# EDGAR Filing Document

**Accession Number:** 0000930007
**File Stem:** 0001752724-23-067996
**Filing Date:** 2023-3
**Character Count:** 431293
**Document Hash:** 27f8673b556387fe72dea90396086234
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067996.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067996

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230327

**DATE AS OF CHANGE**: 20230327

**PERIOD START**: 20230731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACE SELECT ADVISORS TRUST
- **CENTRAL INDEX KEY:** 0000930007
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08764
- **FILM NUMBER:** 23764250

**BUSINESS ADDRESS:**
- **STREET 1:** C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
- **STREET 2:** 787 SEVENTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-821-3000

**MAIL ADDRESS:**
- **STREET 1:** C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
- **STREET 2:** 787 SEVENTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** UBS PACE SELECT ADVISORS TRUST
- **DATE OF NAME CHANGE:** 20020716

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PAINEWEBBER PACE SELECT ADVISORS TRUST
- **DATE OF NAME CHANGE:** 19980212

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MANAGED ACCOUNTS SERVICES PORTFOLIO TRUST
- **DATE OF NAME CHANGE:** 19941212

## Series and Classes Contracts Data

### PACE Mortgage-Backed Securities Fixed Income Investments (Series ID: S000002696)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000007349 | Class P      | PCGTX           |
| C000007350 | Class A      | PFXAX           |
| C000007353 | Class Y      | PFXYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PACE SELECT ADVISORS TRUST

- **b. Investment Company Act file number:** 811-08764

- **c. CIK number of Registrant:** 0000930007

- **d. LEI of Registrant:** 549300TPB2UX3QR3SC50

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

  - **Street Address 1:** C/O UBS ASSET MANAGEMENT (AMERICAS) INC.

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** 212-821-3000

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

- **a. Name of Series:** PACE Mortgage-Backed Securities Fixed Income Investments

- **b. EDGAR series identifier (if any):** S000002696

- **c. LEI of Series:** 549300SL7FH0DG7NFM06

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

- **a. Date of fiscal year-end:** 2023-07-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $674729143.25

**Total Liabilities:** $451441005.25

**Net Assets:** $223288138.00

**Delayed Delivery Securities:** $195800975.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -162.85000000 | **1-Year:** -1133.98000000 | **5-Year:** -1709.82000000 | **10-Year:** -4215.29000000 | **30-Year:** -1596.57000000

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

- **3-Month:** -107.39000000 | **1-Year:** -1635.81000000 | **5-Year:** -2102.32000000 | **10-Year:** -3585.17000000 | **30-Year:** -504.15000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007350 | 4.11%                | -0.29%               | 3.36%                |
| Class ID C000007353 | 4.13%                | -0.27%               | 3.38%                |
| Class ID C000007349 | 4.23%                | -0.27%               | 3.38%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $668339.27               | $9207863.51                                |
| Month 2  | $-685386.03              | $-1287178.33                               |
| Month 3  | $1296222.67              | $6963391.94                                |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Mortgage Backed Securities (Returns Universe)

- **Index Identifier:** LEHM.MC.LEHM003446UUSD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418C7D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65254 | PA      | $65722.24     | 0.03%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138Y9DA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       999 | PA      | $1016.64      | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation       | Residential Asset Securities Corporation Trust                              | CUSIP: 76110W7E0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85864 | PA      | $85042.25     | 0.04%             | 2035-12-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3620AM6U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44496 | PA      | $44576.10     | 0.02%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31410KC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $1.74         | 0.00%             | 2023-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    500000 | OU      | $59186.45     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128HDPU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16003 | PA      | $15926.69     | 0.01%             | 2030-01-01      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137AXTT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    787983 | PA      | $52376.02     | 0.02%             | 2033-01-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust               | IndyMac INDX Mortgage Loan Trust                                            | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184535 | PA      | $159566.93    | 0.07%             | 2035-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   1500000 | NC      | $6958.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F030421<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -150000 | PA      | $-143819.10   | -0.06%            | 2038-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617AANP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4364 | PA      | $4397.43      | 0.00%             | 2045-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AD3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515623 | PA      | $60369.29     | 0.03%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X6LC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628173 | PA      | $612547.91    | 0.27%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312926VK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26946 | PA      | $27992.61     | 0.01%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2300000 | NC      | $-59.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KNBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250666 | PA      | $235727.28    | 0.11%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138ELA29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73684 | PA      | $70913.18     | 0.03%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179NLG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    878804 | PA      | $910278.77    | 0.41%             | 2043-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    964146 | PA      | $876486.48    | 0.39%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31410LDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282659 | PA      | $277471.68    | 0.12%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138YEZM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92625 | PA      | $89583.83     | 0.04%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H6LZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30111 | PA      | $29547.16     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                        | GSR Mortgage Loan Trust                                                     | CUSIP: 36242DPD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2921 | PA      | $2822.21      | 0.00%             | 2034-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                    | Merrill Lynch Mortgage Investors Trust                                      | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13797 | PA      | $12529.42     | 0.01%             | 2029-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KKY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3844 | PA      | $3785.81      | 0.00%             | 2024-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31396RLX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91693 | PA      | $91178.13     | 0.04%             | 2036-05-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust                                         | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352212 | PA      | $294028.57    | 0.13%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418CXZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119738 | PA      | $117892.51    | 0.05%             | 2028-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   1300000 | NC      | $4613.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31416W6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30135 | PA      | $29456.09     | 0.01%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132XXXT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28836 | PA      | $28313.94     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X8ML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442208 | PA      | $390490.16    | 0.17%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36295QBJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88572 | PA      | $93713.61     | 0.04%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36177JQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    775188 | PA      | $771127.69    | 0.35%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133L8B53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    785370 | PA      | $715770.53    | 0.32%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3131XCY43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54624 | PA      | $51870.08     | 0.02%             | 2032-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31371L6C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3096 | PA      | $3069.76      | 0.00%             | 2025-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38380B7Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76713 | PA      | $2105.90      | 0.00%             | 2045-12-20      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417FZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482081 | PA      | $467833.15    | 0.21%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36294TGQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1146 | PA      | $1196.90      | 0.00%             | 2037-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | Swaption                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |    800000 | NC      | $14895.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QNS86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1435170 | PA      | $1304167.90   | 0.58%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31329QHD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    609778 | PA      | $596469.68    | 0.27%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                         | Swaption                                                                    | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   1000000 | NC      | $3722.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X63B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223891 | PA      | $220437.53    | 0.10%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FS6Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29940 | PA      | $29379.72     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6000014 | PA      | $5371222.69   | 2.41%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B7PT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44141 | PA      | $40112.07     | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137ASYF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118660 | PA      | $5453.11      | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136B62S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214670 | PA      | $31859.29     | 0.01%             | 2049-11-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   7300000 | NC      | $58706.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36296FAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1292 | PA      | $1329.10      | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128MU5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28850 | PA      | $28988.10     | 0.01%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31412PPK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58194 | PA      | $57896.51     | 0.03%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137FQLE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145090 | PA      | $144004.92    | 0.06%             | 2046-12-15      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                       | OBX Trust                                                                   | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    584151 | PA      | $504583.36    | 0.23%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FXFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    721031 | PA      | $688009.72    | 0.31%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QNWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492028 | PA      | $447193.31    | 0.20%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36193QNF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370067 | PA      | $357203.27    | 0.16%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617GLWQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49368 | PA      | $48687.26     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138W2W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94400 | PA      | $89616.32     | 0.04%             | 2028-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   -500000 | NC      | $-2122.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31329PBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676924 | PA      | $650138.01    | 0.29%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140MJ6Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486370 | PA      | $441955.11    | 0.20%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3131XJCU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       908 | PA      | $881.03       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 5                                                    | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28804 | PA      | $27423.11     | 0.01%             | 2026-10-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                      | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates          | CUSIP: 70069FJS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35134 | PA      | $34764.62     | 0.02%             | 2035-06-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31288CUA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1220 | PA      | $1264.20      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XCS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445776 | PA      | $393000.41    | 0.18%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EMC Mortgage Loan Trust                        | EMC Mortgage Loan Trust                                                     | CUSIP: 268668BU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45190 | PA      | $43538.52     | 0.02%             | 2040-08-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3622A25E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511972 | PA      | $492505.00    | 0.22%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QNUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955674 | PA      | $868775.35    | 0.39%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -4400000 | NC      | $-64066.64    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140Q9K85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    929374 | PA      | $930145.43    | 0.42%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617GTJB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31042 | PA      | $30614.62     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AL2X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276181 | PA      | $1931.28      | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617GBHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149597 | PA      | $147535.09    | 0.07%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FECL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629247 | PA      | $608324.14    | 0.27%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                        | Dryden Senior Loan Fund                                                     | CUSIP: 26245EAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1616076 | PA      | $1605989.92   | 0.72%             | 2028-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36197K5G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57630 | PA      | $55438.37     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CPQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5318 | PA      | $5194.99      | 0.00%             | 2030-07-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M7ZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2940 | PA      | $3077.57      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust             | Morgan Stanley Mortgage Loan Trust                                          | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16884 | PA      | $14957.15     | 0.01%             | 2035-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36292CDD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10488 | PA      | $11052.79     | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617AT4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147418 | PA      | $141812.82    | 0.06%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B6YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72465 | PA      | $65876.17     | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31281BHU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149692 | PA      | $149906.43    | 0.07%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2500000 | NC      | $-2167.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202K2L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       878 | PA      | $856.76       | 0.00%             | 2026-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC                           | Barclays Capital, Inc.                                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -290000 | NS      | $-290000.00   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G1FZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1315597 | PA      | $1265573.28   | 0.57%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617AQU56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105927 | PA      | $101899.60    | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241KXB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2220 | PA      | $2352.66      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31376GGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $5.92         | 0.00%             | 2026-09-01      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38375US27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    679855 | PA      | $650264.59    | 0.29%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H5JG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292361 | PA      | $276654.84    | 0.12%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36196LHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209573 | PA      | $201604.75    | 0.09%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132WJUN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672342 | PA      | $625348.12    | 0.28%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1735 | PA      | $1688.04      | 0.00%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137BB7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66731 | PA      | $2794.01      | 0.00%             | 2041-10-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136B1P32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256373 | PA      | $236937.92    | 0.11%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X6S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1538479 | PA      | $1415373.12   | 0.63%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136A95V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338023 | PA      | $28592.10     | 0.01%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132XCSK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691929 | PA      | $708511.25    | 0.32%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137B5HZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311934 | PA      | $284752.19    | 0.13%             | 2035-05-15      | Floating      | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36194MJ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2301 | PA      | $2315.09      | 0.00%             | 2046-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36968 | PA      | $37901.38     | 0.02%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities Inc.            | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $194889.72    | 0.09%             | 2035-03-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202K6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       658 | PA      | $640.06       | 0.00%             | 2026-09-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202DKB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2461 | PA      | $2593.29      | 0.00%             | 2030-10-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                   | Saxon Asset Securities Trust                                                | CUSIP: 805564SU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1083929 | PA      | $1025684.86   | 0.46%             | 2035-11-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Swap                                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   7100000 | OU      | $845914.38    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KND83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1328503 | PA      | $1211106.10   | 0.54%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust            | Thornburg Mortgage Securities Trust                                         | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22993 | PA      | $21493.52     | 0.01%             | 2045-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31297VDF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79496 | PA      | $83068.33     | 0.04%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                  | Swaption                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -3400000 | NC      | $-23566.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128MAFD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22352 | PA      | $23050.67     | 0.01%             | 2044-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132Y0FE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73420 | PA      | $71050.32     | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3620ALAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28880 | PA      | $29913.28     | 0.01%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617HF3Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167060 | PA      | $170661.97    | 0.08%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36192S2Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366050 | PA      | $353325.38    | 0.16%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31347AKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560669 | PA      | $564331.32    | 0.25%             | 2041-11-01      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -3300000 | NC      | $-12881.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5500000 | OU      | $-22099.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M6V96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143493 | PA      | $149063.59    | 0.07%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3620ASG94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32335 | PA      | $33242.16     | 0.01%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38376RLR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258243 | PA      | $1237929.33   | 0.55%             | 2065-11-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140J9AX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142756 | PA      | $141734.89    | 0.06%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31412M2R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34084 | PA      | $34188.03     | 0.02%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202CTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5070 | PA      | $5160.79      | 0.00%             | 2027-01-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31410CME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       197 | PA      | $209.46       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 21H020626<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6700000 | PA      | $5794294.00   | 2.59%             | 2053-02-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132DVLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5278522 | PA      | $4683123.68   | 2.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QGPN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1178203 | PA      | $1039675.92   | 0.47%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2200000 | NC      | $-13240.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140JLYX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96774 | PA      | $97226.37     | 0.04%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -450000 | PA      | $-422323.65   | -0.19%            | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 31398SXJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132765 | PA      | $130489.25    | 0.06%             | 2040-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22443 | PA      | $22572.24     | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4688 | PA      | $4928.23      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2588800.00   | 1.16%             | 2053-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-6270.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312930UC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155573 | PA      | $154531.33    | 0.07%             | 2037-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B7YN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83154 | PA      | $75564.89     | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M6NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21442 | PA      | $22274.57     | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M7CQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22962 | PA      | $24034.85     | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EP6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169883 | PA      | $171346.16    | 0.08%             | 2036-01-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14527 | PA      | $13795.68     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31403SGB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       493 | PA      | $511.97       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36197DZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195105 | PA      | $192477.36    | 0.09%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KYXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63568 | PA      | $58875.80     | 0.03%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31412XNK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39085 | PA      | $40870.10     | 0.02%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128KLQQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244182 | PA      | $255481.71    | 0.11%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36188KDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299246 | PA      | $278391.52    | 0.12%             | 2045-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B7PS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103728 | PA      | $94265.02     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31398WJ21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51027 | PA      | $1947.74      | 0.00%             | 2037-10-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4000000 | OU      | $216635.88    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132A9UB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292734 | PA      | $277977.68    | 0.12%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KY66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2336 | PA      | $2280.58      | 0.00%             | 2026-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31393QQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390410 | PA      | $326399.51    | 0.15%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-6814.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QAEF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159163 | PA      | $160983.05    | 0.07%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36184XCW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124970 | PA      | $118481.81    | 0.05%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617GBLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86300 | PA      | $85110.97     | 0.04%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G8N41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173133 | PA      | $166443.24    | 0.07%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417BFX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197937 | PA      | $191966.43    | 0.09%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31407HN85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11504 | PA      | $12232.06     | 0.01%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27794 | PA      | $25825.65     | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138MGMJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056464 | PA      | $989644.71    | 0.44%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G0JC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189217 | PA      | $186609.34    | 0.08%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418VS60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1036 | PA      | $1017.89      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31412RD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34702 | PA      | $35244.04     | 0.02%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31398W2S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29465 | PA      | $1230.27      | 0.00%             | 2037-05-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust                                                    | CUSIP: 46651BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483642 | PA      | $458842.28    | 0.21%             | 2049-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3129456E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109293 | PA      | $113072.24    | 0.05%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3321 | PA      | $3243.87      | 0.00%             | 2028-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138X5ND5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145218 | PA      | $149444.44    | 0.07%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust     | Bear Stearns Asset-Backed Securities Trust                                  | CUSIP: 073879GZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2211721 | PA      | $2245730.37   | 1.01%             | 2034-08-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22414 | PA      | $22770.16     | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust        | Federal Home Loan Mortgage Corp. Whole Loan Securities Trust                | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370705 | PA      | $342123.41    | 0.15%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312946LX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18816 | PA      | $19029.00     | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                           | Swaption                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   1100000 | NC      | $3451.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                         | Swaption                                                                    | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   1300000 | NC      | $4954.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132Y0UU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50847 | PA      | $49206.04     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   7300000 | NC      | $41420.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36196YDX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37531 | PA      | $37025.57     | 0.02%             | 2047-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31288JZQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       257 | PA      | $267.12       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140GT6E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154774 | PA      | $148837.15    | 0.07%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138A7W38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20333 | PA      | $19965.50     | 0.01%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31419KK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13229 | PA      | $12940.86     | 0.01%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                  | Swaption                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-12460.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M8CY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40216 | PA      | $41575.64     | 0.02%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36180B3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81031 | PA      | $75656.62     | 0.03%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3131XBX53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100934 | PA      | $95855.03     | 0.04%             | 2031-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |    500000 | NC      | $709.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128LXE97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       278 | PA      | $284.80       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ATUB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    307501 | PA      | $39635.26     | 0.02%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136A9SC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132496 | PA      | $128927.84    | 0.06%             | 2042-11-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KLTN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1656347 | PA      | $1513061.70   | 0.68%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31392XF29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137053 | PA      | $14933.67     | 0.01%             | 2032-02-15      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EKRH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800941 | PA      | $778345.29    | 0.35%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ATY81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48014 | PA      | $1920.81      | 0.00%             | 2046-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B0A94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73849 | PA      | $67128.18     | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417DHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2054956 | PA      | $2055213.27   | 0.92%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36178SUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5592 | PA      | $5635.40      | 0.00%             | 2045-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G82B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49196 | PA      | $48517.96     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CCBCYHUS5 CCPC BARC COC                        | Collateral Position                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   2592000 | NS      | $2592000.00   | 1.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X5SX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99044 | PA      | $94123.41     | 0.04%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ARXE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124059 | PA      | $16583.24     | 0.01%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BTBB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85430 | PA      | $82182.10     | 0.04%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    100000 | NC      | $2619.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3133T6BZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       437 | PA      | $448.76       | 0.00%             | 2025-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31295LNS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27379 | PA      | $27123.42     | 0.01%             | 2027-10-01      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137FQLW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277438 | PA      | $271822.91    | 0.12%             | 2050-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -4400000 | NC      | $-7024.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31398QFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7908 | PA      | $7846.03      | 0.00%             | 2038-02-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CB88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1050 | PA      | $1025.18      | 0.00%             | 2027-04-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617ALXP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58823 | PA      | $58003.18     | 0.03%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M7HN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       916 | PA      | $958.70       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31384VYL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17632 | PA      | $17137.29     | 0.01%             | 2030-05-01      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36295XFV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5315 | PA      | $5665.27      | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38379TGM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181851 | PA      | $5240.63      | 0.00%             | 2042-06-20      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38376T6N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278772 | PA      | $4917.63      | 0.00%             | 2045-09-20      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                           | Swaption                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   1400000 | NC      | $10276.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                 | Swaption                                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   2200000 | NC      | $25483.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN JPST CASH COLL                       | Collateral Position                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -378000 | NS      | $-378000.00   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M5DQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1269 | PA      | $1328.28      | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc      | Structured Asset Mortgage Investments II Trust                              | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205461 | PA      | $177550.43    | 0.08%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417AQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422416 | PA      | $422468.09    | 0.19%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617GLVF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36294 | PA      | $35793.51     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X5VG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147109 | PA      | $144174.41    | 0.06%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140E6J78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853579 | PA      | $842415.96    | 0.38%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31295LNT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21085 | PA      | $20748.19     | 0.01%             | 2025-11-01      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140GS2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113157 | PA      | $111038.95    | 0.05%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36176MN82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    360391 | PA      | $346553.06    | 0.16%             | 2030-05-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B6UH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471245 | PA      | $429015.13    | 0.19%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128HDQ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40908 | PA      | $40407.31     | 0.02%             | 2029-11-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31296MYG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80137 | PA      | $81940.83     | 0.04%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  17400000 | OU      | $1282396.53   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29032 | PA      | $30391.74     | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132GDFU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49171 | PA      | $50871.18     | 0.02%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36295NJ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82061 | PA      | $86946.30     | 0.04%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    100000 | NC      | $103.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CNP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2019 | PA      | $1977.23      | 0.00%             | 2030-04-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137BCL55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46100 | PA      | $2347.51      | 0.00%             | 2037-03-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KR80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2695 | PA      | $2640.78      | 0.00%             | 2025-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B5XG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140740 | PA      | $123675.59    | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3133T0R71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       520 | PA      | $519.81       | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust    | Bear Stearns ARM Trust                                                      | CUSIP: 07384MSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1233 | PA      | $971.03       | 0.00%             | 2033-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202EWV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1265 | PA      | $1353.53      | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137AJKA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114429 | PA      | $6277.78      | 0.00%             | 2038-06-15      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING CORP.             | Chevy Chase Funding LLC Mortgage-Backed Certificates                        | CUSIP: 16678RAS6<br>LEI: 5493000I2UKXKSXK3222 | Long             | ABS-MBS          | CORP              | US        |     14857 | PA      | $13745.39     | 0.01%             | 2035-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   6200000 | NC      | $1234.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    478612 | PA      | $448935.00    | 0.20%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H2ZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102021 | PA      | $98107.77     | 0.04%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38379FDK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168028 | PA      | $3615.11      | 0.00%             | 2042-06-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust             | Renaissance Home Equity Loan Trust                                          | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108599 | PA      | $101000.60    | 0.05%             | 2033-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 31398TDW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443338 | PA      | $40766.74     | 0.02%             | 2040-07-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M8GS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12963 | PA      | $13570.67     | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AC5B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376399 | PA      | $50827.55     | 0.02%             | 2042-07-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133ATY47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176653 | PA      | $162288.96    | 0.07%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-272381.70   | -0.12%            | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XCWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484167 | PA      | $424528.78    | 0.19%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31410PTG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17847 | PA      | $18982.31     | 0.01%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $13033.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust        | Amortizing Residential Collateral Trust                                     | CUSIP: 031733AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88889 | PA      | $86605.05     | 0.04%             | 2034-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    563081 | PA      | $544332.29    | 0.24%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M4LT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22935 | PA      | $24006.64     | 0.01%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32858 | PA      | $32038.26     | 0.01%             | 2027-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617AQUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109752 | PA      | $105578.52    | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36178WGL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32701 | PA      | $30530.51     | 0.01%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140J84U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104834 | PA      | $107068.89    | 0.05%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KYXH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2110 | PA      | $1954.19      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4165972 | PA      | $3837771.02   | 1.72%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36190VGT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    318099 | PA      | $307944.91    | 0.14%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263061 | PA      | $264560.77    | 0.12%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31419DR45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1547 | PA      | $1520.08      | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140Q8N84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86431 | PA      | $84813.13     | 0.04%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -5500000 | NC      | $-173.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31348SWZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4405 | PA      | $4339.70      | 0.00%             | 2028-01-01      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G9GA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25942 | PA      | $25584.63     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36184CJV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271355 | PA      | $253228.79    | 0.11%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-7303.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136BBGN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    555331 | PA      | $522313.07    | 0.23%             | 2050-08-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418DKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149873 | PA      | $146883.37    | 0.07%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31292HPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       611 | PA      | $633.03       | 0.00%             | 2032-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138A6H37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39690 | PA      | $38975.81     | 0.02%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31411JTS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2742 | PA      | $2953.25      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BREM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156968 | PA      | $150999.33    | 0.07%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                | Venture 33 CLO Ltd.                                                         | CUSIP: 92330YAN3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491858.00    | 0.22%             | 2031-07-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Swap                                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   1300000 | OU      | $102497.28    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140HPJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36273 | PA      | $37102.97     | 0.02%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M6ZQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88674 | PA      | $91447.96     | 0.04%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36294NMF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31200 | PA      | $33633.08     | 0.02%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138AW4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127703 | PA      | $123571.77    | 0.06%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31419AYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820502 | PA      | $820603.75    | 0.37%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132ADW38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135766 | PA      | $133670.39    | 0.06%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KB20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        32 | PA      | $31.58        | 0.00%             | 2023-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753134 | PA      | $741737.72    | 0.33%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X4Y59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564730 | PA      | $519541.48    | 0.23%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   3600000 | NC      | $28499.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust                                         | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    523944 | PA      | $436736.35    | 0.20%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-51.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1400000 | OU      | $87058.54     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-2049.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust | Structured Adjustable Rate Mortgage Loan Trust                              | CUSIP: 86363LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90199 | PA      | $78060.29     | 0.03%             | 2037-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                 | Federal National Mortgage Association-Aces                                  | CUSIP: 3136BBAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589368 | PA      | $59708.26     | 0.03%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-14.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3800000 | PA      | $3450168.20   | 1.55%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31415PYW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57730 | PA      | $60369.98     | 0.03%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QC5P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4431599 | PA      | $4217526.14   | 1.89%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31374GW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9461 | PA      | $9395.70      | 0.00%             | 2027-12-01      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78671 | PA      | $80204.80     | 0.04%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10800000 | OU      | $116130.46    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36195XZ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275558 | PA      | $277255.49    | 0.12%             | 2047-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3133T4NZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5445 | PA      | $5462.81      | 0.00%             | 2024-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Future                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        74 | NC      | $-71273.17    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KJD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2969 | PA      | $2933.45      | 0.00%             | 2024-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XDFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194587 | PA      | $177374.82    | 0.08%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38375B6F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393976 | PA      | $394730.79    | 0.18%             | 2063-08-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136APU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128179 | PA      | $4049.67      | 0.00%             | 2055-08-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418MNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1966 | PA      | $1997.17      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10300000 | PA      | $10559663.00  | 4.73%             | 2053-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38375B5R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350114 | PA      | $348410.87    | 0.16%             | 2063-05-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BUZB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56967 | PA      | $56196.71     | 0.03%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-13638.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WWL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69111 | PA      | $65660.43     | 0.03%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136A9HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37214 | PA      | $24030.77     | 0.01%             | 2042-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3131XCH83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29886 | PA      | $28384.85     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138LT4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278042 | PA      | $283025.04    | 0.13%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31411BFP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60136 | PA      | $63962.85     | 0.03%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mortgage Equity Conversion Asset Trust         | Mortgage Equity Conversion Asset Trust                                      | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2095510 | PA      | $1960634.28   | 0.88%             | 2042-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128LXPZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2292 | PA      | $2381.11      | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    600000 | NC      | $3843.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                           | Swaption                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   2300000 | NC      | $2062.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FXLQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1085714 | PA      | $1034610.89   | 0.46%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KTB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4362 | PA      | $4282.18      | 0.00%             | 2025-06-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M6NV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17431 | PA      | $18167.85     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QED66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623909 | PA      | $573065.80    | 0.26%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EKDV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72745 | PA      | $73381.85     | 0.03%             | 2035-05-01      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202CTB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1096 | PA      | $1114.06      | 0.00%             | 2026-12-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X5VM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1676767 | PA      | $1542595.34   | 0.69%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 312915HW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1065 | PA      | $1062.99      | 0.00%             | 2023-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H23C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162361 | PA      | $156133.01    | 0.07%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2200000 | NC      | $-10907.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddiemac Strip                               | Federal Home Loan Mortgage Corp. Strips                                     | CUSIP: 31325UEH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441959 | PA      | $67500.26     | 0.03%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                 | Swaption                                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   3100000 | NC      | $37895.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2694 | PA      | $2624.81      | 0.00%             | 2027-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ADMT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695007 | PA      | $63800.38     | 0.03%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617B4JZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26482 | PA      | $26112.66     | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132A9UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72560 | PA      | $68902.13     | 0.03%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3133TK6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       787 | PA      | $88.32        | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                   | CSMC Trust                                                                  | CUSIP: 12647RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872629 | PA      | $742617.38    | 0.33%             | 2053-05-27      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417F3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225955 | PA      | $211587.42    | 0.09%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MYC CAS H COLL BROKER           | Collateral Position                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -290000 | NS      | $-290000.00   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31335BMB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127533 | PA      | $125266.68    | 0.06%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M8NN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47371 | PA      | $49563.09     | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FNEK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291568 | PA      | $272329.34    | 0.12%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128CUU87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222271 | PA      | $218057.85    | 0.10%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137FHRY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    940596 | PA      | $943918.65    | 0.42%             | 2038-04-15      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138YEGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30289 | PA      | $29276.03     | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162380 | PA      | $169247.37    | 0.08%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    574877 | PA      | $531793.86    | 0.24%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31413ECZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22042 | PA      | $23735.84     | 0.01%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $43192.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CFM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1569 | PA      | $1529.58      | 0.00%             | 2028-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F022428<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7425000 | PA      | $6948983.25   | 3.11%             | 2038-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                               | Federal Home Loan Mortgage Corp. Strips                                     | CUSIP: 3132HT3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271046 | PA      | $265833.60    | 0.12%             | 2044-03-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                        | Fremont Home Loan Trust                                                     | CUSIP: 35729PCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338671 | PA      | $316217.10    | 0.14%             | 2034-01-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240446 | PA      | $232770.37    | 0.10%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  36100000 | OU      | $625374.74    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36296TQR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45685 | PA      | $48457.74     | 0.02%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QMRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455262 | PA      | $414883.06    | 0.19%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241LKU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118929 | PA      | $121010.47    | 0.05%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XGWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716224 | PA      | $629164.91    | 0.28%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137BHGF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86842 | PA      | $3463.05      | 0.00%             | 2038-02-15      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                        | CIT Mortgage Loan Trust                                                     | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169748 | PA      | $168946.51    | 0.08%             | 2037-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137BEV43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39704 | PA      | $1654.38      | 0.00%             | 2041-08-15      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc              | Citigroup Mortgage Loan Trust, Inc.                                         | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3174472 | PA      | $2730702.75   | 1.22%             | 2051-11-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137AYSK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    592768 | PA      | $42631.51     | 0.02%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617GQJL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57993 | PA      | $57193.42     | 0.03%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   -500000 | NC      | $-1016.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AMEE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134481 | PA      | $6692.48      | 0.00%             | 2045-01-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617HPC44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33769 | PA      | $34505.13     | 0.02%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XGFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940512 | PA      | $854698.65    | 0.38%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202FM45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128579 | PA      | $126236.28    | 0.06%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31404Q5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77520 | PA      | $76552.43     | 0.03%             | 2044-03-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-3475.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418CYK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575479 | PA      | $568361.11    | 0.25%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AKPR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140376 | PA      | $4587.19      | 0.00%             | 2044-07-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                    | Merrill Lynch Mortgage Investors Trust                                      | CUSIP: 59020UNP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74713 | PA      | $70633.89     | 0.03%             | 2034-12-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                | Federal National Mortgage Association Interest Strip                        | CUSIP: 3136FFSR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35188 | PA      | $10359.50     | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-15833.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   1400000 | NC      | $289.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138XC3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29380 | PA      | $30085.23     | 0.01%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140J9CV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67258 | PA      | $65228.90     | 0.03%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FT5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8846 | PA      | $8745.15      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38375JD69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16347 | PA      | $14855.13     | 0.01%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137BMQG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1082074 | PA      | $174579.90    | 0.08%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132A4FG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       754 | PA      | $731.86       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31406WXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6841 | PA      | $7273.26      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3131XDBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10368 | PA      | $9845.48      | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272274 | PA      | $255437.74    | 0.11%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Swap                                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    600000 | OU      | $62072.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust                                                    | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1277890 | PA      | $1108220.61   | 0.50%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31410GLR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18375 | PA      | $19512.33     | 0.01%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                     | FHLMC-GNMA                                                                  | CUSIP: 3133T2UF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       573 | PA      | $571.74       | 0.00%             | 2023-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31281BMU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10775 | PA      | $10820.98     | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36210YME2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12068 | PA      | $12085.65     | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3622AAAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1928308 | PA      | $1854987.65   | 0.83%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QNNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397806 | PA      | $349037.24    | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates        | WaMu Mortgage Pass-Through Certificates Trust                               | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33899 | PA      | $30473.24     | 0.01%             | 2033-09-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192008 | PA      | $177832.16    | 0.08%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AKKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233545 | PA      | $10791.64     | 0.00%             | 2044-07-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   3600000 | NC      | $38008.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4196 | PA      | $4157.68      | 0.00%             | 2061-08-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31416YT73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181770 | PA      | $184572.08    | 0.08%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617AUKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135612 | PA      | $130455.30    | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X6ST9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1728412 | PA      | $1674088.64   | 0.75%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | Future                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       148 | NC      | $239141.06    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128P7AZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9668 | PA      | $9599.35      | 0.00%             | 2025-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AKUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107252 | PA      | $3826.37      | 0.00%             | 2044-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AM BOS2 CASH COLL                      | Bank Of Am Bos2 Cash Coll                                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -830000 | NS      | $-830000.00   | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31407LQM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13771 | PA      | $14642.55     | 0.01%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2300000 | NC      | $-1994.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138ERM64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914810 | PA      | $884228.25    | 0.40%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X5KC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104800 | PA      | $108279.48    | 0.05%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31419AE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175595 | PA      | $183624.56    | 0.08%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418DNC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142830 | PA      | $139596.44    | 0.06%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140MGXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85857 | PA      | $78020.41     | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust        | Federal Home Loan Mortgage Corp. Whole Loan Securities Trust                | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    223363 | PA      | $209103.45    | 0.09%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31419AVH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156788 | PA      | $166784.22    | 0.07%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128LXEN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8621 | PA      | $8838.78      | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31295LNX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31069 | PA      | $30680.85     | 0.01%             | 2029-01-01      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31281BRQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1150 | PA      | $1158.38      | 0.00%             | 2037-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417YT80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2639 | PA      | $2591.64      | 0.00%             | 2025-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F012627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2398230.00   | 1.07%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31371MBJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5929 | PA      | $6303.73      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KKVH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1140972 | PA      | $1007182.59   | 0.45%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140F5CV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1573553 | PA      | $1462114.05   | 0.65%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31295KYF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4148 | PA      | $4120.13      | 0.00%             | 2029-12-01      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust            | Citigroup Commercial Mortgage Trust                                         | CUSIP: 29429MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3137226.56   | 1.41%             | 2036-01-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7700000 | OU      | $-31911.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3620ACVF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3961 | PA      | $4132.40      | 0.00%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31371ND51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3559 | PA      | $3603.96      | 0.00%             | 2037-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BMC54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79296 | PA      | $76280.72     | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417C5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2573598 | PA      | $2573920.41   | 1.15%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-42.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WFF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23932 | PA      | $22880.14     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-2186.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-2007.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140GNHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    645874 | PA      | $642854.07    | 0.29%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  -1500000 | NC      | $-1799.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -2900000 | NC      | $-19442.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   7300000 | NC      | $131005.07    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38379GWG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334542 | PA      | $24959.24     | 0.01%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417MS95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149158 | PA      | $148655.53    | 0.07%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS  | Chase Funding Trust                                                         | CUSIP: 161546DQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6577 | PA      | $6268.17      | 0.00%             | 2032-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132D54W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455012 | PA      | $445936.78    | 0.20%             | 2035-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust     | Bear Stearns Asset-Backed Securities I Trust                                | CUSIP: 073879BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    346112 | PA      | $333124.45    | 0.15%             | 2034-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 31396WPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31566 | PA      | $30973.25     | 0.01%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138X6ZL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34787 | PA      | $32574.98     | 0.01%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                 | Option One Mortgage Loan Trust                                              | CUSIP: 68403FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48218 | PA      | $28394.32     | 0.01%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                            | Sound Point CLO XIV Ltd.                                                    | CUSIP: 83609NAN0<br>LEI: 549300TT7IR66ASPWY89 | Long             | ABS-CBDO         | CORP              | KY        |    300423 | PA      | $298566.50    | 0.13%             | 2029-01-23      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN GSCT CASH COLL                         | Goldman Gsct Cash Coll                                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -140000 | NS      | $-140000.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3622A24S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    517288 | PA      | $497618.73    | 0.22%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184795 | PA      | $171153.51    | 0.08%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   1500000 | NC      | $2436.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XBLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58876 | PA      | $56032.16     | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QKGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827937 | PA      | $756560.20    | 0.34%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31404KMF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12005 | PA      | $12498.46     | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31398KZ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17317 | PA      | $506.92       | 0.00%             | 2037-10-15      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                 | Swaption                                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |    700000 | NC      | $13033.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138ENEN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122344 | PA      | $125167.76    | 0.06%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36196CZQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178426 | PA      | $179524.58    | 0.08%             | 2046-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                 | Swaption                                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   1300000 | NC      | $1503.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4542 | PA      | $4416.55      | 0.00%             | 2025-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KSU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       882 | PA      | $864.09       | 0.00%             | 2025-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    100000 | NC      | $1426.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X8RH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504211 | PA      | $462074.45    | 0.21%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WEXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3943 | PA      | $3891.15      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F042426<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2016460.00   | 0.90%             | 2038-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36295FGG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4617 | PA      | $4987.70      | 0.00%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200805 | PA      | $205135.19    | 0.09%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -3900000 | NC      | $-25283.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                    | Future                                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -74 | NC      | $97852.81     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138A9RW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11511 | PA      | $11295.15     | 0.01%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  -1500000 | NC      | $-1820.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617B4GK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73826 | PA      | $72797.94     | 0.03%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140HPNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51014 | PA      | $50226.69     | 0.02%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-1447.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3000000 | OU      | $190928.58    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12225000 | PA      | $11799411.08  | 5.28%             | 2053-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233090 | PA      | $225649.11    | 0.10%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 31397NXK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306000 | PA      | $308509.01    | 0.14%             | 2037-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241LHP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116066 | PA      | $123053.71    | 0.06%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XFNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233440 | PA      | $218596.19    | 0.10%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38378PAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    805595 | PA      | $83950.36     | 0.04%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138AXB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318122 | PA      | $318161.31    | 0.14%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securities Trust        | Federal Home Loan Mortgage Corp. Whole Loan Securities Trust                | CUSIP: 3137G1BL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424900 | PA      | $401373.13    | 0.18%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36195EUQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140843 | PA      | $141710.75    | 0.06%             | 2046-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417F3E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96976 | PA      | $90810.09     | 0.04%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38376MCQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152817 | PA      | $2614.98      | 0.00%             | 2045-08-20      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31349TD40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308083 | PA      | $311554.45    | 0.14%             | 2034-09-01      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132D9BT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1173306 | PA      | $1115278.38   | 0.50%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31406RSH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195161 | PA      | $210173.16    | 0.09%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WCM91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342477 | PA      | $341185.99    | 0.15%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605452 | PA      | $558448.22    | 0.25%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128S3JQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138341 | PA      | $127023.90    | 0.06%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   1200000 | NC      | $8985.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6348 | PA      | $6316.82      | 0.00%             | 2029-12-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36296P5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13965 | PA      | $14800.24     | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31396GWP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67784 | PA      | $67052.28     | 0.03%             | 2036-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9850000 | PA      | $9779513.40   | 4.38%             | 2053-02-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1582698 | PA      | $1395367.64   | 0.62%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138X7XQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58642 | PA      | $55133.52     | 0.02%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CBA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       870 | PA      | $848.64       | 0.00%             | 2027-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543777 | PA      | $523101.09    | 0.23%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation        | Structured Asset Securities Corp. Trust                                     | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    996967 | PA      | $945838.87    | 0.42%             | 2035-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2179 | PA      | $2138.20      | 0.00%             | 2030-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ADNA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279080 | PA      | $38502.04     | 0.02%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KSX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4904 | PA      | $4816.06      | 0.00%             | 2025-05-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KMDF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    843898 | PA      | $770633.80    | 0.35%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                     | FHLMC-GNMA                                                                  | CUSIP: 312916LW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       469 | PA      | $3.69         | 0.00%             | 2023-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140HSNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $489872.40    | 0.22%             | 2026-02-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KZM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14244 | PA      | $13897.09     | 0.01%             | 2026-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CPL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12834 | PA      | $12489.39     | 0.01%             | 2030-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $422323.65    | 0.19%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F032427<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1463571.00   | 0.66%             | 2038-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8000000 | OU      | $-95488.08    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-1296.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31288VEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       272 | PA      | $268.63       | 0.00%             | 2023-10-01      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337078 | PA      | $333936.47    | 0.15%             | 2066-06-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312945ZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4651 | PA      | $4811.98      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132D53J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32887 | PA      | $32231.30     | 0.01%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  17500000 | OU      | $-1558371.67  | -0.70%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137ABE31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244540 | PA      | $246299.76    | 0.11%             | 2039-03-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H4UM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25711 | PA      | $25230.14     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140GQNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5395 | PA      | $5332.81      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136A7RY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46863 | PA      | $45866.92     | 0.02%             | 2042-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G1HC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63448 | PA      | $61035.97     | 0.03%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140HNV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55738 | PA      | $55881.17     | 0.03%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   7300000 | NC      | $87878.13     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418MUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158475 | PA      | $160991.83    | 0.07%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31412QDL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66794 | PA      | $67967.11     | 0.03%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140L0RM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $400787.55    | 0.18%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                | Venture 36 CLO Ltd.                                                         | CUSIP: 92332LAU3<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $783847.20    | 0.35%             | 2032-04-20      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                               | Federal Home Loan Mortgage Corp. Strips                                     | CUSIP: 31325VRC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583510 | PA      | $95747.77     | 0.04%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132QPG24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    582947 | PA      | $547424.13    | 0.25%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140MEMA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20861 | PA      | $18957.17     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417EK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51724 | PA      | $48053.31     | 0.02%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -3400000 | NC      | $-23583.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F052631<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -500000 | PA      | $-507495.00   | -0.23%            | 2053-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3449 | PA      | $3376.41      | 0.00%             | 2030-10-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36297DCT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28388 | PA      | $29172.21     | 0.01%             | 2039-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31400JZS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3745 | PA      | $3732.45      | 0.00%             | 2033-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M86H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71176 | PA      | $74502.46     | 0.03%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418CWV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58032 | PA      | $54870.07     | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AP3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173025 | PA      | $7337.45      | 0.00%             | 2045-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617ALZA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44516 | PA      | $43896.31     | 0.02%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132AC2W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1724171 | PA      | $1691321.60   | 0.76%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128K8GL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       717 | PA      | $735.49       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36297GVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403235 | PA      | $376476.42    | 0.17%             | 2043-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63753 | PA      | $64119.13     | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AP7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176805 | PA      | $111296.65    | 0.05%             | 2045-10-25      | Floating      | 0.54%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                 | Federal National Mortgage Association-Aces                                  | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524360 | PA      | $477123.77    | 0.21%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 312916VS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       878 | PA      | $872.69       | 0.00%             | 2023-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617AQHV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100826 | PA      | $96991.87     | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -4200000 | NC      | $-26830.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 31393DCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6249 | PA      | $6047.14      | 0.00%             | 2023-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617HRSQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170834 | PA      | $169505.28    | 0.08%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EP2Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831346 | PA      | $844340.68    | 0.38%             | 2037-10-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617AN3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105389 | PA      | $101382.23    | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -2900000 | NC      | $-13316.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                         | Swaption                                                                    | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   1200000 | NC      | $1279.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2500000 | NC      | $-59.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31335GLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $35.79        | 0.00%             | 2025-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                         | Future                                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         1 | NC      | $617.14       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B7U63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162303 | PA      | $147758.32    | 0.07%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132VLSJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159441 | PA      | $156553.25    | 0.07%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128LCMA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132518 | PA      | $136998.04    | 0.06%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   1300000 | NC      | $3234.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137A06E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149933 | PA      | $8925.89      | 0.00%             | 2036-11-15      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| EquiFirst Loan Securitization Trust            | EquiFirst Loan Securitization Trust                                         | CUSIP: 29445UAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1303752 | PA      | $1116624.14   | 0.50%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138A1L33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17426 | PA      | $17115.90     | 0.01%             | 2026-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QNUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945368 | PA      | $859074.70    | 0.38%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FXM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765303 | PA      | $763699.45    | 0.34%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G02L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19410 | PA      | $19140.05     | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BU2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41874 | PA      | $41296.93     | 0.02%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust         | Residential Asset Securitization Trust                                      | CUSIP: 76113NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215897 | PA      | $157821.06    | 0.07%             | 2036-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137ARPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449504 | PA      | $441280.78    | 0.20%             | 2042-06-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138M5KX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1558 | PA      | $1553.54      | 0.00%             | 2032-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BUZF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148158 | PA      | $146155.66    | 0.07%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132D55B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    241998 | PA      | $236505.75    | 0.11%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F030637<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -43900000 | PA      | $-39878803.90 | -17.86%           | 2053-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133AY4B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21654 | PA      | $19683.12     | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -3900000 | NC      | $-19790.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EQCH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151604 | PA      | $153799.77    | 0.07%             | 2041-09-01      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QBP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246166 | PA      | $253064.84    | 0.11%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F040420<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2500000 | PA      | $-2483952.50  | -1.11%            | 2038-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128P7HN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1819 | PA      | $1817.21      | 0.00%             | 2027-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202K2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6417 | PA      | $6258.10      | 0.00%             | 2026-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   2100000 | NC      | $1697.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36292GT96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8482 | PA      | $8761.05      | 0.00%             | 2036-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109798 | PA      | $102515.57    | 0.05%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |   -800000 | NC      | $-693.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7450000 | PA      | $6273957.90   | 2.81%             | 2053-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC           | PRET LLC                                                                    | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4376158 | PA      | $4025739.31   | 1.80%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1023 | PA      | $994.52       | 0.00%             | 2027-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                       | JP Morgan Mortgage Trust                                                    | CUSIP: 46651DAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561972 | PA      | $524990.51    | 0.24%             | 2050-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-1288.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132GEFG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3872 | PA      | $4005.70      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31339NC79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28225 | PA      | $28225.34     | 0.01%             | 2032-01-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179870 | PA      | $166590.50    | 0.07%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31288GY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1148 | PA      | $1190.20      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31374TX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1127 | PA      | $1120.29      | 0.00%             | 2025-03-01      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc              | Citigroup Mortgage Loan Trust, Inc.                                         | CUSIP: 17329VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2965371 | PA      | $2475506.55   | 1.11%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31397T3Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33451 | PA      | $31686.63     | 0.01%             | 2034-07-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                  | Swaption                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-2368.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XGAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2565772 | PA      | $2475313.76   | 1.11%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XGWJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574092 | PA      | $503621.95    | 0.23%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XH6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1759236 | PA      | $1551897.63   | 0.70%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137F6K55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    702496 | PA      | $91899.56     | 0.04%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140M2DB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196646 | PA      | $179099.29    | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137BHVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88721 | PA      | $1702.78      | 0.00%             | 2024-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KB87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        18 | PA      | $17.51        | 0.00%             | 2023-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 21H050631<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5029500.00   | 2.25%             | 2053-03-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140GUMA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56178 | PA      | $53652.47     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31413DQQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22416 | PA      | $24137.85     | 0.01%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -3600000 | NC      | $-14091.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136B3QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1638172 | PA      | $1609131.34   | 0.72%             | 2048-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WVX97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188949 | PA      | $182237.08    | 0.08%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179FWC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    331875 | PA      | $309862.53    | 0.14%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   1500000 | NC      | $247.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31295KGW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34088 | PA      | $33678.40     | 0.02%             | 2028-07-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137B0ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69591 | PA      | $4346.10      | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31295LNU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25393 | PA      | $25050.17     | 0.01%             | 2027-10-01      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617B0YJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102470 | PA      | $101058.06    | 0.05%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31405KNA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8325 | PA      | $8849.61      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M7JL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42725 | PA      | $44645.11     | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation        | Structured Asset Securities Corp. Mortgage Loan Trust                       | CUSIP: 86360RAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46688 | PA      | $46052.42     | 0.02%             | 2036-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38375B8J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303275 | PA      | $302966.87    | 0.14%             | 2063-09-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QBDY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831370 | PA      | $819152.16    | 0.37%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-1288.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138XYZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18999 | PA      | $18751.14     | 0.01%             | 2029-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  -3500000 | NC      | $-8095.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS  | Chase Funding Trust                                                         | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125924 | PA      | $118982.13    | 0.05%             | 2032-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137B12W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283499 | PA      | $59473.38     | 0.03%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137B5QX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    828981 | PA      | $724704.41    | 0.32%             | 2043-11-15      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132DNBH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325196 | PA      | $296104.13    | 0.13%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   1400000 | NC      | $3494.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G9MX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5511 | PA      | $5435.38      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H2ZF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128760 | PA      | $123821.16    | 0.06%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3133TLUJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4856 | PA      | $684.65       | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312943K85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18942 | PA      | $19597.59     | 0.01%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132AEKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79122 | PA      | $77543.82     | 0.03%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X4VG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285690 | PA      | $262829.31    | 0.12%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31397JZ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497903 | PA      | $50794.17     | 0.02%             | 2037-07-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -3400000 | NC      | $-38.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -3300000 | NC      | $-12881.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305953 | PA      | $285950.96    | 0.13%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XCTU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470633 | PA      | $427364.27    | 0.19%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KQ99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       562 | PA      | $551.81       | 0.00%             | 2025-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1264 | PA      | $1229.48      | 0.00%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31379JVU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1345 | PA      | $1343.48      | 0.00%             | 2026-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132J86D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132432 | PA      | $124133.82    | 0.06%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31337NAV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13774 | PA      | $13611.17     | 0.01%             | 2028-06-01      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust     | Bear Stearns Asset-Backed Securities Trust                                  | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187106 | PA      | $189518.49    | 0.08%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FPL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56869 | PA      | $53116.15     | 0.02%             | 2032-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312943T86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10475 | PA      | $10837.66     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31281BHS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299948 | PA      | $300377.83    | 0.13%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132QN5W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67845 | PA      | $63710.98     | 0.03%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38376T5N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    879514 | PA      | $879789.01    | 0.39%             | 2060-01-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138LS6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621737 | PA      | $620366.91    | 0.28%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138XY7E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8223 | PA      | $8369.92      | 0.00%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCBCYXUS0 BARCLAYS COC FUTURES                 | Collateral Position                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    420000 | NS      | $420000.00    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H6HW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17663 | PA      | $17332.58     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -3400000 | NC      | $-5753.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       736 | PA      | $782.82       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137FJJY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459762 | PA      | $377219.92    | 0.17%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179MVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10919 | PA      | $11304.26     | 0.01%             | 2042-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31415YHE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       525 | PA      | $533.75       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3133T3TD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       464 | PA      | $464.88       | 0.00%             | 2024-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                           | Swaption                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    200000 | NC      | $460.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38378MAC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    529307 | PA      | $66927.22     | 0.03%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-27893.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ADQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366787 | PA      | $23379.71     | 0.01%             | 2042-08-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XHS40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1211227 | PA      | $1134210.19   | 0.51%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AMZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258676 | PA      | $11736.63     | 0.01%             | 2045-03-25      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241KVQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208838 | PA      | $220946.93    | 0.10%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36291FQ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162846 | PA      | $157570.95    | 0.07%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36291FRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389480 | PA      | $362337.33    | 0.16%             | 2045-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31410WRX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8184 | PA      | $8188.56      | 0.00%             | 2037-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36295YXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50338 | PA      | $51931.87     | 0.02%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140Q8QN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    898333 | PA      | $857718.57    | 0.38%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3033 | PA      | $2955.15      | 0.00%             | 2027-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36197MRM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92906 | PA      | $91611.67     | 0.04%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ATXU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49371 | PA      | $3667.16      | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31391YUS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8866 | PA      | $9320.25      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107191 | PA      | $105559.62    | 0.05%             | 2030-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417HA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629462 | PA      | $598037.47    | 0.27%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138XZFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31142 | PA      | $31024.87     | 0.01%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                 | Swaption                                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   3100000 | NC      | $7525.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418EGD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41622 | PA      | $38549.43     | 0.02%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132QLF24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135750 | PA      | $126372.88    | 0.06%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FUKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2955 | PA      | $2921.22      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QCBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251470 | PA      | $233830.74    | 0.10%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2262 | PA      | $2206.04      | 0.00%             | 2027-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202EYG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4709 | PA      | $5061.63      | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132J9GR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79431 | PA      | $74454.27     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   3600000 | NC      | $21207.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H22E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126491 | PA      | $121638.93    | 0.05%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136B3M72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2674076 | PA      | $2623045.22   | 1.17%             | 2049-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                           | Swaption                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   2000000 | NC      | $341.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38379MX90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166618 | PA      | $4873.95      | 0.00%             | 2043-06-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M5H45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    445818 | PA      | $474745.19    | 0.21%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ARWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98682 | PA      | $5536.49      | 0.00%             | 2046-04-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust 11                                                   | CUSIP: 81744AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101026 | PA      | $90595.98     | 0.04%             | 2032-12-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312939WT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2177 | PA      | $2252.01      | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                 | Swaption                                                                    | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |   1400000 | NC      | $3486.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CPN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4797 | PA      | $4702.81      | 0.00%             | 2030-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F050635<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1705168.00   | 0.76%             | 2053-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       405 | PA      | $395.03       | 0.00%             | 2028-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36195ETX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8062 | PA      | $8111.73      | 0.00%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417GQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2028 | PA      | $1967.65      | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179DWV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33163 | PA      | $30963.02     | 0.01%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KNX65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537201 | PA      | $472066.22    | 0.21%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3622A2ZK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1939805 | PA      | $1872375.68   | 0.84%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138YRQP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35595 | PA      | $34405.06     | 0.02%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8900000 | OU      | $542372.50    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140GNKM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105464 | PA      | $103489.77    | 0.05%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132A9TZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320350 | PA      | $304201.24    | 0.14%             | 2032-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418MT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1719 | PA      | $1746.15      | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 21H030633<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12450000 | PA      | $11448372.60  | 5.13%             | 2053-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138YTCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7151 | PA      | $7057.57      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128MJL65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20584 | PA      | $21290.63     | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1600000 | NC      | $-1452.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155892 | PA      | $156780.55    | 0.07%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36196JFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110731 | PA      | $106520.85    | 0.05%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223279 | PA      | $228093.44    | 0.10%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137ANUN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    503587 | PA      | $14256.94     | 0.01%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    600000 | NC      | $5740.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140X3CN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2305623 | PA      | $2121131.93   | 0.95%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WTRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44435 | PA      | $41609.22     | 0.02%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AKTL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222292 | PA      | $9043.15      | 0.00%             | 2054-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31405XNA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64869 | PA      | $67534.99     | 0.03%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202FWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8459 | PA      | $8765.08      | 0.00%             | 2041-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136APNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    695713 | PA      | $33151.22     | 0.01%             | 2045-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140Q9PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76664 | PA      | $76050.06     | 0.03%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust               | Soundview Home Loan Trust                                                   | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580661 | PA      | $415061.63    | 0.19%             | 2037-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -1500000 | NC      | $-5477.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                               | Symphony CLO XVII Ltd.                                                      | CUSIP: 87165UAN1<br>LEI: 549300X84MR2MGY6OR68 | Long             | ABS-CBDO         | CORP              | KY        |    165385 | PA      | $164609.60    | 0.07%             | 2028-04-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31292JBP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3728 | PA      | $3815.82      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31410F5M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77626 | PA      | $81170.66     | 0.04%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31413FYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27599 | PA      | $29720.01     | 0.01%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates          | Countrywide Asset-Backed Certificates Trust                                 | CUSIP: 1266715K8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39015 | PA      | $38307.13     | 0.02%             | 2034-07-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31419AP35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425932 | PA      | $458345.65    | 0.21%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KNYR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183400 | PA      | $160915.26    | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31407A6M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4049 | PA      | $4304.84      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136APDE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46971 | PA      | $4916.97      | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138X4HN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420127 | PA      | $396673.59    | 0.18%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                       | KGS-Alpha SBA COOF Trust                                                    | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |   7360120 | PA      | $153090.50    | 0.07%             | 2038-04-25      | Variable      | 0.99%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36184SPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3879 | PA      | $3755.05      | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202ESA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62734 | PA      | $64910.40     | 0.03%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418CZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306964 | PA      | $303167.16    | 0.14%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138LX2V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236718 | PA      | $236288.30    | 0.11%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140HFFC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67716 | PA      | $65466.36     | 0.03%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132DNB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218630 | PA      | $205566.85    | 0.09%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136A6H98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133858 | PA      | $4815.57      | 0.00%             | 2052-07-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138X5HN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25372 | PA      | $24105.47     | 0.01%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38379FE39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183446 | PA      | $19019.49     | 0.01%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140J8BG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111626 | PA      | $111379.63    | 0.05%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FXDG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802701 | PA      | $771343.89    | 0.35%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                | Federal National Mortgage Association Interest Strip                        | CUSIP: 31395Q5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94698 | PA      | $13788.60     | 0.01%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140HCAX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38610 | PA      | $37874.22     | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128C6N21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47292 | PA      | $49220.49     | 0.02%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36296B6M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12604 | PA      | $13519.32     | 0.01%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241LCR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116430 | PA      | $123387.01    | 0.06%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WEX87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1422331 | PA      | $1359832.32   | 0.61%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                            | LCM XX LP                                                                   | CUSIP: 50188WAE8<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |     57797 | PA      | $57610.50     | 0.03%             | 2027-10-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2970 | PA      | $3109.24      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc              | Citigroup Mortgage Loan Trust, Inc.                                         | CUSIP: 17329RAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344821 | PA      | $287858.28    | 0.13%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140MUM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16252 | PA      | $15052.54     | 0.01%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G1A73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70793 | PA      | $68100.94     | 0.03%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31405PYH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38061 | PA      | $40460.47     | 0.02%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31412PXC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1831 | PA      | $1859.64      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 31392EVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39179 | PA      | $38980.71     | 0.02%             | 2032-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EGUC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245293 | PA      | $239416.10    | 0.11%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36178WPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365126 | PA      | $354043.08    | 0.16%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496804 | PA      | $464325.47    | 0.21%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XHDQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91915 | PA      | $89142.84     | 0.04%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550611 | PA      | $485702.74    | 0.22%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202CF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1371 | PA      | $1381.81      | 0.00%             | 2025-04-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617B0TG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102773 | PA      | $98864.84     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 21H032639<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6500000 | PA      | $6153738.50   | 2.76%             | 2053-03-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |   1500000 | NC      | $21498.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36291FQK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    399623 | PA      | $371773.37    | 0.17%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31407CGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       581 | PA      | $618.11       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $11308.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132DNBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    813440 | PA      | $743018.13    | 0.33%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138X1RR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153663 | PA      | $145991.43    | 0.07%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-2186.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418EFA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343302 | PA      | $317957.15    | 0.14%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KN4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    938896 | PA      | $853203.14    | 0.38%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   3600000 | NC      | $31837.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140MDUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10937 | PA      | $9938.54      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-245.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                  | Swaption                                                                    | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    600000 | NC      | $5031.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REVERSE FIRST UNION NATL BK CH                 | Reverse First Union Natl Bk Ch                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        | -14569936 | PA      | $-14569936.49 | -6.53%            | 2023-02-13      | Fixed         | 4.51%                 | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust                                         | CUSIP: 36266PAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650926 | PA      | $1376137.61   | 0.62%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128LXAV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145373 | PA      | $151905.54    | 0.07%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31371MCG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       623 | PA      | $662.60       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138ETY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    904722 | PA      | $918841.25    | 0.41%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23259 | PA      | $22778.58     | 0.01%             | 2030-08-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ANJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216412 | PA      | $8181.75      | 0.00%             | 2055-04-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138ENEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518759 | PA      | $518192.56    | 0.23%             | 2038-05-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418C7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80509 | PA      | $79267.19     | 0.04%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202K5J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5252 | PA      | $5086.46      | 0.00%             | 2026-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241K5X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22339 | PA      | $23660.35     | 0.01%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KNRZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    465185 | PA      | $422746.09    | 0.19%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                 | BCAP LLC Trust                                                              | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139642 | PA      | $107637.93    | 0.05%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31406YYK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3743 | PA      | $3979.56      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CP83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1180 | PA      | $1151.57      | 0.00%             | 2030-08-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617ATYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92570 | PA      | $89049.95     | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EP2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820630 | PA      | $818083.97    | 0.37%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140JNRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31617 | PA      | $32251.98     | 0.01%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241KQ76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       974 | PA      | $1032.35      | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236951 | PA      | $241111.43    | 0.11%             | 2039-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3502752.00   | 1.57%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QPR41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494840 | PA      | $450232.32    | 0.20%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -3500000 | NC      | $-5442.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312941NS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91124 | PA      | $94279.54     | 0.04%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 31359HQ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       186 | PA      | $187.41       | 0.00%             | 2024-05-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                           | Swaption                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   2300000 | NC      | $5158.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36292DT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43740 | PA      | $46008.11     | 0.02%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AG3P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186081 | PA      | $13199.62     | 0.01%             | 2043-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36209BHT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       194 | PA      | $198.97       | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617B4HP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78500 | PA      | $77405.92     | 0.03%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F032633<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5550000 | PA      | $-5209712.85  | -2.33%            | 2053-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                              | Swaption                                                                    | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   2200000 | NC      | $25483.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132D6BQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    980269 | PA      | $869285.81    | 0.39%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3131Y94T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59937 | PA      | $60090.93     | 0.03%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140MBH54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14223 | PA      | $12923.78     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138W6GB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343965 | PA      | $322093.64    | 0.14%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31396HJ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369026 | PA      | $365089.38    | 0.16%             | 2036-02-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7210 | PA      | $7009.61      | 0.00%             | 2027-08-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |   -800000 | NC      | $-20.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138M0XQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2023 | PA      | $2073.22      | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    600000 | NC      | $6808.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138YBHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7285 | PA      | $7200.18      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138E4Y47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80359 | PA      | $80850.31     | 0.04%             | 2042-02-01      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2400000 | OU      | $11872.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31297US43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15142 | PA      | $15822.09     | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FM7B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14165 | PA      | $13899.62     | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202ERC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54321 | PA      | $56217.47     | 0.03%             | 2038-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138ELN41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       240 | PA      | $233.69       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31416WP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27895 | PA      | $28330.62     | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140HNVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168796 | PA      | $169228.12    | 0.08%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KYWX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1610132 | PA      | $1491276.43   | 0.67%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 21H022630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2100000 | PA      | $1875167.70   | 0.84%             | 2053-03-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KMR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903350 | PA      | $797382.25    | 0.36%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202DKP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3048 | PA      | $3132.26      | 0.00%             | 2030-11-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-4700.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3620ASY86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       643 | PA      | $662.58       | 0.00%             | 2032-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |   -800000 | NC      | $-5110.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WJN38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1354988 | PA      | $1277344.86   | 0.57%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137FJE21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749331 | PA      | $552276.75    | 0.25%             | 2058-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140GRAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121202 | PA      | $118932.69    | 0.05%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BKKP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120535 | PA      | $115951.60    | 0.05%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137B5QQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    348249 | PA      | $289284.62    | 0.13%             | 2043-11-15      | Floating      | 0.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138A8WE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33770 | PA      | $33145.40     | 0.01%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36181AYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31719 | PA      | $29615.48     | 0.01%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST                   | CSMC Trust                                                                  | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254875 | PA      | $212771.19    | 0.10%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP                                      | Citigroup                                                                   | CUSIP: 000000000<br>LEI: 1B4S6S7G0TW5EE83BO58 | Short            | STIV             | CORP              | US        |   -304000 | NS      | $-304000.00   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132XXE47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12648 | PA      | $12419.13     | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31416W6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25542 | PA      | $24972.03     | 0.01%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31404RZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8097 | PA      | $8168.99      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EQ7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841278 | PA      | $841382.98    | 0.38%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128S4FZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212104 | PA      | $211431.75    | 0.09%             | 2036-11-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31416XR77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67253 | PA      | $65995.19     | 0.03%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417EQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177326 | PA      | $164740.29    | 0.07%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F020638<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $33716720.00  | 15.10%            | 2053-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418CV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219654 | PA      | $207685.89    | 0.09%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XCUP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    869843 | PA      | $770844.56    | 0.35%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 312942GP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44471 | PA      | $46010.73     | 0.02%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QKME5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1660210 | PA      | $1516567.43   | 0.68%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust             | JP Morgan Alternative Loan Trust                                            | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471283 | PA      | $342005.74    | 0.15%             | 2037-06-27      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38380CSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180737 | PA      | $3216.79      | 0.00%             | 2045-11-20      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31411KE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4954 | PA      | $5270.34      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   3000000 | NC      | $25563.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1122 | PA      | $1088.47      | 0.00%             | 2027-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31281BHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115417 | PA      | $115582.22    | 0.05%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202K2M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2137 | PA      | $2083.90      | 0.00%             | 2026-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                | Vibrant CLO VI Ltd.                                                         | CUSIP: 92558EAJ1<br>LEI: 549300WOQQ4NNX4VIU97 | Long             | ABS-CBDO         | CORP              | KY        |    969850 | PA      | $961613.69    | 0.43%             | 2029-06-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QNL42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389551 | PA      | $342320.94    | 0.15%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-1734.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128MJCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10064 | PA      | $10318.29     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138ECVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12938 | PA      | $12482.30     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                         | CHL Mortgage Pass-Through Trust                                             | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24167 | PA      | $10448.88     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36291FN46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21805 | PA      | $20285.79     | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EQM58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101469 | PA      | $106103.06    | 0.05%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138X2Q23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275326 | PA      | $274358.25    | 0.12%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138M1X60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       343 | PA      | $333.34       | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617GQJU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43145 | PA      | $42550.52     | 0.02%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136AS6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296035 | PA      | $36076.42     | 0.02%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                    | Swap                                                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  27000000 | OU      | $1649853.90   | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418T2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       922 | PA      | $906.20       | 0.00%             | 2025-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates          | Countrywide Asset-Backed Certificates                                       | CUSIP: 1266713Y0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66074 | PA      | $62701.28     | 0.03%             | 2034-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates          | Countrywide Asset-Backed Certificates Trust                                 | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72226 | PA      | $70539.42     | 0.03%             | 2034-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FXJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661172 | PA      | $609351.54    | 0.27%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-4700.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QDFB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306079 | PA      | $291246.50    | 0.13%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H4Y65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248124 | PA      | $236906.29    | 0.11%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132A9TV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240588 | PA      | $228460.34    | 0.10%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2500000 | NC      | $-12205.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H6DW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178612 | PA      | $172678.01    | 0.08%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418MRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149584 | PA      | $156423.84    | 0.07%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QKVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1223869 | PA      | $1117599.20   | 0.50%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38380AUU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33177 | PA      | $5728.71      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1751376.00  | -0.78%            | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36296DNB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2446 | PA      | $2732.40      | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128MJ2X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140238 | PA      | $137745.42    | 0.06%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                 | BCAP LLC Trust                                                              | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59255 | PA      | $46822.70     | 0.02%             | 2037-03-26      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                 | Adjustable Rate Mortgage Trust                                              | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285335 | PA      | $221393.66    | 0.10%             | 2035-11-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KZK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9072 | PA      | $8850.88      | 0.00%             | 2026-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XGD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129562 | PA      | $118343.60    | 0.05%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136ARNQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380832 | PA      | $50154.94     | 0.02%             | 2046-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WFUB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12756 | PA      | $12330.03     | 0.01%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617ACHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269370 | PA      | $265617.72    | 0.12%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31412N6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3984 | PA      | $4047.62      | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pepper Residential Securities Trust            | Pepper Residential Securities Trust No. 22                                  | CUSIP: 71338AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    241456 | PA      | $241032.49    | 0.11%             | 2060-06-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KNX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530093 | PA      | $465102.91    | 0.21%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140JHBA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268613 | PA      | $259687.77    | 0.12%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 31358UDP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       113 | PA      | $112.40       | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132GDS94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25514 | PA      | $26395.93     | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21900000 | PA      | $21626994.60  | 9.69%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp            | JP Morgan Mortgage Acquisition Trust                                        | CUSIP: 46628RAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1986 | PA      | $2053.20      | 0.00%             | 2036-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140E6M74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23088 | PA      | $21925.38     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -1000000 | NC      | $-309.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Option                                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -1500000 | NC      | $-18836.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138ELXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220760 | PA      | $234835.74    | 0.11%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -3500000 | NC      | $-27444.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                       | Swaption                                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |    600000 | NC      | $7570.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137ASGB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1065685 | PA      | $132666.59    | 0.06%             | 2042-07-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BFTQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100678 | PA      | $102848.42    | 0.05%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-49906.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132GE7M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17766 | PA      | $18380.42     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                         | U.S. Treasury Bills                                                         | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    122000 | PA      | $121599.52    | 0.05%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31412Q7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1700 | PA      | $1726.55      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202D2U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81324 | PA      | $84059.06     | 0.04%             | 2033-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CCCSNTUS5 FWBC CS                              | Cccsntus5 Fwbc Cs                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -130000 | NS      | $-130000.00   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                      | Uniform Mortgage-Backed Security, TBA                                       | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  29250000 | PA      | $25629552.00  | 11.48%            | 2053-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |   -800000 | NC      | $-4151.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Money Management Corporation          | AMMC CLO 16 Ltd.                                                            | CUSIP: 00176JAT3<br>LEI: 549300I1YCI83LUUYL82 | Long             | ABS-CBDO         | CORP              | KY        |    730304 | PA      | $727505.15    | 0.33%             | 2029-04-14      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G7N35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42662 | PA      | $42073.95     | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202DJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       792 | PA      | $811.51       | 0.00%             | 2030-09-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36225CNZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24487 | PA      | $24057.39     | 0.01%             | 2030-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133KHLP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286769 | PA      | $272522.91    | 0.12%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31406MJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13540 | PA      | $13584.88     | 0.01%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B9M76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103092 | PA      | $90436.64     | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31418CU85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5662 | PA      | $5555.72      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31419ADH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19495 | PA      | $20738.30     | 0.01%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241LJF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93705 | PA      | $97814.66     | 0.04%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                          | Option                                                                      | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2500000 | NC      | $-512.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31300LYH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551502 | PA      | $550495.56    | 0.25%             | 2039-10-01      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617KDJ99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32089 | PA      | $31438.03     | 0.01%             | 2049-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136BLEX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4070773 | PA      | $86061.43     | 0.04%             | 2052-02-25      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| Gallatin Loan Management, LLC                  | Gallatin CLO VIII Ltd.                                                      | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1379152.60   | 0.62%             | 2031-07-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XECC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6491886 | PA      | $6263009.62   | 2.80%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2524 | PA      | $2503.23      | 0.00%             | 2065-10-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 01N040629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1941560.00   | 0.87%             | 2053-02-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128LBU97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5190 | PA      | $5433.61      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust    | Bear Stearns ARM Trust                                                      | CUSIP: 07384MM25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20980 | PA      | $19012.80     | 0.01%             | 2034-05-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                               | Federal Home Loan Mortgage Corp. Strips                                     | CUSIP: 31351DDT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207155 | PA      | $202319.66    | 0.09%             | 2037-10-15      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31417JSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1840 | PA      | $1869.31      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138W9GT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       248 | PA      | $240.72       | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3133B6YF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134687 | PA      | $122399.13    | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617B8LV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98973 | PA      | $95209.87     | 0.04%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138WTST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43542 | PA      | $43389.20     | 0.02%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132XWE64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261607 | PA      | $256957.34    | 0.12%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030329 | PA      | $1022574.20   | 0.46%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1600000 | NC      | $-18178.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128K66P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67599 | PA      | $69305.46     | 0.03%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38379QFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323052 | PA      | $212765.77    | 0.10%             | 2045-09-20      | Floating      | 0.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                         | CHL Mortgage Pass-Through Trust                                             | CUSIP: 12669DC89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3149 | PA      | $2731.09      | 0.00%             | 2033-05-19      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31295KAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25150 | PA      | $24784.77     | 0.01%             | 2027-11-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                        | Option                                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-5606.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                               | Swaption                                                                    | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   3000000 | NC      | $19173.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -1500000 | NC      | $-87.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                 | Option                                                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |  -3000000 | NC      | $-2613.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179QRQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55554 | PA      | $55887.77     | 0.03%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140M7QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56033 | PA      | $51032.71     | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137BAGM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52464 | PA      | $1423.97      | 0.00%             | 2036-08-15      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                | Federal National Mortgage Association Interest Strip                        | CUSIP: 31395QLQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477255 | PA      | $69850.59     | 0.03%             | 2042-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    473543 | PA      | $444180.19    | 0.20%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G8U84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43463 | PA      | $42864.39     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                           | Swaption                                                                    | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   1300000 | NC      | $1598.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128KMUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7249 | PA      | $7587.79      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                   | Morgan Stanley Re-REMIC Trust                                               | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106280 | PA      | $96184.96     | 0.04%             | 2037-02-26      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617G9E72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49288 | PA      | $48608.29     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140QKGJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2698299 | PA      | $2465676.62   | 1.10%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202D3G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42470 | PA      | $43898.54     | 0.02%             | 2034-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FEGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76229 | PA      | $71198.80     | 0.03%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3131XDG82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261114 | PA      | $252419.92    | 0.11%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3138EQNF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8766 | PA      | $8468.71      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140J8LH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472510 | PA      | $471344.41    | 0.21%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XGPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165017 | PA      | $144787.27    | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3620A7NX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3729 | PA      | $3922.63      | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617BRBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117065 | PA      | $112613.48    | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31414GGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40603 | PA      | $43722.54     | 0.02%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 31288JU61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98889 | PA      | $102727.92    | 0.05%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 31398QB71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    535596 | PA      | $541624.16    | 0.24%             | 2036-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CCBCYCUS6 CCPC BARC COC                        | Collateral Position                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    371000 | NS      | $371000.00    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132DV6G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373727 | PA      | $374175.97    | 0.17%             | 2050-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128HDP52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5848 | PA      | $5759.48      | 0.00%             | 2024-07-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128K5W65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26995 | PA      | $27629.03     | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140FTWA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77884 | PA      | $76477.92     | 0.03%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC           | PRET LLC                                                                    | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1406220 | PA      | $1321993.86   | 0.59%             | 2051-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132XW4M0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17577 | PA      | $17264.93     | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140GYK57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220082 | PA      | $212675.07    | 0.10%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3132HBXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88784 | PA      | $87902.24     | 0.04%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31410LFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350640 | PA      | $359058.79    | 0.16%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 3617GLMB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27455 | PA      | $27076.78     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150238 | PA      | $151094.81    | 0.07%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36202KRM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1022 | PA      | $1001.73      | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36179NTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97930 | PA      | $91759.62     | 0.04%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp. REMICS                                     | CUSIP: 3137BGLL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129131 | PA      | $5484.65      | 0.00%             | 2038-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36296B6S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53769 | PA      | $57065.36     | 0.03%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 31390XQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21462 | PA      | $22217.43     | 0.01%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                    | CUSIP: 36241KXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       732 | PA      | $774.97       | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128HDP60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2971 | PA      | $2932.45      | 0.00%             | 2029-04-01      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association REMICS                             | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1673627 | PA      | $1650831.51   | 0.74%             | 2065-09-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -450000 | PA      | $-437272.65   | -0.20%            | 2053-02-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M9AH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42711 | PA      | $44711.70     | 0.02%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140XBHT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799659 | PA      | $730719.92    | 0.33%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association REMICS                                | CUSIP: 3136BBW32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12282249 | PA      | $673465.18    | 0.30%             | 2050-10-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association, TBA                               | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -4990000 | PA      | $-4954291.56  | -2.22%            | 2053-02-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Federal National Mortgage Association                                       | CUSIP: 3140H8ZE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31570 | PA      | $31317.45     | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Federal Home Loan Mortgage Corp.                                            | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1307311 | PA      | $1308704.84   | 0.59%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** PACE SELECT ADVISORS TRUST

**Signature:** Joanne Kilkeary

**Name of Signer:** Joanne Kilkeary

**Title:** Vice President and Treasurer