53     | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10501 | PA      | $10019.98      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72250 | PA      | $70256.87      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4165763 | PA      | $4178638.67    | 0.29%             | 2054-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                   | Chesapeake Funding II LLC                                        | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |     493591 | PA      | $498805.53     | 0.03%             | 2035-10-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133L8AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     801704 | PA      | $743384.71     | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2647410 | PA      | $2175026.42    | 0.15%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132LAE40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133450 | PA      | $132549.83     | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9615 | PA      | $9424.04       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35300 | PA      | $35008.50      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XJLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     885211 | PA      | $763320.25     | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GXNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8684 | PA      | $8422.03       | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     711642 | PA      | $659151.77     | 0.05%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46952 | PA      | $48136.81      | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133AKPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     239210 | PA      | $194793.60     | 0.01%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140Q9Y23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134189 | PA      | $134315.50     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559650 | PA      | $431957.41     | 0.03%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128L3V78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3550 | PA      | $3700.26       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5067 | PA      | $4762.86       | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16066000 | PA      | $15174211.52   | 1.05%             | 2056-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -558000 | PA      | $-527026.64    | -0.04%            | 2056-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27193 | PA      | $26288.51      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48807 | PA      | $49313.86      | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120500 | PA      | $125950.09     | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4757 | PA      | $4636.43       | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33147 | PA      | $31763.96      | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19943 | PA      | $19818.14      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KQDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350510 | PA      | $364690.98     | 0.03%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140LQFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210677 | PA      | $174298.92     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KH5S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1711209 | PA      | $1598511.94    | 0.11%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3617X8UG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     954228 | PA      | $905944.93     | 0.06%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11066 | PA      | $10591.33      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3620C5BR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5347 | PA      | $5275.57       | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     526906 | PA      | $457977.49     | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     966800 | PA      | $799233.31     | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     706958 | PA      | $692914.74     | 0.05%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7641 | PA      | $7527.73       | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6837 | PA      | $6566.64       | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185915 | PA      | $154105.05     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18013185 | PA      | $15195849.78   | 1.05%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     587673 | PA      | $479167.03     | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     180657 | PA      | $164620.26     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110180 | PA      | $109431.98     | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31413ER23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8650 | PA      | $9180.30       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     742202 | PA      | $753326.47     | 0.05%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138LQZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47937 | PA      | $46922.31      | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16779 | PA      | $16677.04      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66085 | PA      | $61084.75      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44923000 | PA      | $36303220.58   | 2.52%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -2886000 | PA      | $-2332237.26   | -0.16%            | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 31397QJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     467644 | PA      | $456885.06     | 0.03%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133C7NZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     852838 | PA      | $857258.64     | 0.06%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6269362 | PA      | $5441354.14    | 0.38%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140FG5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19508 | PA      | $17845.90      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17152 | PA      | $16953.58      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216358 | PA      | $217896.90     | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     882604 | PA      | $729364.15     | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1993000 | PA      | $1917094.72    | 0.13%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F030413<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -104000 | PA      | $-100039.06    | -0.01%            | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4561667 | PA      | $3779077.00    | 0.26%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133ASH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20737 | PA      | $16040.75      | 0.00%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2035842 | PA      | $105233.69     | 0.01%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XLEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     630319 | PA      | $655812.49     | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ERM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359117 | PA      | $352465.82     | 0.02%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10815 | PA      | $10608.85      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLUQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55651 | PA      | $54378.60      | 0.00%             | 2036-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6458561 | PA      | $1049469.69    | 0.07%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5360875 | PA      | $5438120.46    | 0.38%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| General Motors                              | GMF Floorplan Owner Revolving Trust                              | CUSIP: 361886CW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     617000 | PA      | $636615.48     | 0.04%             | 2030-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     528792 | PA      | $429450.87     | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     540867 | PA      | $417310.48     | 0.03%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6324 | PA      | $6286.99       | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140Q9U84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117865 | PA      | $117986.46     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57666 | PA      | $56099.80      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22202 | PA      | $21569.12      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10574658 | PA      | $9740008.10    | 0.67%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174106 | PA      | $166742.60     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7230 | PA      | $7006.83       | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Centragas                                   | CENT 2025-CITY                                                   | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1840000 | PA      | $1862379.18    | 0.13%             | 2040-07-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1731 | PA      | $1707.67       | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128640 | PA      | $122651.25     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140NBPH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25889 | PA      | $26345.15      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust                                    | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9482391 | PA      | $418122.23     | 0.03%             | 2052-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLUR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58208 | PA      | $56661.37      | 0.00%             | 2036-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3617XDCB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1436372 | PA      | $1364804.67    | 0.09%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GUTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4919115 | PA      | $5082301.40    | 0.35%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1790000 | PA      | $1770215.85    | 0.12%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70310 | PA      | $70863.91      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -201000 | PA      | $-190109.88    | -0.01%            | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10254 | PA      | $10062.58      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F022410<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5545000 | PA      | $5244573.62    | 0.36%             | 2041-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XDDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412947 | PA      | $355693.62     | 0.02%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12472962 | PA      | $10764490.38   | 0.75%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFAZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516427 | PA      | $450834.33     | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3736673 | PA      | $3361466.17    | 0.23%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95274 | PA      | $91271.79      | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-LIFE                                               | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2045247.00    | 0.14%             | 2047-06-13      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     552432 | PA      | $537417.68     | 0.04%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GR4C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     893568 | PA      | $922149.02     | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57403 | PA      | $55792.08      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                  | CDS CMBX.NA.10.BBB                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-822940.86    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23716 | PA      | $24386.98      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45857 | PA      | $45202.48      | 0.00%             | 2036-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     801143 | PA      | $95657.26      | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133A7UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151196 | PA      | $137557.27     | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KTNL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     277664 | PA      | $242915.37     | 0.02%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3617XDCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1046719 | PA      | $993333.65     | 0.07%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2023-FUN                       | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1104080.89    | 0.08%             | 2028-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-C44                   | CUSIP: 95001JAY3<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    7540748 | PA      | $100524.21     | 0.01%             | 2051-05-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201114 | PA      | $183196.02     | 0.01%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17361 | PA      | $17382.93      | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2107726 | PA      | $2031357.25    | 0.14%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-VOLT                                               | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2198000 | PA      | $2199367.16    | 0.15%             | 2044-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-GPA3                           | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     882925 | PA      | $882924.41     | 0.06%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140Q9U68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153742 | PA      | $153899.79     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-XL4                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2320088 | PA      | $2321515.97    | 0.16%             | 2039-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     588346 | PA      | $511355.61     | 0.04%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137H0RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1212488 | PA      | $226259.97     | 0.02%             | 2051-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSP47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193767 | PA      | $197917.58     | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     943571 | PA      | $765719.27     | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management | Dreyfus Treasury Securities Cash Management                      | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |    7607364 | NS      | $7607363.73    | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     105101 | PA      | $105663.39     | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BQZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4445197 | PA      | $563126.02     | 0.04%             | 2049-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1221735 | PA      | $1197687.20    | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     642931 | PA      | $668408.27     | 0.05%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179YS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2879625 | PA      | $2936531.34    | 0.20%             | 2054-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VN63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     782248 | PA      | $778689.31     | 0.05%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1491916 | PA      | $1552254.70    | 0.11%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116963 | PA      | $113324.43     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7663 | PA      | $7915.64       | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140FP6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39691 | PA      | $37414.18      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3164819 | PA      | $2731220.48    | 0.19%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HL3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     515702 | PA      | $520783.85     | 0.04%             | 2055-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88446 | PA      | $81772.20      | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30274 | PA      | $29263.79      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-3 LLC                            | CUSIP: 29375QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     378000 | PA      | $386784.95     | 0.03%             | 2031-03-20      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50582 | PA      | $49727.59      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Pass-throu              | ILPT Commercial Mortgage Trust 2025-LPF2                         | CUSIP: 451955AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2454000 | PA      | $2501355.82    | 0.17%             | 2042-07-13      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5464479 | PA      | $4916385.30    | 0.34%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QCT55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     636005 | PA      | $616159.86     | 0.04%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust               | CIP Commercial Mortgage Trust 2025-SBAY                          | CUSIP: 12576AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1367000 | PA      | $1368269.53    | 0.09%             | 2037-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                          | BMO 2023-C5 Mortgage Trust                                       | CUSIP: 055988AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8713823 | PA      | $346049.44     | 0.02%             | 2056-06-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55506 | PA      | $54543.84      | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132M8B88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39155 | PA      | $37504.19      | 0.00%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     925690 | PA      | $802858.38     | 0.06%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BMXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1388301.75    | 0.10%             | 2052-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118793 | PA      | $114837.40     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80603 | PA      | $74629.53      | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417042 | PA      | $386688.93     | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3020594 | PA      | $2606760.81    | 0.18%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140L6BB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288862 | PA      | $239264.07     | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128KLGR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1622 | PA      | $1712.38       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12350 | PA      | $12438.94      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1233761 | PA      | $1017375.33    | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     854307 | PA      | $836569.56     | 0.06%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWGL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     951659 | PA      | $806572.55     | 0.06%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1581110 | PA      | $1422522.81    | 0.10%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GXME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5071 | PA      | $4938.91       | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4478 | PA      | $4371.33       | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16353686 | PA      | $16313087.29   | 1.13%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20620 | PA      | $19885.51      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14111 | PA      | $14619.54      | 0.00%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK29                                                  | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4119861 | PA      | $208660.26     | 0.01%             | 2053-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18690 | PA      | $18435.16      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3647942 | PA      | $3009683.34    | 0.21%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2083319 | PA      | $2133491.72    | 0.15%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1387574 | PA      | $1429345.00    | 0.10%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F032625<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25271000 | PA      | $23281895.84   | 1.61%             | 2056-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136B3GG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4942398 | PA      | $4592511.95    | 0.32%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3155013 | PA      | $2724318.61    | 0.19%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2677501 | PA      | $2319161.91    | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F032419<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468000 | PA      | $454912.40     | 0.03%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F032419<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -89000 | PA      | $-86511.12     | -0.01%            | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     210930 | PA      | $203579.21     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J5GG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596049 | PA      | $630417.52     | 0.04%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWMY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     921149 | PA      | $934233.22     | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133GCS29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2003475 | PA      | $1855773.23    | 0.13%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576582 | PA      | $554076.00     | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VQW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     768768 | PA      | $761791.62     | 0.05%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FJKE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $2404956.48    | 0.17%             | 2028-09-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140JLLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4113580 | PA      | $4082700.40    | 0.28%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1277967 | PA      | $1043257.23    | 0.07%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142J6B93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59106106 | PA      | $58959372.95   | 4.09%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1195013 | PA      | $1077315.77    | 0.07%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112818 | PA      | $108918.92     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XA2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1326300 | PA      | $1094070.49    | 0.08%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 3620APKC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381685 | PA      | $381855.52     | 0.03%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors                              | GMF Floorplan Owner Revolving Trust                              | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1805000 | PA      | $1815806.72    | 0.13%             | 2028-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140M2SS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407591 | PA      | $354484.37     | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207829 | PA      | $198539.82     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1068678 | PA      | $961488.37     | 0.07%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14987900 | PA      | $12668288.36   | 0.88%             | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -1756000 | PA      | $-1484231.57   | -0.10%            | 2056-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133L8FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     654540 | PA      | $595798.44     | 0.04%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136AP6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1514520 | PA      | $92735.11      | 0.01%             | 2045-09-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                       | ARI Fleet Lease Trust 2024-A                                     | CUSIP: 00218KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     604062 | PA      | $607718.22     | 0.04%             | 2032-11-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6187 | PA      | $5911.42       | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HHMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     313275 | PA      | $315700.28     | 0.02%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QRDC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     971094 | PA      | $1011657.11    | 0.07%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84993 | PA      | $81688.86      | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QQ4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232382 | PA      | $242176.98     | 0.02%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140M72F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395694 | PA      | $342175.35     | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5051 | PA      | $5087.41       | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179T4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     877763 | PA      | $811608.86     | 0.06%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133B07E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64727 | PA      | $56240.16      | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KMVL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     921668 | PA      | $787371.34     | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140E42P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9143 | PA      | $8945.74       | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     669117 | PA      | $653310.89     | 0.05%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1037900 | PA      | $857696.50     | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127314 | PA      | $123455.72     | 0.01%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40223 | PA      | $38865.88      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         79 | NC      | $34444.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340384 | PA      | $277641.39     | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132CWXG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     572083 | PA      | $530984.37     | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189686 | PA      | $181826.22     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140JGXV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     788147 | PA      | $781904.00     | 0.05%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80153 | PA      | $74088.01      | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6255519 | PA      | $5752132.79    | 0.40%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1115099 | PA      | $966613.69     | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -865000 | PA      | $-881455.28    | -0.06%            | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16432000 | PA      | $16744593.17   | 1.16%             | 2056-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307QVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3501 | PA      | $3470.62       | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361566 | PA      | $339124.04     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9192272 | PA      | $7751486.78    | 0.54%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                 | Extended Stay America Trust 2025-ESH                             | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     658000 | PA      | $659027.34     | 0.05%             | 2042-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1127276 | PA      | $869795.00     | 0.06%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M86W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46663 | PA      | $44956.66      | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76109 | PA      | $74182.11      | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3780 | PA      | $3622.65       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137FE7K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1646788 | PA      | $1561936.10    | 0.11%             | 2048-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Tr              | 1211 Avenue of the Americas Trust 2015-1211                      | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     945000 | PA      | $911925.00     | 0.06%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120114 | PA      | $115281.16     | 0.01%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QUBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2730656 | PA      | $2818529.82    | 0.20%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190579 | PA      | $181982.11     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26737000 | PA      | $24716058.72   | 1.71%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36295QGH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53474 | PA      | $55236.41      | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1419075 | PA      | $1238735.18    | 0.09%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3542836 | PA      | $3011022.25    | 0.21%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1071907 | PA      | $1029403.99    | 0.07%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222601 | PA      | $207384.32     | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1069880 | PA      | $825812.35     | 0.06%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87408 | PA      | $81433.05      | 0.01%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KRJT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107334 | PA      | $109269.56     | 0.01%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191624 | PA      | $158544.00     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-H3                           | CUSIP: 61767YBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     739524 | PA      | $707897.00     | 0.05%             | 2051-07-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -26142000 | PA      | $-24166032.36  | -1.67%            | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7191 | PA      | $6999.09       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140L4E96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     724620 | PA      | $599172.57     | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13926 | PA      | $13806.78      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140W3CJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13616572 | PA      | $11233881.03   | 0.78%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28668 | PA      | $27748.88      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     691000 | PA      | $628728.59     | 0.04%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -937000 | PA      | $-852559.61    | -0.06%            | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -117881000 | PA      | $-117549459.69 | -8.14%            | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3494000 | PA      | $3484173.13    | 0.24%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19061 | PA      | $18578.00      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13639 | PA      | $13380.08      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40548 | PA      | $37454.59      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2620667 | PA      | $2564403.61    | 0.18%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KR5K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179137 | PA      | $182440.30     | 0.01%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137A4U96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1161698 | PA      | $1117768.52    | 0.08%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2022-LP2                            | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     929084 | PA      | $927652.38     | 0.06%             | 2039-02-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35886 | PA      | $36173.96      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     204587 | PA      | $193036.96     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M7QZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     326412 | PA      | $335420.25     | 0.02%             | 2039-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Westways Funding Ltd                        | WEST Trust 2025-ROSE                                             | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1309000 | PA      | $1329261.23    | 0.09%             | 2035-04-10      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132AEB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1169760 | PA      | $1190830.69    | 0.08%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QR3E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437473 | PA      | $457536.00     | 0.03%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3622ADXP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3463714 | PA      | $3538598.06    | 0.25%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190574 | PA      | $158716.76     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     455182 | PA      | $436622.50     | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFQQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1410982 | PA      | $1157335.30    | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35641 | PA      | $34791.71      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26134000 | PA      | $21638031.30   | 1.50%             | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -21515000 | PA      | $-17813662.03  | -1.23%            | 2056-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust              | 280 Park Avenue 2017-280P Mortgage Trust                         | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3928000 | PA      | $3915116.95    | 0.27%             | 2034-09-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     673608 | PA      | $660029.22     | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248774 | PA      | $240539.21     | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2024-WCL1 MORTGAGE TRUST                                    | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1454000 | PA      | $1455797.29    | 0.10%             | 2041-06-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     837343 | PA      | $692148.40     | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DP3F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     451182 | PA      | $464948.39     | 0.03%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     576370 | PA      | $551455.37     | 0.04%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22000 | PA      | $21871.02      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BHR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3774047 | PA      | $674753.23     | 0.05%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140NBEX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33307 | PA      | $34049.54      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5467657 | PA      | $5547559.04    | 0.38%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138XLVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45786 | PA      | $45407.42      | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76245 | PA      | $71069.19      | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51130 | PA      | $52640.81      | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KQQT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578788 | PA      | $601760.40     | 0.04%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140KVGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1472329 | PA      | $1216319.87    | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8431 | PA      | $8227.62       | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1981672 | PA      | $1884693.92    | 0.13%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14537 | PA      | $14014.39      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     521379 | PA      | $486130.81     | 0.03%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31402QYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77965 | PA      | $79974.30      | 0.01%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GXUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8124 | PA      | $7910.19       | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1947486 | PA      | $1680742.33    | 0.12%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21936 | PA      | $20925.97      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205093 | PA      | $206479.83     | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     921377 | PA      | $753177.84     | 0.05%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2023-SMRT                    | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1370000 | PA      | $1411859.12    | 0.10%             | 2040-10-12      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39264 | PA      | $36276.10      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140JPWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73448 | PA      | $72365.96      | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2021-BNK38                                                  | CUSIP: 06540EAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5090000 | PA      | $4517021.25    | 0.31%             | 2064-12-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QRBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2083056 | PA      | $2089483.08    | 0.14%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62376 | PA      | $61396.43      | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     522172 | PA      | $530034.56     | 0.04%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M67K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25759 | PA      | $27174.36      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1138984 | PA      | $1155570.84    | 0.08%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QHPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     281929 | PA      | $257151.81     | 0.02%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     642203 | PA      | $556405.61     | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     822255 | PA      | $790382.26     | 0.05%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WBTZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35762 | PA      | $35199.19      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38383LCA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     432968 | PA      | $349671.67     | 0.02%             | 2052-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                | Hudson Yards 2019-30HY Mortgage Trust                            | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     669000 | PA      | $619785.02     | 0.04%             | 2039-07-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21870 | PA      | $21580.76      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1097244 | PA      | $1057525.84    | 0.07%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WGUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144742 | PA      | $140601.86     | 0.01%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9958 | PA      | $10029.93      | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3853 | PA      | $4075.66       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XBTG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     565433 | PA      | $466171.32     | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -154 | NC      | $32009.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10186 | PA      | $9873.34       | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BVVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2185271 | PA      | $2275403.14    | 0.16%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5043000 | PA      | $5177786.63    | 0.36%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -48628000 | PA      | $-49927703.41  | -3.46%            | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INV 2024-IND Mortgage Trust                 | INV 2024-IND Mortgage Trust                                      | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640000 | PA      | $635211.52     | 0.04%             | 2041-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWDN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260590 | PA      | $201055.38     | 0.01%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866238 | PA      | $751835.81     | 0.05%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M8TX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8733 | PA      | $9244.45       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2840286 | PA      | $2844657.22    | 0.20%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36241L4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150625 | PA      | $153832.57     | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31297BSG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7970 | PA      | $8163.89       | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1856380 | PA      | $1533367.80    | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20957 | PA      | $19861.36      | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1661307 | PA      | $1541952.71    | 0.11%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1928761 | PA      | $1656505.28    | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QPZK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5370431 | PA      | $5290192.78    | 0.37%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-ARIA                                               | CUSIP: 05619TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2190000 | PA      | $2209852.35    | 0.15%             | 2042-12-13      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31427QCQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11004872 | PA      | $11544735.69   | 0.80%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175632 | PA      | $135786.09     | 0.01%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     683850 | PA      | $528496.22     | 0.04%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81344 | PA      | $78245.93      | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3334348 | PA      | $2996648.29    | 0.21%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F042418<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10517000 | PA      | $10520697.36   | 0.73%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1245531 | PA      | $1191432.72    | 0.08%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1165193 | PA      | $952493.37     | 0.07%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10526 | PA      | $10401.80      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     434487 | PA      | $419808.22     | 0.03%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55648 | PA      | $54137.38      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13386 | PA      | $12964.25      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18397 | PA      | $18289.11      | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EQUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157048 | PA      | $161497.05     | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                       | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    3331000 | PA      | $3341616.23    | 0.23%             | 2028-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130118 | PA      | $134118.17     | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F042418<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -398000 | PA      | $-398139.92    | -0.03%            | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138W9RS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266192 | PA      | $263123.26     | 0.02%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132J9HR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     983524 | PA      | $938732.68     | 0.07%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581780 | PA      | $557985.77     | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XPHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205740 | PA      | $210051.69     | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                      | CSTL Commercial Mortgage Trust 2024-GATE                         | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1625000 | PA      | $1635337.11    | 0.11%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140HMZE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     288582 | PA      | $293273.92     | 0.02%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     984905 | PA      | $913535.69     | 0.06%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2982659 | PA      | $3103823.35    | 0.22%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781409 | PA      | $634367.30     | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234645 | PA      | $223140.78     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust              | PENN Commercial Mortgage Trust 2025-P11                          | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     406000 | PA      | $415885.29     | 0.03%             | 2042-08-10      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152873 | PA      | $124806.49     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1264826 | PA      | $1039286.36    | 0.07%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2020-C58                   | CUSIP: 95002UBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4351394 | PA      | $282706.17     | 0.02%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4529210 | PA      | $4074924.90    | 0.28%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2105783 | PA      | $2035107.76    | 0.14%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36241L4W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177108 | PA      | $181942.98     | 0.01%             | 2037-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-ROIC                                               | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401434 | PA      | $400932.84     | 0.03%             | 2030-03-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133D4SA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     713347 | PA      | $618252.97     | 0.04%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10728 | PA      | $10560.25      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1372847 | PA      | $1309677.71    | 0.09%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1071615 | PA      | $930087.17     | 0.06%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846298 | PA      | $653435.09     | 0.05%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2031457 | PA      | $1830430.16    | 0.13%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2025-BCAT                           | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2098644 | PA      | $2101258.07    | 0.15%             | 2042-08-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418ES50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11994727 | PA      | $12203312.41   | 0.85%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QDS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250260 | PA      | $232065.17     | 0.02%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     750851 | PA      | $620014.61     | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1021083 | PA      | $886373.22     | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140KQR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     501669 | PA      | $413520.98     | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16526 | PA      | $15818.14      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9908 | PA      | $9488.53       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HAP83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3549942 | PA      | $2558447.49    | 0.18%             | 2050-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191049 | PA      | $190719.99     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40206 | PA      | $39149.12      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93172 | PA      | $90082.66      | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179Y5J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3395767 | PA      | $3311332.38    | 0.23%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QM3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     748395 | PA      | $618417.32     | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M82X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1505 | PA      | $1588.25       | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-1 LLC                            | CUSIP: 29375PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     294000 | PA      | $299623.51     | 0.02%             | 2030-09-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2010574 | PA      | $1634733.62    | 0.11%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3388549 | PA      | $3257290.63    | 0.23%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51044 | PA      | $48850.76      | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GMJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     264421 | PA      | $258908.05     | 0.02%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132D56V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     890117 | PA      | $826174.57     | 0.06%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7590 | PA      | $7561.81       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KRPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141135 | PA      | $143897.02     | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XJSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473520 | PA      | $431887.69     | 0.03%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133BUJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1720017 | PA      | $1761124.28    | 0.12%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79762 | PA      | $73188.43      | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12696 | PA      | $11649.41      | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     438431 | PA      | $415302.41     | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1052156 | PA      | $871727.95     | 0.06%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1280894 | PA      | $1213718.18    | 0.08%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2024-PAT                                                | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1530000 | PA      | $1530000.00    | 0.11%             | 2041-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     375737 | PA      | $326780.32     | 0.02%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust               | NYC Commercial Mortgage Trust 2025-28L                           | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     589000 | PA      | $590246.09     | 0.04%             | 2038-11-05      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1245265 | PA      | $960826.65     | 0.07%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2024-IGLG   | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     440000 | PA      | $444423.36     | 0.03%             | 2039-11-09      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207128 | PA      | $170668.71     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31292LHU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44502 | PA      | $42728.04      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82185 | PA      | $76567.03      | 0.01%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133L8GG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1173931 | PA      | $1088492.90    | 0.08%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2807786 | PA      | $2631021.26    | 0.18%             | 2043-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust              | ARES Commercial Mortgage Trust 2024-IND                          | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2220000 | PA      | $2222743.03    | 0.15%             | 2041-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115360 | PA      | $112233.56     | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-AUS                   | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    2417000 | PA      | $2379176.61    | 0.16%             | 2036-08-17      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1238703 | PA      | $1021950.34    | 0.07%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110924 | PA      | $107920.77     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14988 | PA      | $15095.91      | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312942F34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152160 | PA      | $149160.53     | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36178LYY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40601 | PA      | $37889.71      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     369817 | PA      | $302743.17     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     982315 | PA      | $878786.91     | 0.06%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132L5US0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24172 | PA      | $23704.44      | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8614986 | PA      | $7435440.77    | 0.52%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -66 | NC      | $10717.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     521944 | PA      | $450913.19     | 0.03%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H5KY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18406 | PA      | $17880.22      | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     754095 | PA      | $616108.24     | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7158469 | PA      | $5800318.67    | 0.40%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27902 | PA      | $27481.13      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2336269 | PA      | $2160078.38    | 0.15%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Homeowners, Inc.                   | CHI Commercial Mortgage Trust 2025-110W                          | CUSIP: 12577HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1430000 | PA      | $1432312.17    | 0.10%             | 2040-12-13      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132M7DQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25702 | PA      | $24572.85      | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FQF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7638395 | PA      | $7746905.77    | 0.54%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61199 | PA      | $60564.56      | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10148 | PA      | $9898.92       | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     175934 | PA      | $170682.14     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KYSX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46708 | PA      | $44747.14      | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HKJ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     384432 | PA      | $387698.36     | 0.03%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36290RU84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58766 | PA      | $59937.50      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -11232000 | PA      | $-11340909.85  | -0.79%            | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   75218000 | PA      | $75947343.06   | 5.26%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312943JY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11060 | PA      | $10874.07      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                      | Mosaic Solar Loan Trust 2019-2                                   | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      90388 | PA      | $80418.83      | 0.01%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19701 | PA      | $19539.60      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132JPQR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17762 | PA      | $16817.61      | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3790209 | PA      | $3422550.24    | 0.24%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BWHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     690720 | PA      | $709094.24     | 0.05%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XH3H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5205443 | PA      | $4676017.67    | 0.32%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7907116 | PA      | $6426571.35    | 0.45%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus              | WHARF Commercial Mortgage Trust 2025-DC                          | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1027000 | PA      | $1055331.85    | 0.07%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34858 | PA      | $33941.72      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                  | NCMF Trust 2025-MFS                                              | CUSIP: 62887TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2179000 | PA      | $2186845.93    | 0.15%             | 2033-06-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8245 | PA      | $7930.06       | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10901 | PA      | $10973.97      | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111315 | PA      | $107934.69     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4960496 | PA      | $173647.63     | 0.01%             | 2030-11-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123981 | PA      | $107114.68     | 0.01%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24372 | PA      | $25002.85      | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ENZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10902 | PA      | $10742.94      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1143515 | PA      | $1062140.55    | 0.07%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                         | PFS Financing Corp                                               | CUSIP: 69335PFJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4901000 | PA      | $4986119.10    | 0.35%             | 2029-04-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140HFE88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65574 | PA      | $61600.48      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EQLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85931 | PA      | $88366.41      | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48832 | PA      | $46737.78      | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                            | NJ 2025-WBRK                                                     | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1485000 | PA      | $1542301.10    | 0.11%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16076329 | PA      | $730735.06     | 0.05%             | 2058-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust               | INT Commercial Mortgage Trust 2025-PLAZA                         | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239000 | PA      | $239680.96     | 0.02%             | 2037-11-05      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                 | VEGAS Trust 2024-TI                                              | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     555000 | PA      | $562508.87     | 0.04%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     626022 | PA      | $632943.67     | 0.04%             | 2055-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YNXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18630 | PA      | $18107.87      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -45171000 | PA      | $-40581555.93  | -2.81%            | 2056-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64522000 | PA      | $57966464.15   | 4.02%             | 2056-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -848000 | PA      | $-859857.24    | -0.06%            | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57871000 | PA      | $58680186.47   | 4.07%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6044 | PA      | $5773.53       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     963475 | PA      | $793491.11     | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125416 | PA      | $119414.04     | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35697 | PA      | $34879.57      | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -684000 | PA      | $-589896.57    | -0.04%            | 2056-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2292607 | PA      | $1979532.02    | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18297000 | PA      | $15779733.14   | 1.09%             | 2056-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133W7J30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132008 | PA      | $136320.40     | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75852 | PA      | $74622.70      | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2025-TAIL                                               | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1618000 | PA      | $1617999.84    | 0.11%             | 2035-06-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46009 | PA      | $43407.13      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2990 | PA      | $3152.74       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |     -24000 | PA      | $-23684.02     | -0.00%            | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F040412<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1558000 | PA      | $1537487.36    | 0.11%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X8CV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2825825 | PA      | $2338019.71    | 0.16%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13719768 | PA      | $11366602.83   | 0.79%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2590992 | PA      | $2137624.36    | 0.15%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35808 | PA      | $34381.00      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     614287 | PA      | $553303.57     | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1306237 | PA      | $1127011.81    | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117437 | PA      | $109409.17     | 0.01%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CART                                        | CONE Trust 2024-DFW1                                             | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     930000 | PA      | $928550.41     | 0.06%             | 2041-08-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     989467 | PA      | $907029.94     | 0.06%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132XX7B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     594050 | PA      | $558046.30     | 0.04%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -23916700 | PA      | $-21150397.38  | -1.47%            | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44219000 | PA      | $39104450.93   | 2.71%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60122 | PA      | $58212.22      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77144 | PA      | $74856.86      | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49397 | PA      | $46981.84      | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307LZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13516 | PA      | $13214.21      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140L0EJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537443 | PA      | $443462.12     | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     332826 | PA      | $323014.74     | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2023-2 LLC                            | CUSIP: 29375NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     666493 | PA      | $670198.85     | 0.05%             | 2030-04-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543025 | PA      | $468412.39     | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -23200000 | PA      | $-22594625.00  | -1.57%            | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     776000 | PA      | $755751.25     | 0.05%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KM7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     674126 | PA      | $576901.16     | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     964520 | PA      | $820024.68     | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118689 | PA      | $97619.59      | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219559 | PA      | $206375.25     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529702 | PA      | $542459.03     | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust               | NYC Commercial Mortgage Trust 2025-3BP                           | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1401000 | PA      | $1389643.35    | 0.10%             | 2042-02-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BWLP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680879 | PA      | $688263.25     | 0.05%             | 2055-06-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36241L4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47115 | PA      | $47979.62      | 0.00%             | 2041-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     570452 | PA      | $471974.86     | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H2T73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5187 | PA      | $5058.13       | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CRSO 2023-BRND A                            | CRSO 2023-BRND A                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     762599 | PA      | $791998.56     | 0.05%             | 2040-07-12      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146982 | PA      | $142054.37     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     422876 | PA      | $407110.29     | 0.03%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6951026 | PA      | $6004298.68    | 0.42%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133L8KJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     818346 | PA      | $761294.02     | 0.05%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1996012 | PA      | $1734845.30    | 0.12%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51975 | PA      | $49839.55      | 0.00%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3622AC3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3147960 | PA      | $3196162.94    | 0.22%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358835 | PA      | $350941.16     | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23087 | PA      | $21949.04      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83034 | PA      | $80505.53      | 0.01%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2025-SPOT                           | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1559424 | PA      | $1560398.44    | 0.11%             | 2040-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                   | LQR Trust 2025-CALI                                              | CUSIP: 50216WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1281000 | PA      | $1280996.67    | 0.09%             | 2043-01-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38382XCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7622812 | PA      | $1285618.50    | 0.09%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         44 | NC      | $7795.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK4                                                   | CUSIP: 06541FBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     659000 | PA      | $645631.53     | 0.04%             | 2050-05-15      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FHY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13930775 | PA      | $14128662.83   | 0.98%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9425 | PA      | $9266.93       | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust               | NYC Trust 2025-77C                                               | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2785000 | PA      | $2796757.16    | 0.19%             | 2038-01-10      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     282835 | PA      | $233571.99     | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QU2G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5046285 | PA      | $5249813.63    | 0.36%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1178037 | PA      | $1092931.05    | 0.08%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1984439 | PA      | $1624545.67    | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                  | BRCK Trust 2025-830B                                             | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     793000 | PA      | $793209.19     | 0.05%             | 2042-12-10      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117005 | PA      | $110399.98     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409003 | PA      | $337063.98     | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133AUEB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156395 | PA      | $120974.55     | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12245 | PA      | $12099.74      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179NX60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243947 | PA      | $236444.61     | 0.02%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY Trust 2025-1535                                             | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     993000 | PA      | $1027117.59    | 0.07%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35468 | PA      | $34960.35      | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -12338000 | PA      | $-12822150.28  | -0.89%            | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F062614<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11313000 | PA      | $11756928.68   | 0.81%             | 2056-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1109348 | PA      | $997953.25     | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673739 | PA      | $694116.88     | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14843169 | PA      | $12103265.04   | 0.84%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116538 | PA      | $112903.11     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15211 | PA      | $15303.78      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QRWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2845183 | PA      | $2873139.60    | 0.20%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73361 | PA      | $71336.85      | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179YYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4575247 | PA      | $4669879.09    | 0.32%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD 2024-WRHS Mortgage Trust                                    | CUSIP: 05555HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2011584 | PA      | $2012211.80    | 0.14%             | 2039-07-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                        | MAD Commercial Mortgage Trust 2025-11MD                          | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1510000 | PA      | $1515724.11    | 0.11%             | 2042-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DQXN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     965209 | PA      | $988454.96     | 0.07%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221796 | PA      | $208477.82     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9947 | PA      | $10521.00      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9860512 | PA      | $1816730.23    | 0.13%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1116049 | PA      | $64180.96      | 0.00%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132CWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     460661 | PA      | $420176.49     | 0.03%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13786 | PA      | $13714.92      | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec              | Arbor Multifamily Mortgage Securities Trust 2020-MF1             | CUSIP: 03881BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1524746 | PA      | $48991.60      | 0.00%             | 2053-05-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133D1CR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214834 | PA      | $220834.40     | 0.02%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307NDF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89804 | PA      | $88209.79      | 0.01%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20445931 | PA      | $16700622.78   | 1.16%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28116 | PA      | $27951.70      | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     372148 | PA      | $356754.18     | 0.02%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -65394000 | PA      | $-62021275.68  | -4.30%            | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1771000 | PA      | $1679659.90    | 0.12%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56423 | PA      | $55469.71      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3316740 | PA      | $3049837.79    | 0.21%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104444 | PA      | $100987.18     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2748 | PA      | $2767.70       | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33182 | PA      | $35095.54      | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     697724 | PA      | $650155.75     | 0.05%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DNHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1042191 | PA      | $1006494.86    | 0.07%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140W4LT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3709000 | PA      | $3722038.06    | 0.26%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust              | ARES1 2024-IND2                                                  | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $400246.68     | 0.03%             | 2034-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 3620AQJP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     397882 | PA      | $398869.23     | 0.03%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138XUXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107881 | PA      | $105753.02     | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3992381 | PA      | $3777595.64    | 0.26%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     831636 | PA      | $746044.14     | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EJ4P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219501 | PA      | $225254.33     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134657 | PA      | $130265.84     | 0.01%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20875 | PA      | $20527.58      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5514755 | PA      | $4499977.30    | 0.31%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9681 | PA      | $9444.36       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32849099 | PA      | $32030598.55   | 2.22%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50440 | PA      | $49048.13      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137A2AG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334056 | PA      | $324798.26     | 0.02%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        782 | PA      | $787.99        | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433989 | PA      | $358857.05     | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     212502 | PA      | $197357.10     | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30795 | PA      | $23830.49      | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EGKX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     535022 | PA      | $565879.40     | 0.04%             | 2040-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31427QMY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5084291 | PA      | $5289867.40    | 0.37%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71796 | PA      | $72310.64      | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140E1F57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135624 | PA      | $124236.60     | 0.01%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12303 | PA      | $11871.29      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204649 | PA      | $195841.48     | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174329 | PA      | $168946.89     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12140 | PA      | $11676.93      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec              | Arbor Multifamily Mortgage Securities Trust 2020-MF1             | CUSIP: 03881BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $376685.12     | 0.03%             | 2053-05-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186002 | PA      | $177684.74     | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QM5X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28673 | PA      | $25586.44      | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1847 | PA      | $1796.48       | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14472 | PA      | $14554.47      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                  | UNIV Trust 2025-APTS                                             | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1721000 | PA      | $1723122.68    | 0.12%             | 2042-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XJQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10976084 | PA      | $9929004.15    | 0.69%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GWLZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9720 | PA      | $9451.82       | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31416VXR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155057 | PA      | $153014.26     | 0.01%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339621 | PA      | $318473.35     | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     768053 | PA      | $681294.70     | 0.05%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HHBH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2265106 | PA      | $2278845.17    | 0.16%             | 2054-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     745048 | PA      | $728662.17     | 0.05%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6071482 | PA      | $5245327.92    | 0.36%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179YMG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     293745 | PA      | $279804.59     | 0.02%             | 2053-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31427QMX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5447526 | PA      | $5561704.90    | 0.39%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17385878 | PA      | $17414200.01   | 1.21%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BRQE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1447923 | PA      | $1047519.30    | 0.07%             | 2051-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                   | BPR Commercial Mortgage Trust 2025-STAR                          | CUSIP: 05619DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     795000 | PA      | $797895.87     | 0.06%             | 2042-11-05      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3617XDB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2049692 | PA      | $1872665.22    | 0.13%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3622A2TM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     861589 | PA      | $825796.45     | 0.06%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140NBHP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88247 | PA      | $91671.89      | 0.01%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57867 | PA      | $54800.67      | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                       | INTOWN 2025-STAY Mortgage Trust                                  | CUSIP: 46117WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2084000 | PA      | $2086603.33    | 0.14%             | 2042-03-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38379RSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     914041 | PA      | $31433.23      | 0.00%             | 2059-05-16      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                           | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $929288.90     | 0.06%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     184874 | PA      | $171489.50     | 0.01%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DPEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     435866 | PA      | $421005.28     | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XCV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     738102 | PA      | $683903.89     | 0.05%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3574000 | PA      | $3712966.63    | 0.26%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1111151 | PA      | $920524.47     | 0.06%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     686493 | PA      | $637184.68     | 0.04%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     850204 | PA      | $818660.68     | 0.06%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                   | BPR 2025-ALDR Mortgage Trust                                     | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $877897.60     | 0.06%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                 | CDS CMBX.NA.BBB-.10                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $871870.12     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QADU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361856 | PA      | $367515.85     | 0.03%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31427QMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1719700 | PA      | $1732354.60    | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2912061 | PA      | $2793828.82    | 0.19%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128MJ3X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536583 | PA      | $504063.29     | 0.03%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110517 | PA      | $90751.34      | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga              | MF1 2021-W10X                                                    | CUSIP: 55284DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640000 | PA      | $639933.31     | 0.04%             | 2034-12-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132CWS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197846 | PA      | $183506.69     | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WB6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108814 | PA      | $107388.50     | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73415 | PA      | $69660.31      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78919 | PA      | $73593.70      | 0.01%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63609 | PA      | $62282.43      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     487171 | PA      | $471377.81     | 0.03%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1015504 | PA      | $835679.31     | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138XUFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276085 | PA      | $273761.84     | 0.02%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Trust 2025-FPM                                              | CUSIP: 05556HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1268000 | PA      | $1282385.33    | 0.09%             | 2040-10-10      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                      | CUSIP: 912797SE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1535000 | PA      | $1534410.73    | 0.11%             | 2026-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     693822 | PA      | $571960.50     | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9290 | PA      | $8886.33       | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KSL Resorts                                 | KSL Commercial Mortgage Trust 2024-HT2                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737890 | PA      | $737659.11     | 0.05%             | 2039-12-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Guaranteed Funding (DK) Limite              | DK Trust 2025-LXP                                                | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     340000 | PA      | $340526.73     | 0.02%             | 2037-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294990 | PA      | $276658.07     | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YGYL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20655 | PA      | $20038.14      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |    -920000 | PA      | $-851575.00    | -0.06%            | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87276 | PA      | $85739.09      | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4850598 | PA      | $4919995.57    | 0.34%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48334 | PA      | $46708.37      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140Q9X24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284275 | PA      | $289009.51     | 0.02%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35348 | PA      | $33856.21      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust              | BSTN Commercial Mortgage Trust 2025-HUB                          | CUSIP: 05594GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760000 | PA      | $763005.95     | 0.05%             | 2041-04-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140MGG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160844 | PA      | $132770.90     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3670 | PA      | $3569.31       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3618AGYC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164844 | PA      | $169819.72     | 0.01%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 31427QMU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3882373 | PA      | $3537460.18    | 0.25%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F020414<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14074000 | PA      | $13027246.25   | 0.90%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YNUR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31981 | PA      | $29355.79      | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30044 | PA      | $30325.49      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance P              | Grace Trust 2020-GRCE                                            | CUSIP: 38406JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $804798.18     | 0.06%             | 2040-12-10      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137BBM72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2548409 | PA      | $2429914.78    | 0.17%             | 2044-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31416WHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19003 | PA      | $19150.26      | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40020 | PA      | $37043.03      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QFJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1056456 | PA      | $982879.78     | 0.07%             | 2035-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1413844 | PA      | $1366980.24    | 0.09%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XNT20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63525 | PA      | $49013.32      | 0.00%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132JNZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255469 | PA      | $244265.45     | 0.02%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2735886 | PA      | $2359740.48    | 0.16%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103538 | PA      | $100318.15     | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2025-BHR5 | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     247896 | PA      | $248203.06     | 0.02%             | 2040-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133B3GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1119689 | PA      | $923752.52     | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SHRN Trust                                  | SHRN Trust 2025-MF18                                             | CUSIP: 82556AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2415000 | PA      | $2416493.92    | 0.17%             | 2040-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257316 | PA      | $257582.99     | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4700 | PA      | $4971.07       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2794276 | PA      | $568169.83     | 0.04%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XCUV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     692139 | PA      | $640691.42     | 0.04%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140A84Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187328 | PA      | $193446.85     | 0.01%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7734004 | PA      | $6602005.51    | 0.46%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XQJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2871207 | PA      | $2814674.70    | 0.20%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140KLQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1483726 | PA      | $1223051.32    | 0.08%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137H0G51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1673014 | PA      | $253759.06     | 0.02%             | 2051-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2025-660F                         | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     855000 | PA      | $857403.92     | 0.06%             | 2042-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KRV68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1203564 | PA      | $1246858.82    | 0.09%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     469038 | PA      | $467049.21     | 0.03%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138YD4Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35683 | PA      | $34753.28      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QLLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71470 | PA      | $69790.70      | 0.00%             | 2036-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261871 | PA      | $251983.61     | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138XUZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15861 | PA      | $15567.12      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QQWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422743 | PA      | $440601.15     | 0.03%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122351 | PA      | $116800.92     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust               | NYC Commercial Mortgage Trust 2025-11X                           | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     860000 | PA      | $862674.94     | 0.06%             | 2040-10-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3787014 | PA      | $3951728.85    | 0.27%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137H6LN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $10979671.20   | 0.76%             | 2032-01-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X8QM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372687 | PA      | $304030.75     | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust              | ARES Trust 2025-IND3                                             | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070000 | PA      | $1070668.32    | 0.07%             | 2042-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1193676 | PA      | $1083057.69    | 0.08%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GUKJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2304072 | PA      | $2380509.48    | 0.16%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179YMH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5989018 | PA      | $5855694.36    | 0.41%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140N4TK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     436507 | PA      | $444340.74     | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2851890 | PA      | $2855984.67    | 0.20%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                          | BX Trust 2019-OC11                                               | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1489000 | PA      | $1418335.34    | 0.10%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132E0FX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1300544 | PA      | $1274806.99    | 0.09%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3735678 | PA      | $3607729.07    | 0.25%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42140 | PA      | $40669.04      | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-MF                             | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2364164 | PA      | $2366350.25    | 0.16%             | 2039-02-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132ADQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226627 | PA      | $213522.40     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1820680 | PA      | $1834463.53    | 0.13%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WBZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     770677 | PA      | $694480.97     | 0.05%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307QBA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9034 | PA      | $8935.43       | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     268160 | PA      | $279005.57     | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QQYZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6344693 | PA      | $6466375.54    | 0.45%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DBC 2025-DBC Mortgage Trust                 | DBC 2025-DBC Mortgage Trust                                      | CUSIP: 23306HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1785000 | PA      | $1786378.56    | 0.12%             | 2042-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128MJ3S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     534291 | PA      | $502206.16     | 0.03%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140HAUR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1427941 | PA      | $1417958.29    | 0.10%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     206681 | PA      | $191567.38     | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XLE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235991 | PA      | $240173.00     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     961458 | PA      | $793107.55     | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58996 | PA      | $57006.94      | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QHPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303174 | PA      | $281393.89     | 0.02%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31335AYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173148 | PA      | $157777.25     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2025-660F                         | CUSIP: 05556QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     873000 | PA      | $875717.47     | 0.06%             | 2042-11-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QACN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2121555 | PA      | $2113135.40    | 0.15%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15049000 | PA      | $15013430.64   | 1.04%             | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                          | 1301 Trust 2025-AOA                                              | CUSIP: 682461AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975000 | PA      | $987020.48     | 0.07%             | 2042-08-11      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1769205 | PA      | $1681143.14    | 0.12%             | 2035-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23375 | PA      | $23278.11      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3306909 | PA      | $2686396.83    | 0.19%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128KL5S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4371 | PA      | $4570.87       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9251 | PA      | $9638.54       | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QQWF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     993255 | PA      | $1028991.07    | 0.07%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trus              | Durst Commercial Mortgage Trust 2025-151                         | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990000 | PA      | $1009842.67    | 0.07%             | 2042-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2029410 | PA      | $1989045.69    | 0.14%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WCWR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39580 | PA      | $39005.04      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                 | CDS CMBX.NA.BBB-.10                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $915463.38     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -450000 | PA      | $-448936.39    | -0.03%            | 2056-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3863175 | PA      | $3181720.86    | 0.22%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates     | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3251026 | PA      | $116612.02     | 0.01%             | 2030-09-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2136383 | PA      | $2187834.51    | 0.15%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5028 | PA      | $4896.81       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WCSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67945 | PA      | $67029.39      | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                   | CFK Trust 2020-MF2                                               | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1254000 | PA      | $1170734.27    | 0.08%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132JAST3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47695 | PA      | $45643.61      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164464 | PA      | $154589.31     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     542085 | PA      | $527869.43     | 0.04%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X6SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2799643 | PA      | $2672993.76    | 0.19%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9399995 | PA      | $9535441.66    | 0.66%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master O              | Ford Credit Floorplan Master Owner Trust A                       | CUSIP: 34528QJF2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    5015000 | PA      | $5199325.82    | 0.36%             | 2031-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC              | Enterprise Fleet Financing 2024-2 LLC                            | CUSIP: 29375RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8007000 | PA      | $8143026.12    | 0.56%             | 2028-04-20      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H1WL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702484 | PA      | $659914.45     | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1524289 | PA      | $1179893.56    | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1595005 | PA      | $1356056.85    | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2790626 | PA      | $2270686.36    | 0.16%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M5NQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2592 | PA      | $2744.07       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537607 | PA      | $444396.07     | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136586 | PA      | $133066.58     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138XQL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64162 | PA      | $63213.19      | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2368912 | PA      | $2054854.66    | 0.14%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ETBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40177 | PA      | $39479.79      | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XAG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2275596 | PA      | $2108577.45    | 0.15%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58630 | PA      | $56686.07      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13155 | PA      | $13025.28      | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KR6D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1214134 | PA      | $1266402.85    | 0.09%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QCTX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     624454 | PA      | $604971.96     | 0.04%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      90182 | PA      | $83586.92      | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12342 | PA      | $12430.84      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HLLH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     527901 | PA      | $533102.52     | 0.04%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1979168 | PA      | $353850.91     | 0.02%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                               | United States Treasury Bill                                      | CUSIP: 912797RJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20355000 | PA      | $20328984.89   | 1.41%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433471 | PA      | $417806.03     | 0.03%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10391935 | PA      | $8609116.47    | 0.60%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3482 | PA      | $3414.76       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36290QXU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12218 | PA      | $12247.38      | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34918 | PA      | $33431.48      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138XDTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360515 | PA      | $352209.72     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAT Trust 2025-BMF                         | GSAT Trust 2025-BMF                                              | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2519000 | PA      | $2522147.99    | 0.17%             | 2040-07-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HAB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6366337 | PA      | $4399810.87    | 0.30%             | 2050-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1975592 | PA      | $1525959.80    | 0.11%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66387 | PA      | $64307.72      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GRMY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1006813 | PA      | $1038411.49    | 0.07%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275655 | PA      | $266519.40     | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17262 | PA      | $15954.23      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11400083 | PA      | $11710993.05   | 0.81%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XAHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994130 | PA      | $821827.64     | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M8T46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6657 | PA      | $7046.79       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5808 | PA      | $5791.23       | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14477 | PA      | $15101.18      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65658 | PA      | $64680.22      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1976374 | PA      | $2023972.45    | 0.14%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39721 | PA      | $38380.78      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133L8JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1911287 | PA      | $1778050.96    | 0.12%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GSR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5923307 | PA      | $6125531.84    | 0.42%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67524 | PA      | $70374.55      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140H1WJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113070 | PA      | $106218.27     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1513427 | PA      | $1443474.77    | 0.10%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307MQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34224 | PA      | $33123.99      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103428 | PA      | $100535.97     | 0.01%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132CWSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2194094 | PA      | $1998565.94    | 0.14%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Commercial Mortgage Trust 2024-UNIV                         | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     560000 | PA      | $560349.61     | 0.04%             | 2041-11-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46747 | PA      | $43185.39      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53761 | PA      | $52950.22      | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114535 | PA      | $116724.49     | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108789 | PA      | $111010.13     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118067 | PA      | $114127.61     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56856 | PA      | $54243.29      | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1251546 | PA      | $965902.61     | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9636 | PA      | $10192.19      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BTQ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150871 | PA      | $152109.17     | 0.01%             | 2054-12-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     417543 | PA      | $423581.28     | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HLLC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394997 | PA      | $398845.34     | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140W34Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10020865 | PA      | $10078191.10   | 0.70%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30734 | PA      | $29788.96      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67954 | PA      | $63564.74      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QK5Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3142212 | PA      | $2939769.18    | 0.20%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VSH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137970 | PA      | $124289.62     | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140M9UD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196620 | PA      | $170836.77     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23618 | PA      | $23336.89      | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44930 | PA      | $44607.48      | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS 2018-TALL Mortgage Trust                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     795000 | PA      | $752543.26     | 0.05%             | 2037-03-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DPQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289402 | PA      | $296372.03     | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XJSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6783735 | PA      | $5578827.06    | 0.39%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417CDE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     537935 | PA      | $515231.92     | 0.04%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DSFW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1633412 | PA      | $1260241.50    | 0.09%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124945 | PA      | $126025.61     | 0.01%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8470840 | PA      | $7311030.43    | 0.51%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140Q8VY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        483 | PA      | $459.39        | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128MABR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432197 | PA      | $412598.54     | 0.03%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                    | NRTH Commercial Mortgage Trust 2025-PARK                         | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2396000 | PA      | $2398245.77    | 0.17%             | 2040-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69340 | PA      | $64078.82      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138AHS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43080 | PA      | $43311.05      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5891281 | PA      | $4801075.13    | 0.33%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1988125 | PA      | $2036006.96    | 0.14%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1019322 | PA      | $1047966.78    | 0.07%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ANL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37499 | PA      | $37746.67      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HLP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     671533 | PA      | $683924.12     | 0.05%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                  | BFLD Trust 2025-EWEST                                            | CUSIP: 05494JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1537000 | PA      | $1536997.54    | 0.11%             | 2042-06-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Castle Hill INGOTS Ltd                      | CSTL Commercial Mortgage Trust 2025-GATE2                        | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1096520.48    | 0.08%             | 2042-11-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7365896 | PA      | $6078670.95    | 0.42%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2018-BNK11                                                  | CUSIP: 06540TAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1768606 | PA      | $1718970.07    | 0.12%             | 2061-03-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae I Pool                                                | CUSIP: 36178LZL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29101 | PA      | $27157.97      | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81410 | PA      | $80107.79      | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GRLM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1787236 | PA      | $1844740.39    | 0.13%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KQ2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     354262 | PA      | $367005.30     | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246966 | PA      | $201264.13     | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     725140 | PA      | $734748.19     | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                 | CDS CMBX.NA.10.BBB                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |          1 | NC      | $-964392.42    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133AXQ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     687258 | PA      | $598889.82     | 0.04%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133AYNU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106219 | PA      | $92380.64      | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17709 | PA      | $17339.27      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7374250 | PA      | $6351687.54    | 0.44%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305436 | PA      | $264763.12     | 0.02%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140ATJ31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249549 | PA      | $257701.07     | 0.02%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36241LVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108432 | PA      | $112338.53     | 0.01%             | 2041-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2024-NSTB                         | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     624575 | PA      | $616421.08     | 0.04%             | 2057-09-24      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136B0GN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3223269 | PA      | $2921872.95    | 0.20%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                         | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9612078 | PA      | $1382750.33    | 0.10%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5064 | PA      | $4926.61       | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                       | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9957000 | PA      | $10280991.52   | 0.71%             | 2056-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179X5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222812 | PA      | $212284.15     | 0.01%             | 2053-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BVAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269279 | PA      | $271490.68     | 0.02%             | 2054-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645707 | PA      | $650595.68     | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6582498 | PA      | $5455589.07    | 0.38%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGPV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127807 | PA      | $123569.40     | 0.01%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     925302 | PA      | $854558.59     | 0.06%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                            | GWT 2024-WLF2                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1570000 | PA      | $1574371.51    | 0.11%             | 2041-05-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     881908 | PA      | $797370.46     | 0.06%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4787 | PA      | $4412.17       | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43871 | PA      | $42736.84      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Corp Trust 2021-ROSS                      | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730000 | PA      | $693544.68     | 0.05%             | 2026-05-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XCZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84084 | PA      | $73128.36      | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242599 | PA      | $237262.01     | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M4KL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14497 | PA      | $15345.86      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149064 | PA      | $149211.66     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DL34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185995 | PA      | $183299.85     | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7LM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1010010 | PA      | $933914.42     | 0.06%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HLLF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398603 | PA      | $402531.33     | 0.03%             | 2055-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QM3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60700 | PA      | $50229.92      | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24814 | PA      | $24986.42      | 0.00%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15131 | PA      | $14853.25      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128M4LC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8008 | PA      | $8476.71       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      79491 | PA      | $77548.13      | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1265165 | PA      | $1046577.11    | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31410FSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231866 | PA      | $242415.29     | 0.02%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1987393 | PA      | $1720565.38    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110160 | PA      | $107156.99     | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8493579 | PA      | $8499650.76    | 0.59%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133AASK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     621937 | PA      | $507167.20     | 0.04%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B2 Mortgage Trust                                 | CUSIP: 08161CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $992160.30     | 0.07%             | 2051-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182161 | PA      | $181496.83     | 0.01%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58948 | PA      | $57967.10      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GVGA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2887492 | PA      | $2969702.69    | 0.21%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QST27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381496 | PA      | $389509.28     | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70162 | PA      | $67848.93      | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1411522 | PA      | $1342440.35    | 0.09%             | 2035-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15201742 | PA      | $13122352.16   | 0.91%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142J6BV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6679091 | PA      | $6938016.61    | 0.48%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DWF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2431368 | PA      | $2475004.70    | 0.17%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192241 | PA      | $188706.85     | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XFRS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239483 | PA      | $231542.07     | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66465 | PA      | $64718.12      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     937811 | PA      | $946369.13     | 0.07%             | 2055-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100231 | PA      | $96620.62      | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62430 | PA      | $61924.39      | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140NAYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1571677 | PA      | $1602433.45    | 0.11%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224123 | PA      | $230167.08     | 0.02%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11681 | PA      | $11775.73      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179VSL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7219 | PA      | $7137.11       | 0.00%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418DB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28242 | PA      | $27145.25      | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140X9WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5000548 | PA      | $4702539.94    | 0.33%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3142GQKK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48266 | PA      | $49042.36      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2430217 | PA      | $2105845.72    | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                               | CUSIP: 3137HHB83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2928693 | PA      | $2939883.72    | 0.20%             | 2054-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     436070 | PA      | $420432.45     | 0.03%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 31307MSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9307 | PA      | $9026.08       | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2416901 | PA      | $2105425.40    | 0.15%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363881 | PA      | $340769.32     | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140JAEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515478 | PA      | $524067.41     | 0.04%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     371417 | PA      | $364106.54     | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2581 | PA      | $2543.20       | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3660106 | PA      | $3159454.78    | 0.22%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1747816 | PA      | $1511649.81    | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     104282 | PA      | $93056.18      | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DU2R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1622660 | PA      | $1678056.89    | 0.12%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-AIRC                           | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3538818 | PA      | $3545417.10    | 0.25%             | 2041-08-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                               | LUX 2023-LION                                                    | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     879786 | PA      | $888510.93     | 0.06%             | 2040-08-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     676607 | PA      | $557825.40     | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100274 | PA      | $100341.79     | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34566 | PA      | $31910.84      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     376101 | PA      | $374525.85     | 0.03%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QKVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     465840 | PA      | $424890.71     | 0.03%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1653432 | PA      | $1418158.65    | 0.10%             | 2048-05-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418MLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219775 | PA      | $225441.46     | 0.02%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133B1FD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172651 | PA      | $150154.79     | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92713 | PA      | $96601.85      | 0.01%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     313575 | PA      | $271579.91     | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 31418FPJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2383664 | PA      | $2476070.62    | 0.17%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138EKY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259200 | PA      | $260696.37     | 0.02%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236317 | PA      | $228469.12     | 0.02%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99140 | PA      | $96663.27      | 0.01%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                 | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7876944 | PA      | $6785472.19    | 0.47%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XGR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     712482 | PA      | $577075.70     | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140J7UD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311464 | PA      | $325373.12     | 0.02%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1173299 | PA      | $1055778.43    | 0.07%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 3622A2LQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24832 | PA      | $24981.45      | 0.00%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140XJVT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     635798 | PA      | $589308.10     | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                            | CUSIP: 312944SL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16766 | PA      | $16503.62      | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16505 | PA      | $15606.77      | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457988 | PA      | $374192.54     | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120708 | PA      | $110964.97     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-LBA                                                | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     217473 | PA      | $217295.99     | 0.02%             | 2036-02-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140M8J75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199979 | PA      | $174016.48     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QDSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     503293 | PA      | $469407.74     | 0.03%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                        | CUSIP: 01F012411<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2664000 | PA      | $2409879.39    | 0.17%             | 2041-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3138WH3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141142 | PA      | $129116.47     | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                  | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5383112 | PA      | $5545587.61    | 0.38%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                               | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249532 | PA      | $232477.51     | 0.02%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-24

**Name of Applicant:** BlackRock Allocation Target Shares

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer