# EDGAR Filing Document

**Accession Number:** 0000892071
**File Stem:** 0001410368-26-066077
**Filing Date:** 2026-6
**Character Count:** 216521
**Document Hash:** 7d23d16fcf5140593d533d386c6e8e94
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-066077.hdr.sgml**: 20260625

**ACCESSION NUMBER**: 0001410368-26-066077

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260625

**DATE AS OF CHANGE**: 20260625

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW FUNDS INC
- **CENTRAL INDEX KEY:** 0000892071

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07170
- **FILM NUMBER:** 261120380

**BUSINESS ADDRESS:**
- **STREET 1:** 515 SOUTH FLOWER ST
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071
- **BUSINESS PHONE:** 213-244-0000

**MAIL ADDRESS:**
- **STREET 1:** 515 SOUTH FLOWER ST
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW GALILEO FUNDS INC
- **DATE OF NAME CHANGE:** 19950113

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TCW FUNDS INC
- **DATE OF NAME CHANGE:** 19930714

## Series and Classes Contracts Data

### TCW Securitized Bond Fund (Series ID: S000006330)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017410 | I Class      | TGLMX           |
| C000017411 | N Class      | TGMNX           |
| C000218394 | Plan Class   | TGLSX           |
| C000263823 | Class I-3    |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TCW FUNDS INC

- **b. Investment Company Act file number:** 811-07170

- **c. CIK number of Registrant:** 0000892071

- **d. LEI of Registrant:** 54930078E2I2DS4UJ217

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

  - **Street Address 1:** 515 South Flower Street

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

  - **Telephone number:** 213-244-0000

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

- **a. Name of Series:** TCW Securitized Bond Fund

- **b. EDGAR series identifier (if any):** S000006330

- **c. LEI of Series:** 549300Y1Y22MX8MB2328

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**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:** $2025880577.51

**Total Liabilities:** $385400902.59

**Net Assets:** $1640479674.92

**Delayed Delivery Securities:** $129700848.35

**Cash Not Reported:** $2399570.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -449.87000000 | **1-Year:** -14252.34000000 | **5-Year:** -29043.49000000 | **10-Year:** -7788.86000000 | **30-Year:** -187.24000000

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

- **3-Month:** -3227.00000000 | **1-Year:** -36307.04000000 | **5-Year:** -71000.79000000 | **10-Year:** -46349.32000000 | **30-Year:** -9431.14000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218394 | 1.95%                | -1.59%               | 0.13%                |
| Class ID C000017411 | 1.89%                | -1.56%               | 0.12%                |
| Class ID C000263823 | 1.93%                | -1.63%               | 0.21%                |
| Class ID C000017410 | 1.95%                | -1.61%               | 0.13%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1703352.71              | $20466497.57                               |
| Month 2  | $2625726.95              | $-35331601.94                              |
| Month 3  | $-1849837.92             | $-1305265.92                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSSTAT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Progress Residential Trust                                       | Progress Residential 2021-SFR3                                                 | CUSIP: 74333VAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3391541.82   | 0.21%             | 2026-05-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2019-B13 Mortgage Trust                                              | CUSIP: 08162DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4675704.50   | 0.29%             | 2057-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6                  | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116515 | PA      | $104389.39    | 0.01%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                              | CitiMortgage Alternative Loan Trust Series 2007-A5                             | CUSIP: 12566WAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5903477 | PA      | $5512579.22   | 0.34%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379LFY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15048967 | PA      | $13469311.68  | 0.82%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2024-SFR5 Trust                                           | CUSIP: 74332HAG1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   4621000 | PA      | $4306088.09   | 0.26%             | 2041-08-17      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                       | CUSIP: 20754AAJ2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   4760000 | PA      | $4877844.75   | 0.30%             | 2041-12-25      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19350000 | PA      | $18153676.58  | 1.11%             | 2056-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                         | FHF Issuer Trust 2025-1                                                        | CUSIP: 30340RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1856098 | PA      | $1856653.83   | 0.11%             | 2031-02-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | Mastr Asset Backed Securities Trust 2006-AB1                                   | CUSIP: 57643LNX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126107 | PA      | $106270.58    | 0.01%             | 2036-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2020-R6                                                              | CUSIP: 12560YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7544370 | PA      | $6925545.61   | 0.42%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q8WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8168192 | PA      | $7799268.02   | 0.48%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31394GM91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325689 | PA      | $272701.21    | 0.02%             | 2033-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128LXE89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31446 | PA      | $31822.11     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  42225000 | PA      | $41612273.03  | 2.54%             | 2056-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265495 | PA      | $267128.77    | 0.02%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                                  | Mid-State Capital Corp 2005-1 Trust                                            | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102967 | PA      | $102906.83    | 0.01%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13126859 | PA      | $11252811.47  | 0.69%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 5YR NOTE (CBT) JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       298 | NC      | $-367462.97   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3138WKQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517115 | PA      | $492221.83    | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS2 Trust                                                     | CUSIP: 74923CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6825765 | PA      | $73302.57     | 0.00%             | 2037-01-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                    | MASTR Alternative Loan Trust 2005-4                                            | CUSIP: 576434Q49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3835705 | PA      | $2884888.52   | 0.18%             | 2035-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FMLW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    890993 | PA      | $804707.03    | 0.05%             | 2049-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3068327 | PA      | $2892170.49   | 0.18%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                  | ChaseFlex Trust Series 2005-1                                                  | CUSIP: 16165TAE3<br>LEI: 549300U1F9IQTDPULK34 | Long             | ABS-MBS          | CORP              | US        |   1958086 | PA      | $1271573.71   | 0.08%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6865000 | PA      | $6495346.52   | 0.40%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                 | CUSIP: 59024VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    621594 | PA      | $621236.00    | 0.04%             | 2037-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-3 Trust                                           | CUSIP: 058931BF2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |    843007 | PA      | $772191.80    | 0.05%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                                      | Corevest American Finance 2021-1 Trust                                         | CUSIP: 21873LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14454810 | PA      | $196046.25    | 0.01%             | 2053-04-15      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                            | CUSIP: 91282CQG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     57000 | PA      | $56630.39     | 0.00%             | 2031-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-A4                                               | CUSIP: 46628LAD0<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    141389 | PA      | $93112.42     | 0.01%             | 2036-06-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                     | Wells Fargo Mortgage Backed Securities 2006-AR11 Trust                         | CUSIP: 94984CAF3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |    633720 | PA      | $601696.50    | 0.04%             | 2036-08-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                              | Washington Mutual Asset-Backed Certificates WMABS Series 2007-HE2 Trust        | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14772868 | PA      | $4481067.43   | 0.27%             | 2037-02-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31417C3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13792651 | PA      | $12649623.40  | 0.77%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                              | Bear Stearns Mortgage Funding Trust 2006-AR1                                   | CUSIP: 07401LAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7019820 | PA      | $6745426.68   | 0.41%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  45575000 | PA      | $41510735.44  | 2.53%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  54200000 | PA      | $43398156.80  | 2.65%             | 2056-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24425000 | PA      | $22769082.70  | 1.39%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2005-QA13 Trust                                                    | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291276 | PA      | $257256.17    | 0.02%             | 2035-12-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4596863 | PA      | $4271935.05   | 0.26%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2006-AR11 Trust                 | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1484377 | PA      | $1261040.68   | 0.08%             | 2046-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BWAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29879766 | PA      | $1384207.93   | 0.08%             | 2055-06-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38384L6D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30869152 | PA      | $2686662.07   | 0.16%             | 2076-03-20      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380B7H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5759968 | PA      | $5058102.42   | 0.31%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset                             | Merrill Lynch Alternative Note Asset Trust Series 2007-A1                      | CUSIP: 59023MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    712582 | PA      | $212552.42    | 0.01%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396QN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172695 | PA      | $17074.55     | 0.00%             | 2039-09-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                                          | CARS-DB4 LP                                                                    | CUSIP: 12510HAH3<br>LEI: N/A                  | Long             | ABS-O            |  | US        |   1550000 | PA      | $1531702.87   | 0.09%             | 2050-02-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                         | Avis Budget Rental Car Funding AESOP LLC 2021                                  | CUSIP: 05377REU4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2825000 | PA      | $2798375.79   | 0.17%             | 2028-02-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                         | Avis Budget Rental Car Funding AESOP LLC 2023                                  | CUSIP: 05377RJW5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8090143.20   | 0.49%             | 2028-08-21      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137ABTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455628 | PA      | $411465.19    | 0.03%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BHXL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    733326 | PA      | $52.80        | 0.00%             | 2043-04-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379WVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12265169 | PA      | $10597449.52  | 0.65%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DVK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10647577 | PA      | $9857824.81   | 0.60%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                       | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                           | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   6550000 | PA      | $5749835.63   | 0.35%             | 2043-01-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                         | DSLA Mortgage Loan Trust 2007-AR1                                              | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3340547 | PA      | $2846299.06   | 0.17%             | 2037-03-19      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-HYB1                                      | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23638 | PA      | $19986.33     | 0.00%             | 2037-03-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  56675000 | PA      | $51197984.68  | 3.12%             | 2056-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1090694 | PA      | $1069391.00   | 0.07%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38384LJ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10069009 | PA      | $904090.55    | 0.06%             | 2075-12-20      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2006-AR39                                     | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3654531 | PA      | $3398637.93   | 0.21%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2007-FF2                             | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15912498 | PA      | $8510389.25   | 0.52%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31412TGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102062 | PA      | $103286.46    | 0.01%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2005-10                                                 | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    868000 | PA      | $868491.84    | 0.05%             | 2035-10-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII                              | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                              | CUSIP: 07336PAE4<br>LEI: 2549001VJ64UFK8PZA41 | Long             | ABS-O            | CORP              | US        |   3131119 | PA      | $3165680.75   | 0.19%             | 2047-06-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS 2006-CB9 TRUST                                                          | CUSIP: 12465MAD6<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |  10612683 | PA      | $4904492.06   | 0.30%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17270831 | PA      | $16135828.97  | 0.98%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                                   | HPS Loan Management 2021-16 Ltd                                                | CUSIP: 40441AAE0<br>LEI: 529900WV2JMUABMCHN18 | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2602330.20   | 0.16%             | 2035-01-23      | Floating      | 10.17%                | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                               | BX Trust 2019-OC11                                                             | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1196000 | PA      | $1137680.65   | 0.07%             | 2041-12-09      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397LRC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186571 | PA      | $3754.55      | 0.00%             | 2038-05-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS1 Trust                                                     | CUSIP: 74922KAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996584 | PA      | $6602.17      | 0.00%             | 2037-01-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | Citigroup Commercial Mortgage Trust 2020-555                                   | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9400000 | PA      | $8522546.66   | 0.52%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                               | Tricon Residential 2021-SFR1 Trust                                             | CUSIP: 89614YAG1<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $3183085.12   | 0.19%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                     | Saxon Asset Securities Trust 2007-2                                            | CUSIP: 80556YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8746159 | PA      | $6496676.46   | 0.40%             | 2047-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2005-SA5 Trust                                                    | CUSIP: 76111XZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5559 | PA      | $4967.64      | 0.00%             | 2035-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-NQM5 Trust                                                           | CUSIP: 22946DAA0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3245864 | PA      | $2687643.34   | 0.16%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.                             | Fieldstone Mortgage Investment Trust Series 2007-1                             | CUSIP: 31659YAC8<br>LEI: 549300VDVZHMT2SH4W85 | Long             | ABS-O            | CORP              | US        |   1950663 | PA      | $1453099.27   | 0.09%             | 2047-04-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                              | Bear Stearns Mortgage Funding Trust 2006-AR3                                   | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210282 | PA      | $188606.39    | 0.01%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                              | JP Morgan Mortgage Acquisition Trust 2006-WMC4                                 | CUSIP: 46630BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22848739 | PA      | $11355096.74  | 0.69%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137APLC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940847 | PA      | $95224.58     | 0.01%             | 2042-04-15      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9891352 | PA      | $8686492.81   | 0.53%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A5Q23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2351001 | PA      | $221424.38    | 0.01%             | 2041-01-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC, Fidium Fiber Finance Holdco LLC | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                | CUSIP: 209031AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6010000 | PA      | $6305403.52   | 0.38%             | 2055-05-20      | Fixed         | 9.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31398EX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1670661 | PA      | $165480.39    | 0.01%             | 2039-07-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2007-FF1                             | CUSIP: 32028TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2788282 | PA      | $1532399.90   | 0.09%             | 2038-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31374CLN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323312 | PA      | $338382.58    | 0.02%             | 2047-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2005-AC6                          | CUSIP: 073879L63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1183702 | PA      | $1132135.71   | 0.07%             | 2035-09-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                               | BX Trust 2019-OC11                                                             | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1029583.33   | 0.06%             | 2041-12-09      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17941916 | PA      | $15778345.75  | 0.96%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOA ROYALTYCO LLC                                                | HOA RoyaltyCo LLC                                                              | CUSIP: 403962AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5980260 | PA      | $119605.20    | 0.01%             | 2055-11-22      | Fixed         | 4.72%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396QJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072734 | PA      | $105730.81    | 0.01%             | 2039-07-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                                    | Anchorage Credit Funding 19 Ltd                                                | CUSIP: 03331VAE5<br>LEI: 636700NIUPSXWN2YAM51 | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2174251.20   | 0.13%             | 2040-10-25      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                                      | Wireless PropCo Funding LLC                                                    | CUSIP: 97655EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1006331.60   | 0.06%             | 2055-06-25      | Fixed         | 8.51%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                     | Huntington Bank Auto Credit-Linked Notes Series 2025-2                         | CUSIP: 44644NAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    582202 | PA      | $569463.56    | 0.03%             | 2033-09-20      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                             | MAD Commercial Mortgage Trust 2025-11MD                                        | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $5165402.40   | 0.31%             | 2042-10-15      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                                | 245 Park Avenue Trust 2017-245P                                                | CUSIP: 90187LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $2007955.32   | 0.12%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                               | JP Morgan Alternative Loan Trust                                               | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2595293 | PA      | $1340742.11   | 0.08%             | 2036-05-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                               | BMO 2024-5C6 Mortgage Trust                                                    | CUSIP: 05593QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2357998.68   | 0.14%             | 2057-09-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140QKVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13333640 | PA      | $11365713.38  | 0.69%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                             | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                   | CUSIP: 00442JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5311309 | PA      | $2167930.09   | 0.13%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17866845 | PA      | $14396150.12  | 0.88%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR7 Trust                                           | CUSIP: 74333PAN7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   8970000 | PA      | $8483329.06   | 0.52%             | 2040-08-17      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| NCFA LLC LOAN PARTICIPATION 3                                    | NCFA LLC LOAN PARTICIPATION 3                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1830000.00   | 0.11%             | 2030-04-11      | Variable      | 7.90%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H020659<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13675000 | PA      | $11267317.96  | 0.69%             | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NCFA LLC LOAN PARTICIPATION 5                                    | NCFA LLC LOAN PARTICIPATION 5                                                  | CUSIP: 000000000<br>LEI: 549300WBSJ6TJRW4B527 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4000000.00   | 0.24%             | 2027-07-03      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR11 Trust                                          | CUSIP: 74333XAN0<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2874000 | PA      | $2793272.79   | 0.17%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 31325YXP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7844294 | PA      | $1760478.96   | 0.11%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2021-R3                                                              | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7677168 | PA      | $7159377.14   | 0.44%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 3142G42A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64701446 | PA      | $8782660.31   | 0.54%             | 2052-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                         | Neuberger Berman Loan Advisers Clo 44 Ltd                                      | CUSIP: 64133VAQ0<br>LEI: 549300HMTDFWN3B2DI35 | Long             | ABS-CBDO         | CORP              | KY        |   1650000 | PA      | $1639974.60   | 0.10%             | 2035-10-16      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2005-QA7 Trust                                                     | CUSIP: 76110H7B9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595747 | PA      | $562360.12    | 0.03%             | 2035-07-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2020-CNP                                        | CUSIP: 61770YAG0<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   3045000 | PA      | $2567802.52   | 0.16%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS4 Trust                                                     | CUSIP: 74923HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3283920 | PA      | $59867.51     | 0.00%             | 2037-03-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2020-R7                                                              | CUSIP: 12563GAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11682477 | PA      | $10809025.21  | 0.66%             | 2061-12-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                                 | BBAM US CLO VI Ltd                                                             | CUSIP: 05556VAC2<br>LEI: 54930064Z7YZMOXBC128 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1500454.00   | 0.09%             | 2039-01-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3741373 | PA      | $3663938.98   | 0.22%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                  | Lehman XS Trust Series 2006-12N                                                | CUSIP: 525226AG1<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |   1247223 | PA      | $1351556.41   | 0.08%             | 2046-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A2N58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9431476 | PA      | $1016779.45   | 0.06%             | 2041-12-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS8 Trust                                                     | CUSIP: 74922UAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7523504 | PA      | $129670.61    | 0.01%             | 2037-06-25      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                                     | NY Commercial Mortgage Trust 2025-299P                                         | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5885000 | PA      | $6059145.39   | 0.37%             | 2047-02-10      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust 2021-909                           | NYC Commercial Mortgage Trust 2026-1PARK                                       | CUSIP: 62979QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2765387.90   | 0.17%             | 2043-02-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26750000 | PA      | $22916671.50  | 1.40%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BRNR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1762613 | PA      | $1654636.06   | 0.10%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                 | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1285000 | PA      | $1122404.32   | 0.07%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS3 Trust                                                     | CUSIP: 75116BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  31651119 | PA      | $447499.34    | 0.03%             | 2037-02-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2034055 | PA      | $1928330.43   | 0.12%             | 2055-06-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                      | Extended Stay America Trust 2026-ESH2                                          | CUSIP: 30227WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2515247 | PA      | $2530288.81   | 0.15%             | 2043-02-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753011 | PA      | $678109.61    | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2349415 | PA      | $2236428.33   | 0.14%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31398CVV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1705025 | PA      | $153162.30    | 0.01%             | 2039-05-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2019-B14 Mortgage Trust                                              | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8734000 | PA      | $251827.42    | 0.02%             | 2062-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2413300 | PA      | $2390639.94   | 0.15%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5199866 | PA      | $5033836.51   | 0.31%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS Mortgage Trust 2024-5C25                                                 | CUSIP: 05554VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5625000 | PA      | $5732877.94   | 0.35%             | 2057-03-15      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140JAUD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4597033 | PA      | $4330976.23   | 0.26%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1740653 | PA      | $133454.67    | 0.01%             | 2037-03-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5280021 | PA      | $5110942.62   | 0.31%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                                 | VB-S1 Issuer LLC - VBTEL                                                       | CUSIP: 91823AAU5<br>LEI: 549300DKEDU9WZPGTC09 | Long             | ABS-O            | CORP              | US        |   3985000 | PA      | $3892750.44   | 0.24%             | 2052-02-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust                 | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1542061 | PA      | $1509642.47   | 0.09%             | 2035-01-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                              | MASTR Seasoned Securitization Trust 2004-1                                     | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2391 | PA      | $2361.33      | 0.00%             | 2032-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-S2                                               | CUSIP: 46628YBB5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |     24735 | PA      | $0.00         | 0.00%             | 2021-06-25      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3786504 | PA      | $3708136.30   | 0.23%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2004-B Trust                                           | CUSIP: 05946XJB0<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |    126751 | PA      | $103222.08    | 0.01%             | 2034-12-20      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                           | Switch ABS Issuer LLC                                                          | CUSIP: 871044AJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3725757.94   | 0.23%             | 2054-06-25      | Fixed         | 10.03%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38384YEE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26094127 | PA      | $1868890.37   | 0.11%             | 2054-10-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                   | Newday Funding Master Issuer PLC - Series 2025-2                               | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |   1700000 | PA      | $2310526.74   | 0.14%             | 2033-07-15      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                                   | FirstKey Homes 2021-SFR3 Trust                                                 | CUSIP: 33768JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5415649.25   | 0.33%             | 2038-12-17      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2025-44 Ltd                                                            | CUSIP: 67570VAC4<br>LEI: 25490028U8Y2XMZWXO46 | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $2467370.75   | 0.15%             | 2038-10-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QA1 Trust                                                     | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7574 | PA      | $5077.65      | 0.00%             | 2036-01-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397M4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287644 | PA      | $3091.13      | 0.00%             | 2039-02-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140NBQE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4297716 | PA      | $4264783.08   | 0.26%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-D Trust                                           | CUSIP: 058933AG7<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |   1049981 | PA      | $959208.89    | 0.06%             | 2036-05-20      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379LAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17922092 | PA      | $16215880.61  | 0.99%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2007-FF1                             | CUSIP: 32028TAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13647510 | PA      | $7497000.26   | 0.46%             | 2038-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2207713 | PA      | $1937411.14   | 0.12%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                        | BPR Trust 2021-WILL                                                            | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4207570 | PA      | $4206264.85   | 0.26%             | 2038-06-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| ALLO Issuer, LLC                                                 | ALLO Issuer LLC                                                                | CUSIP: 01983KAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1381200 | PA      | $1456182.59   | 0.09%             | 2054-07-20      | Fixed         | 11.19%                | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                 | Soundview Home Loan Trust 2007-OPT3                                            | CUSIP: 83612KAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3625972.80   | 0.22%             | 2037-08-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Bank                                                             | BANK 2020-BNK25                                                                | CUSIP: 06539WBG0<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   4055000 | PA      | $3500296.28   | 0.21%             | 2063-01-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31396RH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1444814 | PA      | $1205817.14   | 0.07%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                   | 280 Park Avenue 2017-280P Mortgage Trust                                       | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1820000 | PA      | $1798159.82   | 0.11%             | 2034-09-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Blue Stream Issuer, LLC                                          | Blue Stream Issuer LLC                                                         | CUSIP: 09606BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2538099.50   | 0.15%             | 2053-05-20      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BQFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 123759224 | PA      | $16338811.50  | 1.00%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2020-CNP                                        | CUSIP: 61770YAA3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $8907456.00   | 0.54%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                                     | MKT 2020-525M Mortgage Trust                                                   | CUSIP: 55316PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1807585.12   | 0.11%             | 2040-02-12      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| ESC GABS144A HOA FDG L                                           | ESC GABS144A HOA FDG L                                                         | CUSIP: 403ESCAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6136164 | PA      | $0.61         | 0.00%             | 2051-08-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38384L2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39278324 | PA      | $3543065.10   | 0.22%             | 2076-02-20      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3133C0U26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15927011 | PA      | $15407895.12  | 0.94%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                        | Structured Asset Mortgage Investments II Trust 2007-AR4                        | CUSIP: 86364MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10031704 | PA      | $9092096.62   | 0.55%             | 2047-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                               | Morgan Stanley Mortgage Loan Trust 2007-3XS                                    | CUSIP: 61752RAM4<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |   1942564 | PA      | $543236.55    | 0.03%             | 2047-01-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Knock Issuer Trust 2025-1                                        | Knock Issuer Trust 2025-1                                                      | CUSIP: 49917PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3565000 | PA      | $3596699.98   | 0.22%             | 2030-02-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS6 Trust                                                     | CUSIP: 75116CBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075189 | PA      | $897845.42    | 0.05%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140MMTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11120256 | PA      | $9394730.81   | 0.57%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                            | CUSIP: 91282CQK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     85000 | PA      | $84438.87     | 0.01%             | 2031-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31281LCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    939928 | PA      | $968403.54    | 0.06%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2005-QA8 Trust                                                     | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2178316 | PA      | $1078488.35   | 0.07%             | 2035-07-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS Mortgage Loan Trust 2007-CB2                                            | CUSIP: 1248MBAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1871164 | PA      | $1061262.27   | 0.06%             | 2037-02-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                  | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                         | CUSIP: 03880RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11800000 | PA      | $11801435.47  | 0.72%             | 2036-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QA2 Trust                                                     | CUSIP: 761118TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8831 | PA      | $5592.43      | 0.00%             | 2036-02-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust                     | STARM Mortgage Loan Trust 2007-2                                               | CUSIP: 78473TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77791 | PA      | $43925.93     | 0.00%             | 2037-04-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10233198 | PA      | $8634580.86   | 0.53%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BGME Trust                                                       | BGME Trust 2021-VR                                                             | CUSIP: 05551XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2450000 | PA      | $1887236.47   | 0.12%             | 2043-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-HQA3                                        | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | USGSE             | US        |   3050000 | PA      | $3104513.57   | 0.19%             | 2041-09-25      | Floating      | 9.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B2JS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141207 | PA      | $1076083.61   | 0.07%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132ADUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6010319 | PA      | $5570116.83   | 0.34%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                   | Securitized Asset Backed Receivables LLC Trust 2007-NC2                        | CUSIP: 81378GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10102693 | PA      | $8829449.33   | 0.54%             | 2037-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                                   | CAMB Commercial Mortgage Trust 2021-CX2                                        | CUSIP: 12477BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4079004.00   | 0.25%             | 2046-11-10      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                 | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2079668 | PA      | $1524708.09   | 0.09%             | 2037-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | Lehman Mortgage Trust 2006-4                                                   | CUSIP: 52520RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399117 | PA      | $258800.26    | 0.02%             | 2021-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 3133Q5E51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79569998 | PA      | $10576643.01  | 0.64%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 31427NEF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3890097 | PA      | $3661970.26   | 0.22%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                   | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 225470RS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6004288 | PA      | $1252223.13   | 0.08%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD                          | GoldenTree Loan Management US CLO 22 Ltd                                       | CUSIP: 38139HAC0<br>LEI: 254900AWFHWNFOUM2K51 | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1756247.40   | 0.11%             | 2037-10-20      | Floating      | 11.60%                | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR ULTRA FUT JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -117 | NC      | $265012.81    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Avenue of Americas                                               | 1301 Trust 2025-AOA                                                            | CUSIP: 682461AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3340000 | PA      | $3248496.26   | 0.20%             | 2042-08-11      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2023-P1                                         | CUSIP: 14688EAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2950 | PA      | $185082.37    | 0.01%             | 2030-03-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DBMS                                                             | DBMS 2025-1 DAC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |   2900000 | PA      | $3948950.42   | 0.24%             | 2036-02-18      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                                      | RAAC Series 2005-SP1 Trust                                                     | CUSIP: 76112BQY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477182 | PA      | $254296.32    | 0.02%             | 2034-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8264095 | PA      | $8047067.84   | 0.49%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                     | State Street Institutional U.S. Government Money Market Fund                   | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   4832326 | NS      | $4832325.99   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2021-N3                                         | CUSIP: 14687GAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25650 | PA      | $1917958.46   | 0.12%             | 2028-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                                         | CSMCM 2021-RPL11 Trust                                                         | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461448 | PA      | $359382.85    | 0.02%             | 2061-10-27      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396WC79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194372 | PA      | $14243.68     | 0.00%             | 2037-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                              | Hotwire Funding LLC                                                            | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   3425000 | PA      | $3547293.74   | 0.22%             | 2054-06-20      | Fixed         | 9.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS5 Trust                                                     | CUSIP: 75114TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1508262 | PA      | $1350795.10   | 0.08%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLPB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7793278 | PA      | $420111.45    | 0.03%             | 2055-06-25      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A4Y78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1905035.94   | 0.12%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                                               | Diamond Issuer LLC                                                             | CUSIP: 25267TAS0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3690000 | PA      | $3568371.70   | 0.22%             | 2051-11-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3598705 | PA      | $3524224.49   | 0.21%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2022-INV1                                             | CUSIP: 465973AT2<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |   6674888 | PA      | $5575096.74   | 0.34%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                 | CUSIP: 59023LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4284235 | PA      | $1567737.27   | 0.10%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                           | Conseco Finance Corp                                                           | CUSIP: 393505W32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8897 | PA      | $8904.08      | 0.00%             | 2030-12-01      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                                          | CARS-DB5 LP                                                                    | CUSIP: 12510HAK6<br>LEI: N/A                  | Long             | ABS-O            |  | US        |   3445891 | PA      | $3412565.79   | 0.21%             | 2051-08-15      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HMVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7020104 | PA      | $651491.10    | 0.04%             | 2055-09-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379JY39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13471523 | PA      | $11965331.51  | 0.73%             | 2045-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                       | ROCK Trust 2024-CNTR                                                           | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4196092.80   | 0.26%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Milford Park CLO, Ltd.                                           | Milford Park CLO Ltd                                                           | CUSIP: 59966PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $1937500.00   | 0.12%             | 2038-01-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2006-AR5                                         | CUSIP: 17309FAA6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   1264770 | PA      | $891028.66    | 0.05%             | 2036-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Brookhaven Park CLO Ltd                                          | Brookhaven Park CLO LTD                                                        | CUSIP: 113525AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1375000 | PA      | $1286481.63   | 0.08%             | 2037-04-19      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1871373 | PA      | $1882885.84   | 0.11%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2005-HYB5                                      | CUSIP: 12669G6K2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6943 | PA      | $6117.06      | 0.00%             | 2035-09-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                     | Huntington Bank Auto Credit-Linked Notes Series 2025-2                         | CUSIP: 44644NAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894412 | PA      | $871644.75    | 0.05%             | 2033-09-20      | Floating      | 10.24%                | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                   | NewDay Funding                                                                 | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |   1950000 | PA      | $2707886.70   | 0.17%             | 2032-03-15      | Floating      | 8.54%                 | Yes           |                  2 | On Loan: No      |
| MAPS Trust                                                       | MAPS 2026-1 Trust                                                              | CUSIP: 55293WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1865453 | PA      | $1855844.02   | 0.11%             | 2051-01-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                                                   | RIDE 2025-SHRE                                                                 | CUSIP: 765692AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2531603.00   | 0.15%             | 2047-02-14      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140M83L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9276410 | PA      | $7834117.74   | 0.48%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                        | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |   5125000 | PA      | $5269084.25   | 0.32%             | 2041-10-25      | Floating      | 11.15%                | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                           | Argent Securities Trust 2006-W4                                                | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15873756 | PA      | $3746322.28   | 0.23%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2764567 | PA      | $2369923.65   | 0.14%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                                      | Corevest American Finance 2020-1 Trust                                         | CUSIP: 21872UAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38948500 | PA      | $2377872.14   | 0.14%             | 2050-03-15      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8550532 | PA      | $7514426.85   | 0.46%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10475000 | PA      | $10079799.20  | 0.61%             | 2056-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38384L3A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15498715 | PA      | $1391149.65   | 0.08%             | 2076-01-20      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                  | Lehman XS Trust Series 2006-10N                                                | CUSIP: 525229AE0<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |   4587439 | PA      | $4550697.13   | 0.28%             | 2046-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLVW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2119882 | PA      | $1962824.28   | 0.12%             | 2055-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                        | Towd Point Mortgage Trust 2018-2                                               | CUSIP: 89175VAE3<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-MBS          | CORP              | US        |   7050000 | PA      | $6135050.30   | 0.37%             | 2058-03-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| LMRK Issuer Co. LLC                                              | Lmrk Issuer Co 2 LLC                                                           | CUSIP: 50209AAJ0<br>LEI: 549300TATF7H68SRLE80 | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2400543.36   | 0.15%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396P3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213374 | PA      | $11073.65     | 0.00%             | 2037-03-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396Y3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    881857 | PA      | $27279.96     | 0.00%             | 2038-04-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                      | PRKCM 2021-AFC2 Trust                                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4493532 | PA      | $3980021.97   | 0.24%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21763657 | PA      | $20509121.60  | 1.25%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                 | MASTR Asset Securitization Trust 2006-3                                        | CUSIP: 55274SAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28197 | PA      | $4079.79      | 0.00%             | 2036-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2006-FF18                            | CUSIP: 32029AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7694225 | PA      | $7157088.84   | 0.44%             | 2037-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                             | Cross 2024-H8 Mortgage Trust                                                   | CUSIP: 22757GAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3226000 | PA      | $3218468.26   | 0.20%             | 2069-12-25      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                             | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                   | CUSIP: 00442JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9881700 | PA      | $4033644.54   | 0.25%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BXT79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13532645 | PA      | $1140941.67   | 0.07%             | 2055-12-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2019-H7                                         | CUSIP: 61771MBB5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3651291.20   | 0.22%             | 2052-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Higley Park Clo Ltd                                              | Higley Park Clo Ltd                                                            | CUSIP: 43128VAE8<br>LEI: 213800CD95HT8UXDOH68 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $2891352.00   | 0.18%             | 2038-07-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                              | JP Morgan Mortgage Acquisition Trust 2006-CH2                                  | CUSIP: 46629QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3165421 | PA      | $1857150.88   | 0.11%             | 2036-10-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31398E5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    792856 | PA      | $84064.39     | 0.01%             | 2039-06-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Backed Certificates                    | Ownit Mortgage Loan Trust Series 2006-6                                        | CUSIP: 69121TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12392447 | PA      | $5470003.91   | 0.33%             | 2037-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                      | Extended Stay America Trust 2025-ESH                                           | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5186473 | PA      | $5219869.75   | 0.32%             | 2042-10-15      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BFXV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1845086 | PA      | $190.41       | 0.00%             | 2043-01-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BWYQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4657948 | PA      | $4316872.68   | 0.26%             | 2055-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31397H3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133928 | PA      | $7345.84      | 0.00%             | 2037-05-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396P2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373387 | PA      | $20221.82     | 0.00%             | 2037-03-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380XH91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3028607 | PA      | $2738917.01   | 0.17%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC Mortgage-Backed Trust 2006-8                                              | CUSIP: 22942MAC0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    606329 | PA      | $109915.29    | 0.01%             | 2021-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2020-CX Mortgage Trust                                                    | CUSIP: 12656KAE7<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4985102.40   | 0.30%             | 2046-11-10      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                      | Hertz Vehicle Financing III LLC                                                | CUSIP: 42806MCJ6<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $802939.85    | 0.05%             | 2027-06-25      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397MJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043853 | PA      | $58985.76     | 0.00%             | 2038-08-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                    | MASTR Alternative Loan Trust 2006-2                                            | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64827 | PA      | $5289.29      | 0.00%             | 2036-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128C6QB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819879 | PA      | $829003.35    | 0.05%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710027 | PA      | $726254.90    | 0.04%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-A7                                               | CUSIP: 46629DAW5<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |      5714 | PA      | $4754.67      | 0.00%             | 2037-01-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF 2017-KW03 Mortgage Trust                                                 | CUSIP: 30302YAQ0<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4034047.73   | 0.25%             | 2027-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Peace Park CLO, Ltd.                                             | Peace Park CLO Ltd                                                             | CUSIP: 70470MAW5<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1957744.00   | 0.12%             | 2038-10-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2007-19                                                 | CUSIP: 02151ABK5<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |  10911238 | PA      | $5257219.93   | 0.32%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS5 Trust                                                     | CUSIP: 74923JAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4501105 | PA      | $51018.22     | 0.00%             | 2037-03-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31416LU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1039716 | PA      | $1069942.92   | 0.07%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380X3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9634919 | PA      | $8627671.81   | 0.53%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AGZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2266734 | PA      | $1623623.77   | 0.10%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-D Trust                                           | CUSIP: 058933AE2<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |     37646 | PA      | $35598.02     | 0.00%             | 2036-05-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2004-12                                                 | CUSIP: 07384M6F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157786 | PA      | $150064.13    | 0.01%             | 2035-02-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust                   | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                   | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349066 | PA      | $300452.95    | 0.02%             | 2036-08-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA7                                        | CUSIP: 35564KNE5<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |   2376737 | PA      | $2458257.18   | 0.15%             | 2041-11-25      | Floating      | 11.45%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                       | CUSIP: 20754RAJ5<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   5900000 | PA      | $6023184.92   | 0.37%             | 2041-10-25      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                   | Securitized Asset Backed Receivables LLC Trust 2007-BR1                        | CUSIP: 81378KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6833830 | PA      | $2759840.13   | 0.17%             | 2037-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31397R2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1281643 | PA      | $109085.69    | 0.01%             | 2038-02-15      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7414616 | PA      | $6856347.51   | 0.42%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579CC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479689 | PA      | $473911.14    | 0.03%             | 2034-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                                      | Corevest American Finance 2020-4 Trust                                         | CUSIP: 21873AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18377457 | PA      | $833838.51    | 0.05%             | 2052-12-15      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2005-AC6                          | CUSIP: 073879L55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553605 | PA      | $529444.68    | 0.03%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4185086 | PA      | $4270578.70   | 0.26%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26400000 | PA      | $23120011.20  | 1.41%             | 2056-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 31325YB98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 122508373 | PA      | $16651165.31  | 1.02%             | 2051-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380XPW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1996184 | PA      | $1837934.98   | 0.11%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397MZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391763 | PA      | $21559.90     | 0.00%             | 2037-06-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| LOAN PARTICIPATION 2                                             | LOAN PARTICIPATION 2                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4348006 | PA      | $4343657.93   | 0.26%             | 2027-12-19      | Fixed         | 3.14%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 312939JF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6149802 | PA      | $6233287.88   | 0.38%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS                 | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-AR1 Trust | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2390 | PA      | $2398.89      | 0.00%             | 2030-11-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-3 Trust                                           | CUSIP: 058931AW6<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |    135170 | PA      | $116273.86    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137F3P99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5981576 | PA      | $5657205.55   | 0.34%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust                     | STARM Mortgage Loan Trust 2007-1                                               | CUSIP: 78473NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1336110 | PA      | $721807.88    | 0.04%             | 2037-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7848337 | PA      | $6320004.10   | 0.39%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31402N2R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88761 | PA      | $90783.92     | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | Securitized Asset Backed Receivables LLC Trust 2006-CB1                        | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2398847 | PA      | $2051638.44   | 0.13%             | 2036-01-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| Americold LLC Trust                                              | ACRE Multifamily Housing Mortgage Loan Trust 2022-Q018                         | CUSIP: 00091WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4320149 | PA      | $4304116.11   | 0.26%             | 2027-06-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| EdgeConneX Data Centers Issuer, LLC                              | Edgeconnex Data Centers Issuer LLC                                             | CUSIP: 28000XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10210875 | PA      | $9952521.50   | 0.61%             | 2052-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                        | BPR Trust 2024-PMDW                                                            | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3980000 | PA      | $3969263.15   | 0.24%             | 2041-11-05      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                             | New Mountain CLO 8 Ltd                                                         | CUSIP: 64755HAB1<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |   4300000 | PA      | $2881971.80   | 0.18%             | 2038-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31416B6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814558 | PA      | $853842.97    | 0.05%             | 2049-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AWC29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4109474 | PA      | $3782168.67   | 0.23%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                              | Hotwire Funding LLC                                                            | CUSIP: 44148JAC3<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   2380000 | PA      | $2363237.66   | 0.14%             | 2051-11-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 86360NAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1129459 | PA      | $1049179.96   | 0.06%             | 2036-06-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2024-SVEN                                | CUSIP: 949937AC0<br>LEI: 549300PX4QZK7CUM8D08 | Long             | ABS-MBS          | CORP              | US        |   4632000 | PA      | $4732349.96   | 0.29%             | 2037-06-10      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                         | Bear Stearns ALT-A Trust 2005-2                                                | CUSIP: 07386HRA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       677 | PA      | $621.05       | 0.00%             | 2035-04-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2007-AR11                                     | CUSIP: 45669FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9315 | PA      | $8474.75      | 0.00%             | 2037-06-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    901969 | PA      | $661957.60    | 0.04%             | 2036-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLK35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1982433 | PA      | $1902300.20   | 0.12%             | 2055-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                                         | CSMCM 2022-RPL1 Trust                                                          | CUSIP: 12662JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428625 | PA      | $358111.64    | 0.02%             | 2061-04-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS6 Trust                                                     | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18740688 | PA      | $502861.38    | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust 2004-9                                                 | CUSIP: 36242DBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493495 | PA      | $475644.66    | 0.03%             | 2034-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                             | New Mountain CLO 8 Ltd                                                         | CUSIP: 64755HAE5<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $0.04         | 0.00%             | 2038-10-20      | Fixed         | 0.10%                 | No            |                  3 | On Loan: No      |
| The Huntington National Bank                                     | Huntington Bank Auto Credit-Linked Notes Series 2026-1                         | CUSIP: 44644NAZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1160603 | PA      | $1162378.90   | 0.07%             | 2034-02-20      | Floating      | 12.29%                | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS Mortgage Trust 2024-5C27                                                 | CUSIP: 05555FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4565000 | PA      | $4730074.05   | 0.29%             | 2057-07-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-RPL11 Trust                                                          | CUSIP: 12659AAF3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2319517 | PA      | $1167180.21   | 0.07%             | 2061-10-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H6ZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16601979 | PA      | $13064583.55  | 0.80%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379PS24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3760000 | PA      | $3319032.28   | 0.20%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380CMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1649211 | PA      | $1364080.92   | 0.08%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1629357 | PA      | $1639381.06   | 0.10%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                         | DSLA Mortgage Loan Trust 2005-AR6                                              | CUSIP: 23332UFV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320102 | PA      | $1238826.89   | 0.08%             | 2045-10-19      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                             | Prime Mortgage Trust 2006-1                                                    | CUSIP: 74161BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1030 | PA      | $0.00         | 0.00%             | 2036-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLT85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2000025 | PA      | $1899349.17   | 0.12%             | 2055-06-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380GHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1195026 | PA      | $994854.70    | 0.06%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                 | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234654 | PA      | $219963.87    | 0.01%             | 2035-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                           | Switch ABS Issuer LLC                                                          | CUSIP: 871044AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2752120.28   | 0.17%             | 2054-06-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Braccan Mortgage Funding                                         | Braccan Mortgage Funding 2025-1 PLC                                            | CUSIP: 000000000<br>LEI: 6354003DBF3NI8QJRR63 | Long             | ABS-MBS          | CORP              | GB        |   1238478 | PA      | $1689061.37   | 0.10%             | 2067-05-17      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A9VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11738000 | PA      | $10547660.10  | 0.64%             | 2042-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38377WKM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2642534 | PA      | $2022992.14   | 0.12%             | 2041-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Aimco                                                            | AIMCO CLO 24 Ltd                                                               | CUSIP: 00092QAE1<br>LEI: 254900THVAKUZYK59M09 | Long             | ABS-CBDO         | CORP              | KY        |   4200000 | PA      | $2540966.40   | 0.15%             | 2038-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396YCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1453890 | PA      | $99872.36     | 0.01%             | 2037-05-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                               | Diamond Infrastructure Funding LLC                                             | CUSIP: 25265LAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3690000 | PA      | $3608384.58   | 0.22%             | 2049-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2005-AR23                                     | CUSIP: 45660LF38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1307474 | PA      | $1001028.17   | 0.06%             | 2035-11-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3920797 | PA      | $3694181.10   | 0.23%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140QNQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35869848 | PA      | $28885814.55  | 1.76%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                                     | MKT 2020-525M Mortgage Trust                                                   | CUSIP: 55316PAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2900000 | PA      | $2443149.37   | 0.15%             | 2040-02-12      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                | CUSIP: 95000KBF1<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        | 106409000 | PA      | $56971.38     | 0.00%             | 2049-11-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2005-84                                                 | CUSIP: 12668BAT0<br>LEI: 5493004SLAYUFMHIS127 | Long             | ABS-MBS          | CORP              | US        |     64805 | PA      | $56408.36     | 0.00%             | 2036-02-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                 | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11460000 | PA      | $9213090.52   | 0.56%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Life Financial Services Trust                                    | Life 2021-BMR Mortgage Trust                                                   | CUSIP: 53218CAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1236016.04   | 0.08%             | 2038-03-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS10 Trust                                                    | CUSIP: 751155AS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13197739 | PA      | $250924.65    | 0.02%             | 2036-08-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 2YR NOTE (CBT) JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -520 | NC      | $572140.37    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Bear Stearns Alt-A Trust                                         | Bear Stearns ALT-A Trust 2005-4                                                | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    997823 | PA      | $965517.68    | 0.06%             | 2035-05-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                 | IndyMac INDA Mortgage Loan Trust 2007-AR7                                      | CUSIP: 45670NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1111449 | PA      | $915394.36    | 0.06%             | 2037-11-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2007-SA2 Trust                                                    | CUSIP: 74958XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6916 | PA      | $5966.03      | 0.00%             | 2037-04-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                                        | HSI Asset Loan Obligation Trust 2007-2                                         | CUSIP: 40432BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406998 | PA      | $281125.70    | 0.02%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12249034 | PA      | $10371139.67  | 0.63%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B2YN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1421823.20   | 0.09%             | 2048-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                 | CUSIP: 67087TAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4110386 | PA      | $1459519.20   | 0.09%             | 2030-03-15      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2005-AR25                                     | CUSIP: 45660LR35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981789 | PA      | $843831.31    | 0.05%             | 2035-12-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                                       | Apidos CLO XI                                                                  | CUSIP: 03764EAC3<br>LEI: 549300XIP4V1NMCICV93 | Long             | ABS-CBDO         | CORP              | KY        |  11000000 | PA      | $1817816.00   | 0.11%             | 2034-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                   | Morgan Stanley Residential Mortgage Loan Trust 2024-INV3                       | CUSIP: 61776GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6005087 | PA      | $6165336.91   | 0.38%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                       | Morgan Stanley ABS Capital I Inc Trust 2004-NC8                                | CUSIP: 61744CHQ2<br>LEI: 5493002PQ8PF80BA0L77 | Long             | ABS-O            | CORP              | US        |    144562 | PA      | $156498.39    | 0.01%             | 2034-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                                            | TCW Central Cash Fund                                                          | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        |  84131370 | NS      | $84131369.95  | 5.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396YWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1558653 | PA      | $103039.68    | 0.01%             | 2038-03-25      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31397T3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1164976 | PA      | $114595.73    | 0.01%             | 2038-04-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19834849 | PA      | $18960956.80  | 1.16%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5044770 | PA      | $4884629.32   | 0.30%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26125000 | PA      | $26262809.38  | 1.60%             | 2056-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397MEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3330792 | PA      | $258133.22    | 0.02%             | 2038-08-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 31325YRU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4372421 | PA      | $678720.45    | 0.04%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Colony American Finance Ltd                                      | Corevest American Finance 2020-1 Trust                                         | CUSIP: 21872UAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6738668 | PA      | $199298.81    | 0.01%             | 2050-03-15      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2245790 | PA      | $1895223.07   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2021-4                                                | CUSIP: 46652VAU9<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  10544878 | PA      | $8777030.26   | 0.54%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380749 | PA      | $361076.81    | 0.02%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-A2                                               | CUSIP: 466247K93<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    189298 | PA      | $189225.79    | 0.01%             | 2033-11-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| NOMURA CORPORATE FUNDING AMERI                                   | NOMURA CORPORATE FUNDING AMERI                                                 | CUSIP: 000000000<br>LEI: 549300SALVA4F9X8OO86 | Long             | DBT              | CORP              | US        |   2531617 | PA      | $2527566.68   | 0.15%             | 2026-10-27      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38384LV55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13726351 | PA      | $1221425.61   | 0.07%             | 2076-01-20      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2007-12                                          | CUSIP: 17314CAE8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |   2110711 | PA      | $1012104.34   | 0.06%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379FQX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4330604 | PA      | $4106954.76   | 0.25%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179YRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15197395 | PA      | $15420954.75  | 0.94%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 3128HX4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6855161 | PA      | $6302198.25   | 0.38%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4                 | CUSIP: 59025CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8876747 | PA      | $8998030.91   | 0.55%             | 2037-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2019-B14 Mortgage Trust                                              | CUSIP: 08162YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20303000 | PA      | $151561.90    | 0.01%             | 2062-12-15      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS7 Trust                                                     | CUSIP: 748940AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3565958 | PA      | $93480.87     | 0.01%             | 2036-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                           | Residential Asset Securitization Trust 2007-A3                                 | CUSIP: 76113WAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2219439 | PA      | $944655.45    | 0.06%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38385EFG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12798017 | PA      | $647110.50    | 0.04%             | 2055-03-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2022-II Ltd                                                       | CUSIP: 12567VAC5<br>LEI: 2549005S1LQJ8MBPXW05 | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $1371859.50   | 0.08%             | 2035-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2006-S9 Trust                                                     | CUSIP: 749577AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    222875 | PA      | $172803.63    | 0.01%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ES35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3244922 | PA      | $3135782.82   | 0.19%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                                   | VCAT 2026-NPL1 LLC                                                             | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3686853 | PA      | $3672420.21   | 0.22%             | 2056-01-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2410072 | PA      | $2251699.14   | 0.14%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                | ABFC 2007-WMC1 Trust                                                           | CUSIP: 04545EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8054957 | PA      | $6927310.21   | 0.42%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust                     | STARM Mortgage Loan Trust 2007-3                                               | CUSIP: 85554NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1693 | PA      | $762.65       | 0.00%             | 2037-06-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| NCFA1                                                            | NCFA1                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7353221 | PA      | $7345132.12   | 0.45%             | 2028-06-12      | Fixed         | 2.75%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AGZD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5100437 | PA      | $3669127.76   | 0.22%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                               | Chase Mortgage Finance Trust Series 2006-A1                                    | CUSIP: 16163CAF9<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    226493 | PA      | $201691.90    | 0.01%             | 2036-09-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                 | CUSIP: 59023LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16779625 | PA      | $6116767.24   | 0.37%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                                    | CHI Commercial Mortgage Trust 2025-SFT                                         | CUSIP: 16706GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4585837.95   | 0.28%             | 2042-04-15      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-RPL11 Trust                                                          | CUSIP: 12659AAD8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   9294784 | PA      | $488726.25    | 0.03%             | 2061-10-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12060687 | PA      | $12168208.54  | 0.74%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                                   | US Bank C&I Credit-Linked Notes Series 2025-2                                  | CUSIP: 90355PAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2635408 | PA      | $2646638.30   | 0.16%             | 2032-09-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2007-S2 Trust                                                     | CUSIP: 749583AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2525662 | PA      | $2019282.10   | 0.12%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                       | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                           | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1202440.64   | 0.07%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179XLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7217229 | PA      | $6810426.24   | 0.42%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                               | BX Trust 2019-OC11                                                             | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4589401.50   | 0.28%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust                 | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1612610 | PA      | $1448286.83   | 0.09%             | 2046-12-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396V4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600038 | PA      | $159566.51    | 0.01%             | 2037-06-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                 | CUSIP: 92922F8K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491235 | PA      | $475533.22    | 0.03%             | 2036-01-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AP3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1742135 | PA      | $1534009.38   | 0.09%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14682991 | PA      | $14836189.44  | 0.90%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust 2007-AR2                                               | CUSIP: 3622N6AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1452783 | PA      | $723539.75    | 0.04%             | 2037-05-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | Impac CMB Trust Series 2005-5                                                  | CUSIP: 45254NPV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1329716 | PA      | $1269473.66   | 0.08%             | 2035-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust Series 2024-3                                         | CUSIP: 46657QAV3<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |  10800000 | PA      | $8941431.24   | 0.55%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15829772 | PA      | $13569844.67  | 0.83%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396QGH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202774 | PA      | $20320.23     | 0.00%             | 2039-07-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                         | Bear Stearns ALT-A Trust 2006-4                                                | CUSIP: 073871BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274853 | PA      | $110797.64    | 0.01%             | 2036-07-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                            | Conseco Finance Securitizations Corp                                           | CUSIP: 20846QDU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  45277023 | PA      | $5114786.78   | 0.31%             | 2032-05-01      | Fixed         | 7.97%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD GBP                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-329101.69   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BWGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1969166 | PA      | $1861316.64   | 0.11%             | 2055-02-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2022-RPL1 Trust                                                           | CUSIP: 12661QAF4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2073947 | PA      | $1231001.32   | 0.08%             | 2061-04-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38381AX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5280893 | PA      | $4832122.43   | 0.29%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                         | Avis Budget Rental Car Funding AESOP LLC                                       | CUSIP: 05377REL4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   6666667 | PA      | $6643895.35   | 0.40%             | 2027-08-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2020-R1                                                              | CUSIP: 12558VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13720234 | PA      | $12702267.40  | 0.77%             | 2059-10-27      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2007-1                                                  | CUSIP: 073880AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78663 | PA      | $68613.03     | 0.00%             | 2047-02-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                 | MortgageIT Trust 2005-4                                                        | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215294 | PA      | $216344.32    | 0.01%             | 2035-10-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                       | Impac Secured Assets Trust 2006-3                                              | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2496936 | PA      | $2319067.63   | 0.14%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                       | CUSIP: 20754LAJ8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |   3005000 | PA      | $3090124.44   | 0.19%             | 2041-12-25      | Floating      | 9.65%                 | No            |                  2 | On Loan: No      |
| ALLO Issuer, LLC                                                 | ALLO Issuer LLC                                                                | CUSIP: 01983KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6065000 | PA      | $6282025.71   | 0.38%             | 2053-06-20      | Fixed         | 12.18%                | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA BOND CBT JUN26                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       140 | NC      | $-660900.80   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                               | JP Morgan Alternative Loan Trust                                               | CUSIP: 46629EAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100406 | PA      | $124766.71    | 0.01%             | 2036-09-25      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38385ENN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22718968 | PA      | $1270638.92   | 0.08%             | 2055-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BBQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15008252 | PA      | $14405655.61  | 0.88%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188997 | PA      | $185370.35    | 0.01%             | 2034-09-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22575000 | PA      | $21762322.58  | 1.33%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS Mortgage Loan Trust 2007-CB2                                            | CUSIP: 1248MBAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6436445 | PA      | $3650537.76   | 0.22%             | 2037-02-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                   | Newday Funding Master Issuer PLC - Series 2024-2                               | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |   1500000 | PA      | $2074616.53   | 0.13%             | 2032-07-15      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140XFEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22434475 | PA      | $19097193.47  | 1.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust 2006-OA1                                               | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  42649434 | PA      | $9029414.12   | 0.55%             | 2046-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380TUY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10931312 | PA      | $8777690.16   | 0.54%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-B33                                                                  | CUSIP: 12658WAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   5140000 | PA      | $4613176.21   | 0.28%             | 2043-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A4LJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2957706 | PA      | $2755507.10   | 0.17%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31398C5B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104055 | PA      | $4433.48      | 0.00%             | 2037-07-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140W0WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3929805 | PA      | $3799287.71   | 0.23%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                           | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3    | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7603398 | PA      | $6833033.88   | 0.42%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                                       | DOLP Trust 2021-NYC                                                            | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8675000 | PA      | $7812716.28   | 0.48%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2005-AR7                                      | CUSIP: 45660LLK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    704179 | PA      | $593696.86    | 0.04%             | 2035-06-25      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA Trust                                                                     | CUSIP: 362341AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17540 | PA      | $17381.39     | 0.00%             | 2035-05-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2007-FF2                             | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19131122 | PA      | $9060328.90   | 0.55%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38384L2Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15800432 | PA      | $1061864.25   | 0.06%             | 2076-02-20      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140X5S87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2757856 | PA      | $2598242.55   | 0.16%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                         | BX Commercial Mortgage Trust 2025-BCAT                                         | CUSIP: 12433HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3771454 | PA      | $3792130.04   | 0.23%             | 2042-08-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                | Magnetite Xlii Ltd                                                             | CUSIP: 55955YAE4<br>LEI: 5299008QF7XUGQ5EZC63 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $3095815.00   | 0.19%             | 2038-01-25      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-HY5                                       | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3135 | PA      | $2463.15      | 0.00%             | 2047-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2004-AR9                                      | CUSIP: 45660N3R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119052 | PA      | $114538.03    | 0.01%             | 2034-11-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                              | Hotwire Funding LLC                                                            | CUSIP: 44148JAB5<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   2775000 | PA      | $2741171.64   | 0.17%             | 2051-11-20      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A3GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2110076 | PA      | $2107252.80   | 0.13%             | 2042-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                 | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4145066.88   | 0.25%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5392793 | PA      | $5007443.15   | 0.31%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31394AES1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173926 | PA      | $13690.15     | 0.00%             | 2034-07-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                      | Hertz Vehicle Financing III LP                                                 | CUSIP: 42806MAH2<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |  12090000 | PA      | $11970235.25  | 0.73%             | 2027-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                               | Chase Mortgage Finance Trust Series 2007-A1                                    | CUSIP: 161630AW8<br>LEI: 529900A7SLLSJMEDIN80 | Long             | ABS-MBS          | CORP              | US        |    757120 | PA      | $747867.62    | 0.05%             | 2037-02-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                           | Switch ABS Issuer LLC                                                          | CUSIP: 871044AY9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2280000 | PA      | $2196322.18   | 0.13%             | 2055-10-25      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2022-RPL1 Trust                                                           | CUSIP: 12661QAD9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   8074798 | PA      | $81851.40     | 0.00%             | 2061-04-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| firstkey homes 2020-sfr1 trust                                   | FirstKey Homes 2022-SFR3 Trust                                                 | CUSIP: 33768EAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8950000 | PA      | $8904326.36   | 0.54%             | 2038-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2006-2                                                  | CUSIP: 07388DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485394 | PA      | $419424.61    | 0.03%             | 2036-07-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2006-AR6                                      | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5649720 | PA      | $5129499.05   | 0.31%             | 2046-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6894330 | PA      | $6825246.21   | 0.42%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13608116 | PA      | $12841087.43  | 0.78%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4584851 | PA      | $4326423.92   | 0.26%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DI Issuer LLC                                                    | Lmdv Issuer Co LLC                                                             | CUSIP: 538908AE4<br>LEI: 254900A6HRP8XHJJGM20 | Long             | ABS-O            | CORP              | US        |   2610000 | PA      | $2642889.13   | 0.16%             | 2055-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                                  | Golub Capital Partners CLO 77 B Ltd                                            | CUSIP: 38180TAA6<br>LEI: 254900Q9J0ZXOH0PUQ28 | Long             | ABS-CBDO         | CORP              | KY        |    550000 | PA      | $534440.50    | 0.03%             | 2038-01-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 312940NL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1741875 | PA      | $1778221.72   | 0.11%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                           | Sequoia Mortgage Trust 2003-8                                                  | CUSIP: 81743PDX1<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    106260 | PA      | $104150.90    | 0.01%             | 2034-01-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9851185 | PA      | $7932830.58   | 0.48%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TCW Private Asset Income Fund                                    | TCW Private Asset Income Fund                                                  | CUSIP: 87807Y206<br>LEI: 254900JOZ7KOHWZ5ZD02 | Long             | EC               | RF                | US        |   1850613 | NS      | $18469119.70  | 1.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BTLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  38713933 | PA      | $1925952.76   | 0.12%             | 2054-07-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B6QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5535659 | PA      | $4743465.81   | 0.29%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396WBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391203 | PA      | $20029.37     | 0.00%             | 2037-06-25      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Trust                                    | Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust                   | CUSIP: 9497EVAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5521000 | PA      | $5157383.63   | 0.31%             | 2037-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15157152 | PA      | $14685139.91  | 0.90%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Caister Finance                                                  | Caister Finance DAC                                                            | CUSIP: 000000000<br>LEI: 635400IBLLJ9RCTGJN46 | Long             | ABS-MBS          | CORP              | IE        |   2000000 | PA      | $2720680.08   | 0.17%             | 2035-08-17      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HMHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4795308 | PA      | $4451413.71   | 0.27%             | 2055-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136G5JP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9030870 | PA      | $9003032.31   | 0.55%             | 2056-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BJP80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3583633 | PA      | $297.80       | 0.00%             | 2043-04-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31397P2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    861341 | PA      | $67141.66     | 0.00%             | 2037-10-15      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13550000 | PA      | $11352461.00  | 0.69%             | 2056-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38382YWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27006870 | PA      | $1620412.20   | 0.10%             | 2072-07-20      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11400000 | PA      | $11304462.30  | 0.69%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                              | DBGS 2018-C1 Mortgage Trust                                                    | CUSIP: 23307DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5136000 | PA      | $5042541.24   | 0.31%             | 2051-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HJ2B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7706166 | PA      | $581223.13    | 0.04%             | 2055-01-25      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157068 | PA      | $137837.16    | 0.01%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** TCW FUNDS INC

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer