# EDGAR Filing Document

**Accession Number:** 0000892071
**File Stem:** 0001410368-25-040849
**Filing Date:** 2025-12
**Character Count:** 219114
**Document Hash:** c7230c180bb210ffdd860cf5875e16bd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-040849.hdr.sgml**: 20251222

**ACCESSION NUMBER**: 0001410368-25-040849

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251222

**DATE AS OF CHANGE**: 20251222

**PERIOD START**: 20251031

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07170
- **FILM NUMBER:** 251591504

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90071

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-10-31

**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:** $2280249276.44

**Total Liabilities:** $471085918.31

**Net Assets:** $1809163358.13

**Delayed Delivery Securities:** $1701000.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -437.37000000 | **1-Year:** -16959.42000000 | **5-Year:** -54608.87000000 | **10-Year:** -18588.45000000 | **30-Year:** -647.46000000

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

- **3-Month:** -2546.07000000 | **1-Year:** -38522.85000000 | **5-Year:** -72670.58000000 | **10-Year:** -40460.47000000 | **30-Year:** -6012.19000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017410 | 1.62%                | 1.19%                | 0.92%                |
| Class ID C000017411 | 1.57%                | 1.15%                | 0.89%                |
| Class ID C000218394 | 1.62%                | 1.19%                | 0.93%                |
| Class ID C000263823 | 0.40%                | 1.13%                | 0.93%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3826661.85              | $22051965.58                               |
| Month 2  | $8427597.39              | $3796259.18                                |
| Month 3  | $411010.92               | $8089113.51                                |

**Designated Index Information**

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

- **Index Identifier:** LBUSSTAT

### Schedule of Portfolio Investments

| Name                                                             | Title                                                                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACRE Multifamily Housing Mortgage Loan Trust                     | ACRE Multifamily Housing Mortgage Loan Trust 2022-Q018                         | CUSIP: 00091WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4320149 | PA      | $4313254.52   | 0.24%             | 2027-06-25      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| Aimco                                                            | AIMCO CLO 24 Ltd                                                               | CUSIP: 00092QAE1<br>LEI: 254900THVAKUZYK59M09 | Long             | ABS-CBDO         | CORP              | KY        |   4200000 | PA      | $3284807.40   | 0.18%             | 2038-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                             | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                   | CUSIP: 00442JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10081140 | PA      | $4109442.67   | 0.23%             | 2037-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                             | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                   | CUSIP: 00442JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5418506 | PA      | $2208633.32   | 0.12%             | 2037-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ALLO Issuer, LLC                                                 | ALLO Issuer LLC                                                                | CUSIP: 01983KAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6065000 | PA      | $6431219.26   | 0.36%             | 2053-06-20      | Fixed         | 12.18%                | No            |                  2 | On Loan: No      |
| ALLO Issuer, LLC                                                 | ALLO Issuer LLC                                                                | CUSIP: 01983KAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1381200 | PA      | $1479901.38   | 0.08%             | 2054-07-20      | Fixed         | 11.19%                | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0206B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  49000000 | PA      | $39782683.50  | 2.20%             | 2055-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $3906246.40   | 0.22%             | 2055-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20725000 | PA      | $19092522.84  | 1.06%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10250000 | PA      | $9726537.63   | 0.54%             | 2055-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9375000 | PA      | $9140118.75   | 0.51%             | 2055-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9925000 | PA      | $9876729.76   | 0.55%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                        | Uniform Mortgage-Backed Security, TBA                                          | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27425000 | PA      | $27711591.25  | 1.53%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2007-19                                                 | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10964709 | PA      | $5126808.30   | 0.28%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Credit Funding Ltd.                                    | Anchorage Credit Funding 19 Ltd                                                | CUSIP: 03331VAE5<br>LEI: 636700NIUPSXWN2YAM51 | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2204710.20   | 0.12%             | 2040-10-25      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                                   | Apidos CLO XI                                                                  | CUSIP: 03764EAC3<br>LEI: 549300XIP4V1NMCICV93 | Long             | ABS-CBDO         | CORP              | KY        |  11000000 | PA      | $2337687.00   | 0.13%             | 2034-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd                  | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                         | CUSIP: 03880RAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11800000 | PA      | $11802403.07  | 0.65%             | 2036-11-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                           | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3    | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7603398 | PA      | $6829372.84   | 0.38%             | 2035-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                           | Argent Securities Trust 2006-W4                                                | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16015309 | PA      | $3839026.52   | 0.21%             | 2036-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                | ABFC 2007-WMC1 Trust                                                           | CUSIP: 04545EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8209559 | PA      | $7002906.73   | 0.39%             | 2037-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                         | Avis Budget Rental Car Funding AESOP LLC                                       | CUSIP: 05377REL4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9874865.00   | 0.55%             | 2027-08-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                         | Avis Budget Rental Car Funding AESOP LLC 2021                                  | CUSIP: 05377REU4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2825000 | PA      | $2764815.64   | 0.15%             | 2028-02-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                         | Avis Budget Rental Car Funding AESOP LLC 2023                                  | CUSIP: 05377RJW5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8139369.60   | 0.45%             | 2028-08-21      | Fixed         | 7.31%                 | No            |                  2 | On Loan: No      |
| BGME Trust                                                       | BGME Trust 2021-VR                                                             | CUSIP: 05551XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2512793.73   | 0.14%             | 2043-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS Mortgage Trust 2024-5C25                                                 | CUSIP: 05554VAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5625000 | PA      | $5772523.50   | 0.32%             | 2057-03-15      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS Mortgage Trust 2024-C26                                                  | CUSIP: 05555AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6003000 | PA      | $6412737.77   | 0.35%             | 2057-05-15      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS Mortgage Trust 2024-5C27                                                 | CUSIP: 05555FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4725000 | PA      | $4964637.35   | 0.27%             | 2057-07-15      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS Mortgage Trust 2024-5C27                                                 | CUSIP: 05555FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4565000 | PA      | $4787844.13   | 0.26%             | 2057-07-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS Mortgage Trust 2024-5C29                                                 | CUSIP: 05555PAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3074749.80   | 0.17%             | 2057-09-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                                 | BBAM US CLO VI Ltd                                                             | CUSIP: 05556VAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1736200.00   | 0.10%             | 2039-01-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| BPR Trust                                                        | BPR Trust 2021-WILL                                                            | CUSIP: 05591VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4299603 | PA      | $4321688.45   | 0.24%             | 2038-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                        | BPR Trust 2024-PMDW                                                            | CUSIP: 05592VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3980000 | PA      | $3933250.92   | 0.22%             | 2041-11-05      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                               | BMO 2024-C8 Mortgage Trust                                                     | CUSIP: 05593HAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4011000 | PA      | $4233794.60   | 0.23%             | 2057-03-15      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                               | BMO 2024-5C6 Mortgage Trust                                                    | CUSIP: 05593QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2330000 | PA      | $2391638.75   | 0.13%             | 2057-09-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                               | BX Trust 2019-OC11                                                             | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1196000 | PA      | $1142175.34   | 0.06%             | 2041-12-09      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                               | BX Trust 2019-OC11                                                             | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080000 | PA      | $1032044.33   | 0.06%             | 2041-12-09      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                               | BX Trust 2019-OC11                                                             | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4603311.00   | 0.25%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-3 Trust                                           | CUSIP: 058931AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137326 | PA      | $117929.50    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-3 Trust                                           | CUSIP: 058931BF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870160 | PA      | $797853.21    | 0.04%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-D Trust                                           | CUSIP: 058933AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39275 | PA      | $36564.58     | 0.00%             | 2036-05-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2006-D Trust                                           | CUSIP: 058933AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070577 | PA      | $956896.32    | 0.05%             | 2036-05-20      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                              | Banc of America Funding 2004-B Trust                                           | CUSIP: 05946XJB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129924 | PA      | $105267.44    | 0.01%             | 2034-12-20      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank                                                             | BANK 2020-BNK25                                                                | CUSIP: 06539WBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4055000 | PA      | $3538644.41   | 0.20%             | 2063-01-15      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII                              | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                              | CUSIP: 07336PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3159520 | PA      | $3196015.64   | 0.18%             | 2047-06-25      | Floating      | 8.36%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                      | BBCMS Mortgage Trust 2024-C24                                                  | CUSIP: 07336VAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $6322615.20   | 0.35%             | 2057-02-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2004-12                                                 | CUSIP: 07384M6F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165674 | PA      | $157029.00    | 0.01%             | 2035-02-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                         | Bear Stearns ALT-A Trust 2005-2                                                | CUSIP: 07386HRA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       714 | PA      | $648.77       | 0.00%             | 2035-04-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                         | Bear Stearns ALT-A Trust 2005-4                                                | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119957 | PA      | $1073351.97   | 0.06%             | 2035-05-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                         | Bear Stearns ALT-A Trust 2006-4                                                | CUSIP: 073871BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278046 | PA      | $114926.92    | 0.01%             | 2036-07-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2005-AC6                          | CUSIP: 073879L55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587768 | PA      | $569409.48    | 0.03%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                       | Bear Stearns Asset Backed Securities I Trust 2005-AC6                          | CUSIP: 073879L63<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256747 | PA      | $1217596.27   | 0.07%             | 2035-09-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2005-10                                                 | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939467 | PA      | $937063.60    | 0.05%             | 2035-10-25      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2007-1                                                  | CUSIP: 073880AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80746 | PA      | $69854.46     | 0.00%             | 2047-02-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                      | Bear Stearns ARM Trust 2006-2                                                  | CUSIP: 07388DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505020 | PA      | $435171.08    | 0.02%             | 2036-07-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                              | Bear Stearns Mortgage Funding Trust 2006-AR3                                   | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219754 | PA      | $195421.09    | 0.01%             | 2036-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                              | Bear Stearns Mortgage Funding Trust 2006-AR1                                   | CUSIP: 07401LAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7305896 | PA      | $7003159.99   | 0.39%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2019-B13 Mortgage Trust                                              | CUSIP: 08162DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4608474.50   | 0.25%             | 2057-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2019-B14 Mortgage Trust                                              | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8734000 | PA      | $275212.71    | 0.02%             | 2062-12-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2019-B14 Mortgage Trust                                              | CUSIP: 08162YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20303000 | PA      | $213394.68    | 0.01%             | 2062-12-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                         | Benchmark 2024-V10 Mortgage Trust                                              | CUSIP: 08163UAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4694000 | PA      | $4833471.88   | 0.27%             | 2057-09-15      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Blue Stream Issuer, LLC                                          | Blue Stream Issuer LLC                                                         | CUSIP: 09606BAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2560202.00   | 0.14%             | 2053-05-20      | Fixed         | 8.90%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                               | BMO 2024-5C3 Mortgage Trust                                                    | CUSIP: 09660QAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4540000 | PA      | $4728531.67   | 0.26%             | 2057-02-15      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS 2006-CB9 TRUST                                                          | CUSIP: 12465MAD6<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |  10838167 | PA      | $4973989.33   | 0.27%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                                   | CAMB Commercial Mortgage Trust 2021-CX2                                        | CUSIP: 12477BAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4109769.50   | 0.23%             | 2046-11-10      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS Mortgage Loan Trust 2007-CB2                                            | CUSIP: 1248MBAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1944788 | PA      | $1135897.54   | 0.06%             | 2037-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | C-BASS Mortgage Loan Trust 2007-CB2                                            | CUSIP: 1248MBAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6689696 | PA      | $3907268.72   | 0.22%             | 2037-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-HY5                                       | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3178 | PA      | $2485.11      | 0.00%             | 2047-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2020-R1                                                              | CUSIP: 12558VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14546570 | PA      | $13552713.26  | 0.75%             | 2059-10-27      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2020-R3                                                              | CUSIP: 12559NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9125566 | PA      | $8846284.26   | 0.49%             | 2060-01-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2019-R3                                                              | CUSIP: 12559PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6806543 | PA      | $6432382.04   | 0.36%             | 2058-06-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2020-R6                                                              | CUSIP: 12560YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8230670 | PA      | $7608272.43   | 0.42%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2020-R7                                                              | CUSIP: 12563GAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12647287 | PA      | $11756324.58  | 0.65%             | 2061-12-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2021-R3                                                              | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8683535 | PA      | $8099500.11   | 0.45%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan Trust                              | CitiMortgage Alternative Loan Trust Series 2007-A5                             | CUSIP: 12566WAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6302886 | PA      | $5840580.93   | 0.32%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                 | CIFC Funding 2022-II Ltd                                                       | CUSIP: 12567VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3300000 | PA      | $2190744.60   | 0.12%             | 2035-04-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2023-R1                                                              | CUSIP: 12569RAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6068081 | PA      | $6050609.28   | 0.33%             | 2062-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                        | CIM Trust 2023-R1                                                              | CUSIP: 12569RAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13400000 | PA      | $11962009.82  | 0.66%             | 2062-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC Mortgage-Backed Trust 2006-9                                              | CUSIP: 126380AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64637 | PA      | $0.65         | 0.00%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                              | COMM 2020-CX Mortgage Trust                                                    | CUSIP: 12656KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5112570.60   | 0.28%             | 2046-11-10      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                                         | CSMCM 2021-RPL11 Trust                                                         | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    477036 | PA      | $377000.08    | 0.02%             | 2061-10-27      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-B33                                                                  | CUSIP: 12658WAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   5140000 | PA      | $4626210.74   | 0.26%             | 2043-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-RPL11 Trust                                                          | CUSIP: 12659AAD8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   9672398 | PA      | $518973.97    | 0.03%             | 2061-10-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-RPL11 Trust                                                          | CUSIP: 12659AAF3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2334236 | PA      | $1222926.53   | 0.07%             | 2061-10-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-BPNY                                                                 | CUSIP: 12659XAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   8379925 | PA      | $8002761.74   | 0.44%             | 2026-08-15      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2022-RPL1 Trust                                                           | CUSIP: 12661QAD9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   8452459 | PA      | $87005.81     | 0.00%             | 2061-04-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2022-RPL1 Trust                                                           | CUSIP: 12661QAF4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2092563 | PA      | $1289039.99   | 0.07%             | 2061-04-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                                         | CSMCM 2022-RPL1 Trust                                                          | CUSIP: 12662JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445362 | PA      | $378391.51    | 0.02%             | 2061-04-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                               | Alternative Loan Trust 2005-84                                                 | CUSIP: 12668BAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71470 | PA      | $61910.47     | 0.00%             | 2036-02-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2005-HYB5                                      | CUSIP: 12669G6K2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6982 | PA      | $6088.28      | 0.00%             | 2035-09-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2021-N3                                         | CUSIP: 14687GAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25650 | PA      | $1771352.73   | 0.10%             | 2028-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust 2023-P1                                         | CUSIP: 14688EAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2950 | PA      | $198251.66    | 0.01%             | 2030-03-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                               | Chase Mortgage Finance Trust Series 2007-A1                                    | CUSIP: 161630AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795506 | PA      | $782225.61    | 0.04%             | 2037-02-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                               | Chase Mortgage Finance Trust Series 2006-A1                                    | CUSIP: 16163CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240947 | PA      | $215619.15    | 0.01%             | 2036-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                  | ChaseFlex Trust Series 2005-1                                                  | CUSIP: 16165TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1965944 | PA      | $1317127.72   | 0.07%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                                    | CHI Commercial Mortgage Trust 2025-SFT                                         | CUSIP: 16706GAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4602526.65   | 0.25%             | 2042-04-15      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | Citigroup Commercial Mortgage Trust 2018-C5                                    | CUSIP: 17291DAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5599188 | PA      | $5525288.24   | 0.31%             | 2051-06-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2006-AR5                                         | CUSIP: 17309FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415263 | PA      | $1023452.34   | 0.06%             | 2036-07-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                | Citigroup Mortgage Loan Trust 2007-12                                          | CUSIP: 17314CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2134353 | PA      | $1074521.63   | 0.06%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                              | Citigroup Commercial Mortgage Trust 2020-555                                   | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9400000 | PA      | $8558436.80   | 0.47%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Cologix Data Centers Issuer LLC                                  | Cologix Data Centers US Issuer LLC                                             | CUSIP: 19521UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3909663.60   | 0.22%             | 2051-12-26      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                       | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4760000 | PA      | $4958419.65   | 0.27%             | 2041-12-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                       | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3005000 | PA      | $3148074.66   | 0.17%             | 2041-12-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                 | Fannie Mae Connecticut Avenue Securities                                       | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5900000 | PA      | $6136413.00   | 0.34%             | 2041-10-25      | Floating      | 10.18%                | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                            | Conseco Finance Securitizations Corp                                           | CUSIP: 20846QDU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  45277023 | PA      | $5745894.15   | 0.32%             | 2032-05-01      | Fixed         | 7.97%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC, Fidium Fiber Finance Holdco LLC | Consolidated Communications LLC/Fidium Fiber Finance Holdco LLC                | CUSIP: 209031AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6010000 | PA      | $6295765.88   | 0.35%             | 2055-05-20      | Fixed         | 9.41%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                                    | Corevest American Finance 2020-1 Trust                                         | CUSIP: 21872UAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8049023 | PA      | $283352.17    | 0.02%             | 2050-03-15      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                                    | Corevest American Finance 2020-1 Trust                                         | CUSIP: 21872UAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38948500 | PA      | $2427289.99   | 0.13%             | 2050-03-15      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                                    | Corevest American Finance 2020-4 Trust                                         | CUSIP: 21873AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2201634 | PA      | $4497.72      | 0.00%             | 2052-12-15      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                                    | Corevest American Finance 2020-4 Trust                                         | CUSIP: 21873AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27500000 | PA      | $1330199.75   | 0.07%             | 2052-12-15      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                                    | Corevest American Finance 2021-1 Trust                                         | CUSIP: 21873LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  38991089 | PA      | $534314.38    | 0.03%             | 2053-04-15      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H0206B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13675000 | PA      | $11373374.43  | 0.63%             | 2055-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H0226B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  34000000 | PA      | $29446074.00  | 1.63%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H0326B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  79750000 | PA      | $72998803.63  | 4.03%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H0406B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36200000 | PA      | $34230285.60  | 1.89%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16125000 | PA      | $15734452.50  | 0.87%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  45275000 | PA      | $45132700.68  | 2.49%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae                                                                     | CUSIP: 21H0526B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31500000 | PA      | $31765545.00  | 1.76%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                           | CHL Mortgage Pass-Through Trust 2007-HYB1                                      | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25330 | PA      | $21241.44     | 0.00%             | 2037-03-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                   | Credit Suisse First Boston Mortgage Securities Corp                            | CUSIP: 225470RS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6004288 | PA      | $1306972.63   | 0.07%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                             | Cross 2024-H8 Mortgage Trust                                                   | CUSIP: 22757GAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3226000 | PA      | $3223471.46   | 0.18%             | 2069-12-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC Mortgage-Backed Trust 2006-8                                              | CUSIP: 22942MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607619 | PA      | $143860.28    | 0.01%             | 2021-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                     | CSMC 2021-NQM5 Trust                                                           | CUSIP: 22946DAA0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3454819 | PA      | $2943737.28   | 0.16%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                              | DBGS 2018-C1 Mortgage Trust                                                    | CUSIP: 23307DBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5136000 | PA      | $4958925.10   | 0.27%             | 2051-10-15      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                         | DSLA Mortgage Loan Trust 2005-AR6                                              | CUSIP: 23332UFV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1410131 | PA      | $1319103.59   | 0.07%             | 2045-10-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                         | DSLA Mortgage Loan Trust 2007-AR1                                              | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3440132 | PA      | $2898625.97   | 0.16%             | 2037-03-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                                       | DOLP Trust 2021-NYC                                                            | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14175000 | PA      | $12693539.57  | 0.70%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6                  | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123210 | PA      | $108518.40    | 0.01%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                      | PURCHASED USD / SOLD GBP                                                       | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $228298.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EdgeConneX Data Centers Issuer, LLC                              | Edgeconnex Data Centers Issuer LLC                                             | CUSIP: 28000XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6597500 | PA      | $6427364.33   | 0.36%             | 2052-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                      | Extended Stay America Trust 2025-ESH                                           | CUSIP: 30227TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5385000 | PA      | $5435922.71   | 0.30%             | 2042-10-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                             | FREMF 2017-KW03 Mortgage Trust                                                 | CUSIP: 30302YAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $3854386.80   | 0.21%             | 2027-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                         | FHF Issuer Trust 2025-1                                                        | CUSIP: 30340RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2615772 | PA      | $2602960.93   | 0.14%             | 2031-02-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31281LCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1056815 | PA      | $1099162.81   | 0.06%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128C6QB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    876926 | PA      | $894512.62    | 0.05%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 3128HX4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7094362 | PA      | $6568235.85   | 0.36%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128LXE89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34204 | PA      | $34940.02     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715343 | PA      | $1740892.94   | 0.10%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291813 | PA      | $295907.55    | 0.02%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1157226 | PA      | $1147334.10   | 0.06%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ5K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1977398 | PA      | $2005145.06   | 0.11%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    788786 | PA      | $718591.90    | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 312939JF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6524814 | PA      | $6676021.42   | 0.37%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 312940NL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1813250 | PA      | $1872192.75   | 0.10%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 31325YB98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 126321392 | PA      | $16806351.22  | 0.93%             | 2051-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 31325YRU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4542250 | PA      | $687164.91    | 0.04%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132ADUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6299043 | PA      | $5933456.50   | 0.33%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DVK20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11210186 | PA      | $10471441.23  | 0.58%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12688694 | PA      | $10865723.12  | 0.60%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWC76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2329367 | PA      | $1987851.07   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10586003 | PA      | $9037000.53   | 0.50%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13823793 | PA      | $12302262.54  | 0.68%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWEK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5255156 | PA      | $5150071.60   | 0.28%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22641909 | PA      | $21591173.47  | 1.19%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15841155 | PA      | $15521937.22  | 0.86%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5646885 | PA      | $5334339.31   | 0.29%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20896541 | PA      | $20294177.15  | 1.12%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2552287 | PA      | $2427936.70   | 0.13%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Gold Pool                                                          | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18237497 | PA      | $17348162.36  | 0.96%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3133B5AN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5091727 | PA      | $4153547.94   | 0.23%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10182513 | PA      | $8306328.26   | 0.46%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 3133C0U26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16530477 | PA      | $16261549.57  | 0.90%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 3133Q5E51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  82169645 | PA      | $10561864.25  | 0.58%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A2N58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10090989 | PA      | $1255705.56   | 0.07%             | 2041-12-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A3GC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2063216 | PA      | $2022291.96   | 0.11%             | 2042-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A4LJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2957706 | PA      | $2815321.95   | 0.16%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A4Y78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1925851.08   | 0.11%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136A9VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11738000 | PA      | $10555186.04  | 0.58%             | 2042-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AGZD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5371557 | PA      | $3837080.29   | 0.21%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AGZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2408530 | PA      | $1713820.16   | 0.09%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136AP3S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1711957 | PA      | $1530821.49   | 0.08%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B2JS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1193479 | PA      | $1137086.73   | 0.06%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B2YN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1432346.69   | 0.08%             | 2048-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136B6QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5881576 | PA      | $5109562.24   | 0.28%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BQFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 128226778 | PA      | $16473486.53  | 0.91%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BTLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43159942 | PA      | $2366557.57   | 0.13%             | 2054-07-25      | Floating      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BWAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32756786 | PA      | $1768539.21   | 0.10%             | 2055-06-25      | Floating      | 1.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BWGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2663341 | PA      | $2588595.47   | 0.14%             | 2055-02-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 3136BWYQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5706916 | PA      | $5348782.37   | 0.30%             | 2055-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31374CLN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350046 | PA      | $370978.24    | 0.02%             | 2047-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137A5Q23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2518571 | PA      | $268729.64    | 0.01%             | 2041-01-15      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137ABTX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    517488 | PA      | $468943.54    | 0.03%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137APLC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1010010 | PA      | $116041.69    | 0.01%             | 2042-04-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137AWC29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4212824 | PA      | $3868215.99   | 0.21%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BBQD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15700346 | PA      | $15202592.79  | 0.84%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BFXV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1876076 | PA      | $18.76        | 0.00%             | 2043-01-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BHXL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746581 | PA      | $7.47         | 0.00%             | 2043-04-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                 | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137BJP80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3583633 | PA      | $35.84        | 0.00%             | 2043-04-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137BRNR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1870015 | PA      | $1762434.53   | 0.10%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137F3P99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5863328 | PA      | $5571476.04   | 0.31%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137FMLW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903169 | PA      | $831826.02    | 0.05%             | 2049-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H6ZG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16601979 | PA      | $13148877.44  | 0.73%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7268038 | PA      | $6762425.56   | 0.37%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HJ2B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8341044 | PA      | $686115.45    | 0.04%             | 2055-01-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLK35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2682746 | PA      | $2645866.02   | 0.15%             | 2055-06-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLMB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2713563 | PA      | $2652223.68   | 0.15%             | 2055-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLPB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8272972 | PA      | $496152.19    | 0.03%             | 2055-06-25      | Floating      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLT85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2701551 | PA      | $2646774.06   | 0.15%             | 2055-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HLVW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2764316 | PA      | $2701097.69   | 0.15%             | 2055-06-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HMHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6038338 | PA      | $5778610.54   | 0.32%             | 2055-08-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 3137HMVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7283920 | PA      | $738474.59    | 0.04%             | 2055-09-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31385XAZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790192 | PA      | $814318.91    | 0.05%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4788321 | PA      | $4522555.75   | 0.25%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3138WKQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    534227 | PA      | $515918.64    | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31394AES1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191501 | PA      | $18000.90     | 0.00%             | 2034-07-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31394GM91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354103 | PA      | $290769.17    | 0.02%             | 2033-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396P2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391550 | PA      | $23577.50     | 0.00%             | 2037-03-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396P3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221321 | PA      | $12462.95     | 0.00%             | 2037-03-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396QGH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218388 | PA      | $20959.17     | 0.00%             | 2039-07-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396QJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1158888 | PA      | $124977.47    | 0.01%             | 2039-07-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396QN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179442 | PA      | $18430.74     | 0.00%             | 2039-09-25      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31396RH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1572756 | PA      | $1296144.84   | 0.07%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396V4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1755261 | PA      | $194941.26    | 0.01%             | 2037-06-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396WBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406201 | PA      | $22745.90     | 0.00%             | 2037-06-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396WC79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201911 | PA      | $16798.15     | 0.00%             | 2037-07-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396XR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1809772 | PA      | $159616.84    | 0.01%             | 2037-03-25      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396Y3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110711 | PA      | $42449.18     | 0.00%             | 2038-04-25      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396YCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1591230 | PA      | $119579.66    | 0.01%             | 2037-05-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31396YWD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1617258 | PA      | $114898.32    | 0.01%             | 2038-03-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31397H3U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140337 | PA      | $8294.24      | 0.00%             | 2037-05-15      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397LRC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191957 | PA      | $4132.50      | 0.00%             | 2038-05-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397M4X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306383 | PA      | $4856.13      | 0.00%             | 2039-02-25      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397MEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3472292 | PA      | $290872.91    | 0.02%             | 2038-08-25      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397MJZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1107196 | PA      | $66606.79     | 0.00%             | 2038-08-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae REMICS                                                              | CUSIP: 31397MZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412984 | PA      | $26776.19     | 0.00%             | 2037-06-25      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31397P2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    913888 | PA      | $82567.08     | 0.00%             | 2037-10-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31397R2G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1371736 | PA      | $129774.18    | 0.01%             | 2038-02-15      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31397T3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1327694 | PA      | $148909.45    | 0.01%             | 2038-04-15      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31398C5B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107393 | PA      | $5278.71      | 0.00%             | 2037-07-15      | Floating      | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31398CVV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1886667 | PA      | $192751.71    | 0.01%             | 2039-05-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31398E5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    850838 | PA      | $98642.79     | 0.01%             | 2039-06-15      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac REMICS                                                             | CUSIP: 31398EX74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1805540 | PA      | $199777.09    | 0.01%             | 2039-07-15      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31402N2R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111814 | PA      | $115221.50    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140JAUD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4818951 | PA      | $4586878.37   | 0.25%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18428027 | PA      | $15050061.07  | 0.83%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140KSZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14157102 | PA      | $11552145.19  | 0.64%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140M83L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9533829 | PA      | $8141951.05   | 0.45%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140MHSH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13732288 | PA      | $11722903.33  | 0.65%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140MHSS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8163956 | PA      | $6659701.94   | 0.37%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140MMTT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11639626 | PA      | $9943920.80   | 0.55%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140MNMH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16189017 | PA      | $14409037.48  | 0.80%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140MNMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11955099 | PA      | $10640637.44  | 0.59%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140MNN93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13114810 | PA      | $11671314.80  | 0.65%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140N26Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15641067 | PA      | $15314373.44  | 0.85%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140NBQE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4603183 | PA      | $4606457.11   | 0.25%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4121169 | PA      | $4081428.08   | 0.23%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3753799 | PA      | $3717601.26   | 0.21%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q8WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8707545 | PA      | $8446806.94   | 0.47%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3896979 | PA      | $3859400.41   | 0.21%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140QKVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13972555 | PA      | $12066540.20  | 0.67%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140QNQD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37567208 | PA      | $30689691.32  | 1.70%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140W0WU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10504070 | PA      | $10280519.15  | 0.57%             | 2054-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140X5S87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2894316 | PA      | $2754930.65   | 0.15%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140XDSD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18004674 | PA      | $15303326.79  | 0.85%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 3140XFEM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23151868 | PA      | $19952981.02  | 1.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31412TGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107077 | PA      | $109536.32    | 0.01%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31416B6J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826372 | PA      | $876633.35    | 0.05%             | 2049-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31416LU53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1086227 | PA      | $1128454.70   | 0.06%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31417C3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14686957 | PA      | $13530065.34  | 0.75%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418CKH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2465445 | PA      | $2381054.42   | 0.13%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418DTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8969538 | PA      | $7896157.13   | 0.44%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6166462 | PA      | $5021852.78   | 0.28%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18682510 | PA      | $16630541.94  | 0.92%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3205213 | PA      | $3057958.27   | 0.17%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4582042 | PA      | $4369404.66   | 0.24%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5461079 | PA      | $5350187.85   | 0.30%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4079148 | PA      | $3888585.54   | 0.21%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8685217 | PA      | $8682327.30   | 0.48%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ES35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3394159 | PA      | $3322449.10   | 0.18%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2572287 | PA      | $2569338.94   | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418EU99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13452900 | PA      | $13631152.78  | 0.75%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                       | Fannie Mae Pool                                                                | CUSIP: 31418FMK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5179649 | PA      | $5300808.06   | 0.29%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                      | Freddie Mac Pool                                                               | CUSIP: 31427NEF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4038298 | PA      | $3834722.73   | 0.21%             | 2054-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                 | Freddie Mac Strips                                                             | CUSIP: 3142G42A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  67005323 | PA      | $8877611.02   | 0.49%             | 2052-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.                             | Fieldstone Mortgage Investment Trust Series 2007-1                             | CUSIP: 31659YAC8<br>LEI: 549300VDVZHMT2SH4W85 | Long             | ABS-O            | CORP              | US        |   2090448 | PA      | $1617595.79   | 0.09%             | 2047-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2007-FF1                             | CUSIP: 32028TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2828742 | PA      | $1564924.40   | 0.09%             | 2038-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2007-FF1                             | CUSIP: 32028TAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13845546 | PA      | $7657615.77   | 0.42%             | 2038-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2006-FF18                            | CUSIP: 32029AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7922098 | PA      | $7354985.33   | 0.41%             | 2037-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2007-FF2                             | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  29379548 | PA      | $15477956.84  | 0.86%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                | First Franklin Mortgage Loan Trust Series 2007-FF2                             | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19498590 | PA      | $9376253.60   | 0.52%             | 2037-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                             | FirstKey Homes 2022-SFR3 Trust                                                 | CUSIP: 33768EAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8950000 | PA      | $8794793.58   | 0.49%             | 2038-07-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2021-SFR3 Trust                                   | FirstKey Homes 2021-SFR3 Trust                                                 | CUSIP: 33768JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5359220.35   | 0.30%             | 2038-12-17      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Flexential Issuer, LLC                                           | Flexential Issuer 2021-1                                                       | CUSIP: 33938MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7580000 | PA      | $7543070.24   | 0.42%             | 2051-11-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-HQA3                                        | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | USGSE             | US        |   3050000 | PA      | $3163590.54   | 0.17%             | 2041-09-25      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                        | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4216331.20   | 0.23%             | 2041-10-25      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                              | Freddie Mac STACR REMIC Trust 2021-DNA7                                        | CUSIP: 35564KNE5<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |   2376737 | PA      | $2521771.91   | 0.14%             | 2041-11-25      | Floating      | 11.98%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2308187 | PA      | $2057514.96   | 0.11%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162330 | PA      | $144701.20    | 0.01%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2892865 | PA      | $2506726.40   | 0.14%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16497346 | PA      | $14299723.66  | 0.79%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13704086 | PA      | $11876648.84  | 0.66%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8690853 | PA      | $8543768.52   | 0.47%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 36180AB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8386843 | PA      | $8190988.99   | 0.45%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Ginnie Mae II Pool                                                             | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9387550 | PA      | $9175177.97   | 0.51%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust 2007-AR2                                               | CUSIP: 3622N6AC3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |   1452786 | PA      | $741934.98    | 0.04%             | 2037-05-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                           | GSAA Trust                                                                     | CUSIP: 362341AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21239 | PA      | $21035.38     | 0.00%             | 2035-05-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust 2004-9                                                 | CUSIP: 36242DBK8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |    518890 | PA      | $496013.30    | 0.03%             | 2034-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust 2006-OA1                                               | CUSIP: 362631AC7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |  42649434 | PA      | $9434848.18   | 0.52%             | 2046-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38377WKM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2800193 | PA      | $2128040.10   | 0.12%             | 2041-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379FQX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4244993 | PA      | $4016855.61   | 0.22%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379JY39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14184305 | PA      | $12657357.16  | 0.70%             | 2045-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379LAE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18860325 | PA      | $17309834.89  | 0.96%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379LFY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14825195 | PA      | $13375944.46  | 0.74%             | 2045-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379PS24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3760000 | PA      | $3324944.91   | 0.18%             | 2045-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38379WVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12082791 | PA      | $10428125.49  | 0.58%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380B7H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5646101 | PA      | $5049223.40   | 0.28%             | 2047-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380CMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1624688 | PA      | $1347617.65   | 0.07%             | 2047-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380GHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1177257 | PA      | $980675.88    | 0.05%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380TUY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10768768 | PA      | $8731752.85   | 0.48%             | 2047-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380X3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10027904 | PA      | $9012191.96   | 0.50%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380XH91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2976143 | PA      | $2694203.99   | 0.15%             | 2048-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38380XPW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1996184 | PA      | $1837401.36   | 0.10%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38381AX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5189413 | PA      | $4719863.30   | 0.26%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38383UAQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29881048 | PA      | $2976584.20   | 0.16%             | 2052-07-20      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38384YEE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27552637 | PA      | $2209248.95   | 0.12%             | 2054-10-20      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38385EFG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13587593 | PA      | $736474.99    | 0.04%             | 2055-03-20      | Floating      | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                         | Government National Mortgage Association                                       | CUSIP: 38385ENN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24258427 | PA      | $1665167.06   | 0.09%             | 2055-03-20      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                                 | Grace Trust 2020-GRCE                                                          | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6244461.30   | 0.35%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                           | Conseco Finance Corp                                                           | CUSIP: 393505W32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163854 | PA      | $164594.25    | 0.01%             | 2030-12-01      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| HOA Funding LLC                                                  | HOA Funding LLC - HOA                                                          | CUSIP: 40390GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6136165 | PA      | $1257925.41   | 0.07%             | 2051-08-20      | Fixed         | 4.72%                 | No            |                  3 | On Loan: No      |
| HSI Asset Loan Obligation                                        | HSI Asset Loan Obligation Trust 2007-2                                         | CUSIP: 40432BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429021 | PA      | $310860.40    | 0.02%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management Ltd                                          | HPS Loan Management 2021-16 Ltd                                                | CUSIP: 40441AAE0<br>LEI: 529900WV2JMUABMCHN18 | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2695955.40   | 0.15%             | 2035-01-23      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                      | Hertz Vehicle Financing III LP                                                 | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7090000 | PA      | $6926960.49   | 0.38%             | 2027-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                                      | Hertz Vehicle Financing III LLC                                                | CUSIP: 42806MCJ6<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2427680.40   | 0.13%             | 2027-06-25      | Fixed         | 9.13%                 | No            |                  2 | On Loan: No      |
| Higley Park Clo Ltd                                              | Higley Park Clo Ltd                                                            | CUSIP: 43128VAE8<br>LEI: 213800CD95HT8UXDOH68 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3272732.00   | 0.18%             | 2038-07-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                              | Hotwire Funding LLC                                                            | CUSIP: 44148JAB5<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   2775000 | PA      | $2703539.31   | 0.15%             | 2051-11-20      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                              | Hotwire Funding LLC                                                            | CUSIP: 44148JAC3<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   2380000 | PA      | $2333917.73   | 0.13%             | 2051-11-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Hotwire Funding LLC                                              | Hotwire Funding LLC                                                            | CUSIP: 44148JAM1<br>LEI: 254900ZCO90MCT7Y9348 | Long             | ABS-O            | CORP              | US        |   3425000 | PA      | $3567845.11   | 0.20%             | 2054-06-20      | Fixed         | 9.19%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                     | Hudson Yards 2019-55HY Mortgage Trust                                          | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1642323.73   | 0.09%             | 2041-12-10      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                     | Huntington Bank Auto Credit-Linked Notes Series 2025-2                         | CUSIP: 44644NAR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    704735 | PA      | $702963.18    | 0.04%             | 2033-09-20      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                                     | Huntington Bank Auto Credit-Linked Notes Series 2025-2                         | CUSIP: 44644NAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    939646 | PA      | $943486.10    | 0.05%             | 2033-09-20      | Floating      | 10.78%                | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | Impac CMB Trust Series 2005-1                                                  | CUSIP: 45254NML8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241496 | PA      | $235476.89    | 0.01%             | 2035-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                  | Impac CMB Trust Series 2005-5                                                  | CUSIP: 45254NPV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435080 | PA      | $1365524.14   | 0.08%             | 2035-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                       | Impac Secured Assets Trust 2006-3                                              | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2595258 | PA      | $2401135.72   | 0.13%             | 2036-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2006-AR39                                     | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3786688 | PA      | $3520219.06   | 0.19%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2005-AR23                                     | CUSIP: 45660LF38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1344963 | PA      | $1030001.58   | 0.06%             | 2035-11-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2005-AR7                                      | CUSIP: 45660LLK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716770 | PA      | $595220.00    | 0.03%             | 2035-06-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2005-AR25                                     | CUSIP: 45660LR35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998930 | PA      | $847658.55    | 0.05%             | 2035-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2004-AR9                                      | CUSIP: 45660N3R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125476 | PA      | $120065.09    | 0.01%             | 2034-11-25      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2006-AR6                                      | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5913236 | PA      | $5369315.33   | 0.30%             | 2046-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                 | IndyMac INDX Mortgage Loan Trust 2007-AR11                                     | CUSIP: 45669FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9881 | PA      | $8893.98      | 0.00%             | 2037-06-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                 | IndyMac INDA Mortgage Loan Trust 2007-AR7                                      | CUSIP: 45670NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1189827 | PA      | $981296.57    | 0.05%             | 2037-11-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2022-INV1                                             | CUSIP: 465973AT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6674888 | PA      | $5587287.09   | 0.31%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-A2                                               | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199901 | PA      | $197962.63    | 0.01%             | 2033-11-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                               | JP Morgan Alternative Loan Trust                                               | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2727298 | PA      | $1508871.32   | 0.08%             | 2036-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-A4                                               | CUSIP: 46628LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145191 | PA      | $96897.42     | 0.01%             | 2036-06-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-S2                                               | CUSIP: 46628YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25691 | PA      | $0.00         | 0.00%             | 2021-06-25      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2006-A7                                               | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5910 | PA      | $4750.41      | 0.00%             | 2037-01-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                               | JP Morgan Alternative Loan Trust                                               | CUSIP: 46629EAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115926 | PA      | $139037.49    | 0.01%             | 2036-09-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                              | JP Morgan Mortgage Acquisition Trust 2006-CH2                                  | CUSIP: 46629QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3254500 | PA      | $1953213.87   | 0.11%             | 2036-10-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                              | JP Morgan Mortgage Acquisition Trust 2006-WMC4                                 | CUSIP: 46630BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  23171568 | PA      | $11645884.10  | 0.64%             | 2036-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                | CUSIP: 46651EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6865000 | PA      | $6491526.84   | 0.36%             | 2039-06-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust 2021-4                                                | CUSIP: 46652VAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10544878 | PA      | $8776628.50   | 0.49%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                         | JP Morgan Mortgage Trust Series 2024-3                                         | CUSIP: 46657QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10800000 | PA      | $8922546.36   | 0.49%             | 2054-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Knock Issuer Trust 2025-1                                        | Knock Issuer Trust 2025-1                                                      | CUSIP: 49917PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3565000 | PA      | $3606428.15   | 0.20%             | 2030-02-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| LMRK Issuer Co. LLC                                              | Lmrk Issuer Co 2 LLC                                                           | CUSIP: 50209AAJ0<br>LEI: 549300TATF7H68SRLE80 | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2419576.80   | 0.13%             | 2055-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                            | Lehman Mortgage Trust 2006-4                                                   | CUSIP: 52520RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399137 | PA      | $261087.38    | 0.01%             | 2021-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                  | Lehman XS Trust Series 2006-12N                                                | CUSIP: 525226AG1<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |   1334062 | PA      | $1426370.71   | 0.08%             | 2046-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                  | Lehman XS Trust Series 2006-10N                                                | CUSIP: 525229AE0<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |   4827957 | PA      | $4753961.47   | 0.26%             | 2046-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                  | Lehman XS Trust Series 2007-4N                                                 | CUSIP: 52524HAA8<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |         5 | PA      | $0.00         | 0.00%             | 2047-03-25      | Floating      | 3.87%                 | No            |                  3 | On Loan: No      |
| Life Financial Services Trust                                    | Life 2021-BMR Mortgage Trust                                                   | CUSIP: 53218CAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1382749.91   | 0.08%             | 2038-03-15      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                              | MASTR Seasoned Securitization Trust 2004-1                                     | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2570 | PA      | $2529.15      | 0.00%             | 2032-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                 | MASTR Asset Securitization Trust 2006-3                                        | CUSIP: 55274SAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28197 | PA      | $4191.07      | 0.00%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                                     | MKT 2020-525M Mortgage Trust                                                   | CUSIP: 55316PAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4900000 | PA      | $4109555.52   | 0.23%             | 2040-02-12      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                                     | MKT 2020-525M Mortgage Trust                                                   | CUSIP: 55316PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3396000 | PA      | $2779441.60   | 0.15%             | 2040-02-12      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                                             | MAD Commercial Mortgage Trust 2025-11MD                                        | CUSIP: 55616AAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $5117845.92   | 0.28%             | 2042-10-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                    | MASTR Alternative Loan Trust 2006-2                                            | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65324 | PA      | $5893.22      | 0.00%             | 2036-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                                    | MASTR Alternative Loan Trust 2005-4                                            | CUSIP: 576434Q49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3842511 | PA      | $3024070.54   | 0.17%             | 2035-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                              | Mastr Asset Backed Securities Trust 2006-AB1                                   | CUSIP: 57643LNX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138471 | PA      | $118020.15    | 0.01%             | 2036-02-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                 | CUSIP: 59023LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17070941 | PA      | $6492216.98   | 0.36%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                 | CUSIP: 59023LAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4358614 | PA      | $1665698.13   | 0.09%             | 2037-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset                             | Merrill Lynch Alternative Note Asset Trust Series 2007-A1                      | CUSIP: 59023MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    726553 | PA      | $221334.81    | 0.01%             | 2037-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                 | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2125879 | PA      | $1560661.27   | 0.09%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                 | CUSIP: 59024VAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663031 | PA      | $665091.34    | 0.04%             | 2037-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                 | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4                 | CUSIP: 59025CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9317708 | PA      | $9410754.24   | 0.52%             | 2037-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust                   | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                   | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373674 | PA      | $324841.72    | 0.02%             | 2036-08-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                                  | Mid-State Capital Corp 2005-1 Trust                                            | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290569 | PA      | $290565.89    | 0.02%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                                       | Morgan Stanley ABS Capital I Inc Trust 2004-NC8                                | CUSIP: 61744CHQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255875 | PA      | $270430.77    | 0.01%             | 2034-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                               | Morgan Stanley Mortgage Loan Trust 2007-3XS                                    | CUSIP: 61752RAM4<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |   1975422 | PA      | $573838.97    | 0.03%             | 2047-01-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2020-CNP                                        | CUSIP: 61770YAA3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |  18000000 | PA      | $15901810.20  | 0.88%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2020-CNP                                        | CUSIP: 61770YAG0<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   3045000 | PA      | $2529990.93   | 0.14%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust 2019-H7                                         | CUSIP: 61771MBB5<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3660498.80   | 0.20%             | 2052-07-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                   | Morgan Stanley Residential Mortgage Loan Trust 2024-INV3                       | CUSIP: 61776GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7196915 | PA      | $7367354.98   | 0.41%             | 2054-06-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                 | MortgageIT Trust 2005-4                                                        | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253862 | PA      | $254841.74    | 0.01%             | 2035-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                                     | NY Commercial Mortgage Trust 2025-299P                                         | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5885000 | PA      | $6148333.74   | 0.34%             | 2047-02-10      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                             | New Mountain CLO 8 Ltd                                                         | CUSIP: 64755HAB1<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |   4300000 | PA      | $3563840.00   | 0.20%             | 2038-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| New Mountain CLO Ltd                                             | New Mountain CLO 8 Ltd                                                         | CUSIP: 64755HAE5<br>LEI: 254900PW0IZ6YH8P9I85 | Long             | ABS-CBDO         | CORP              | KY        |    430000 | PA      | $0.04         | 0.00%             | 2038-10-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| New Residential Mortgage Loan Trust                              | New Residential Mortgage Loan Trust 2022-SFR2                                  | CUSIP: 64830RAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5537687.58   | 0.31%             | 2039-09-04      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                  | Oakwood Mortgage Investors Inc                                                 | CUSIP: 67087TAU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4291769 | PA      | $1754082.90   | 0.10%             | 2030-03-15      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                      | OCP CLO 2025-44 Ltd                                                            | CUSIP: 67570VAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $2659205.25   | 0.15%             | 2038-10-24      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                            | One Bryant Park Trust 2019-OBP                                                 | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6870000 | PA      | $6345474.13   | 0.35%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Backed Certificates                    | Ownit Mortgage Loan Trust Series 2006-6                                        | CUSIP: 69121TAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12635945 | PA      | $5650745.39   | 0.31%             | 2037-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                      | PRKCM 2021-AFC2 Trust                                                          | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4671304 | PA      | $4198317.12   | 0.23%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO                           | Park Avenue Institutional Advisers CLO Ltd 2021-1                              | CUSIP: 70017PAE8<br>LEI: 529900G1ZDEDA0MGYE20 | Long             | ABS-CBDO         | CORP              | KY        |   2760000 | PA      | $2767131.84   | 0.15%             | 2034-01-20      | Floating      | 10.38%                | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                             | Prime Mortgage Trust 2006-1                                                    | CUSIP: 74161BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1359 | PA      | $0.00         | 0.00%             | 2036-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2024-SFR5 Trust                                           | CUSIP: 74332HAG1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   4621000 | PA      | $4331945.82   | 0.24%             | 2029-08-09      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR7 Trust                                           | CUSIP: 74333PAN7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   8970000 | PA      | $8486595.04   | 0.47%             | 2040-08-17      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR3                                                 | CUSIP: 74333VAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3381202.08   | 0.19%             | 2026-05-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential 2021-SFR11 Trust                                          | CUSIP: 74333XAN0<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2874000 | PA      | $2792941.99   | 0.15%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS7 Trust                                                     | CUSIP: 748940AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3739569 | PA      | $100411.92    | 0.01%             | 2036-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS6 Trust                                                     | CUSIP: 74922EAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19917151 | PA      | $516957.63    | 0.03%             | 2036-06-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS1 Trust                                                     | CUSIP: 74922KAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1034717 | PA      | $6398.28      | 0.00%             | 2037-01-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS8 Trust                                                     | CUSIP: 74922UAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8018777 | PA      | $139469.78    | 0.01%             | 2037-06-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS2 Trust                                                     | CUSIP: 74923CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6975705 | PA      | $69349.67     | 0.00%             | 2037-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS4 Trust                                                     | CUSIP: 74923HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3432779 | PA      | $42399.97     | 0.00%             | 2037-03-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS5 Trust                                                     | CUSIP: 74923JAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4791270 | PA      | $54977.43     | 0.00%             | 2037-03-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2006-S9 Trust                                                     | CUSIP: 749577AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    247352 | PA      | $196246.41    | 0.01%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2007-S2 Trust                                                     | CUSIP: 749583AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2675077 | PA      | $2070589.52   | 0.11%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2007-SA2 Trust                                                    | CUSIP: 74958XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7245 | PA      | $6296.75      | 0.00%             | 2037-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                       | ROCK Trust 2024-CNTR                                                           | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4233454.40   | 0.23%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS5 Trust                                                     | CUSIP: 75114TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640208 | PA      | $1472195.01   | 0.08%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QS10 Trust                                                    | CUSIP: 751155AS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13952118 | PA      | $260783.23    | 0.01%             | 2036-08-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS3 Trust                                                     | CUSIP: 75116BAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33165812 | PA      | $484854.33    | 0.03%             | 2037-02-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2007-QS6 Trust                                                     | CUSIP: 75116CBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1124665 | PA      | $937788.30    | 0.05%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2005-QA7 Trust                                                     | CUSIP: 76110H7B9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648702 | PA      | $612065.44    | 0.03%             | 2035-07-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2005-QA8 Trust                                                     | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2193939 | PA      | $1109474.61   | 0.06%             | 2035-07-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2005-QA13 Trust                                                    | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303575 | PA      | $267513.62    | 0.01%             | 2035-12-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QA1 Trust                                                     | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7842 | PA      | $5242.47      | 0.00%             | 2036-01-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                 | RALI Series 2006-QA2 Trust                                                     | CUSIP: 761118TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9331 | PA      | $6061.40      | 0.00%             | 2036-02-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                    | RFMSI Series 2005-SA5 Trust                                                    | CUSIP: 76111XZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5908 | PA      | $5316.58      | 0.00%             | 2035-11-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                                      | RAAC Series 2005-SP1 Trust                                                     | CUSIP: 76112BQY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540370 | PA      | $542518.50    | 0.03%             | 2034-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                           | Residential Asset Securitization Trust 2007-A3                                 | CUSIP: 76113WAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2217320 | PA      | $975229.01    | 0.05%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                                                   | RIDE 2025-SHRE                                                                 | CUSIP: 765692AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2566728.50   | 0.14%             | 2047-02-14      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                     | State Street Institutional U.S. Government Money Market Fund                   | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  14584725 | NS      | $14584724.93  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                       | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                           | CUSIP: 78413MAC2<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |  15597000 | PA      | $13197618.35  | 0.73%             | 2043-01-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                       | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                           | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1191462.70   | 0.07%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                 | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1285000 | PA      | $1117481.87   | 0.06%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                 | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4128860.64   | 0.23%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                 | SLG Office Trust 2021-OVA                                                      | CUSIP: 78449RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16460000 | PA      | $12954418.33  | 0.72%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust                     | STARM Mortgage Loan Trust 2007-1                                               | CUSIP: 78473NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1336110 | PA      | $731995.74    | 0.04%             | 2037-02-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust                     | STARM Mortgage Loan Trust 2007-2                                               | CUSIP: 78473TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78465 | PA      | $42350.01     | 0.00%             | 2037-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                     | Saxon Asset Securities Trust 2007-2                                            | CUSIP: 80556YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9080865 | PA      | $6771051.47   | 0.37%             | 2047-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                  | Securitized Asset Backed Receivables LLC Trust 2006-CB1                        | CUSIP: 81375WHH2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |   2473968 | PA      | $2136374.33   | 0.12%             | 2036-01-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                   | Securitized Asset Backed Receivables LLC Trust 2007-NC2                        | CUSIP: 81378GAC2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |  10437602 | PA      | $9080230.63   | 0.50%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                   | Securitized Asset Backed Receivables LLC Trust 2007-BR1                        | CUSIP: 81378KAD1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |   6934357 | PA      | $2973526.38   | 0.16%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                           | Sequoia Mortgage Trust 2003-8                                                  | CUSIP: 81743PDX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122306 | PA      | $119511.90    | 0.01%             | 2034-01-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                 | Soundview Home Loan Trust 2007-OPT3                                            | CUSIP: 83612KAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3694191.60   | 0.20%             | 2037-08-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust                     | STARM Mortgage Loan Trust 2007-3                                               | CUSIP: 85554NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1693 | PA      | $783.57       | 0.00%             | 2037-06-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212927 | PA      | $207984.46    | 0.01%             | 2034-09-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 863579CC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560826 | PA      | $552522.49    | 0.03%             | 2034-10-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                   | Structured Adjustable Rate Mortgage Loan Trust                                 | CUSIP: 86360NAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1161815 | PA      | $1071294.37   | 0.06%             | 2036-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                        | Structured Asset Mortgage Investments II Trust 2007-AR4                        | CUSIP: 86364MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10478117 | PA      | $9464591.13   | 0.52%             | 2047-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Switch ABS Issuer, LLC                                           | Switch ABS Issuer LLC                                                          | CUSIP: 871044AJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3747902.86   | 0.21%             | 2054-06-25      | Fixed         | 10.03%                | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                                            | TCW Central Cash Fund                                                          | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        |  70921370 | NS      | $70921369.95  | 3.92%             |  |  |  | No            |                  1 | On Loan: No      |
| TCW Private Asset Income Fund                                    | TCW Private Asset Income Fund                                                  | CUSIP: 87807Y206<br>LEI: 254900JOZ7KOHWZ5ZD02 | Long             | EC               | RF                | US        |   1719511 | NS      | $17212307.17  | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                                        | Towd Point Mortgage Trust 2018-2                                               | CUSIP: 89175VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13050000 | PA      | $11484730.80  | 0.63%             | 2058-03-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| U.S. Bank National Association                                   | US Bank C&I Credit-Linked Notes Series 2025-2                                  | CUSIP: 90355PAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3304622 | PA      | $3316135.82   | 0.18%             | 2032-09-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Bonds                                                            | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    330000 | PA      | $334511.72    | 0.02%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                            | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    410000 | PA      | $415157.03    | 0.02%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                            | CUSIP: 91282CPD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9245000 | PA      | $9211414.67   | 0.51%             | 2030-10-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                           | U.S. Treasury Notes                                                            | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2605000 | PA      | $2600166.50   | 0.14%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                 | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239658 | PA      | $222574.37    | 0.01%             | 2035-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                 | CUSIP: 92922F8K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527350 | PA      | $507487.11    | 0.03%             | 2036-01-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust                 | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1693166 | PA      | $1513903.90   | 0.08%             | 2046-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2006-AR11 Trust                 | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1629988 | PA      | $1369039.86   | 0.08%             | 2046-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| NCFA LLC LOAN PARTICIPATION 3                                    | NCFA LLC LOAN PARTICIPATION 3                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1830000.00   | 0.10%             | 2030-04-11      | Variable      | 7.90%                 | No            |                  3 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS                 | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-AR1 Trust | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3665 | PA      | $3681.34      | 0.00%             | 2030-11-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                          | WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust                 | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1622884 | PA      | $1581581.99   | 0.09%             | 2035-01-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    408874 | PA      | $388198.58    | 0.02%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                     | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924159 | PA      | $681425.98    | 0.04%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                              | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE2 Trust       | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14901711 | PA      | $4677271.58   | 0.26%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Home Equity Trust                                    | Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust                   | CUSIP: 9497EVAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5521000 | PA      | $5156695.71   | 0.29%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                     | Wells Fargo Mortgage Backed Securities 2006-AR11 Trust                         | CUSIP: 94984CAF3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |    722217 | PA      | $667721.57    | 0.04%             | 2036-08-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2024-SVEN                                | CUSIP: 949937AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4632000 | PA      | $4808972.04   | 0.27%             | 2037-06-10      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                            | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                | CUSIP: 95000KBF1<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        | 106409000 | PA      | $340200.21    | 0.02%             | 2049-11-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| NCFA1                                                            | NCFA1                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7990601 | PA      | $7990601.26   | 0.44%             | 2028-06-12      | Fixed         | 2.75%                 | No            |                  3 | On Loan: No      |
| CLO WAREHOUSE INVESTMENT ONEX                                    | CLO WAREHOUSE INVESTMENT ONEX                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    468000 | PA      | $400608.00    | 0.02%             | 2025-08-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| LOAN PARTICIPATION 2                                             | LOAN PARTICIPATION 2                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6434150 | PA      | $6434149.76   | 0.36%             | 2027-12-19      | Fixed         | 3.14%                 | No            |                  3 | On Loan: No      |
| Wireless PropCo Funding LLC                                      | Wireless PropCo Funding LLC                                                    | CUSIP: 97655EAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1023794.20   | 0.06%             | 2055-06-25      | Fixed         | 8.51%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                   | Newday Funding Master Issuer PLC - Series 2024-2                               | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |   1500000 | PA      | $2009867.01   | 0.11%             | 2032-07-15      | Floating      | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Braccan Mortgage Funding                                         | Braccan Mortgage Funding 2025-1 PLC                                            | CUSIP: 000000000<br>LEI: 6354003DBF3NI8QJRR63 | Long             | ABS-MBS          | CORP              | GB        |   1641683 | PA      | $2154150.71   | 0.12%             | 2067-05-17      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                                   | Newday Funding Master Issuer PLC - Series 2025-2                               | CUSIP: 000000000<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |   1700000 | PA      | $2230301.58   | 0.12%             | 2033-07-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Caister Finance                                                  | Caister Finance DAC                                                            | CUSIP: 000000000<br>LEI: 635400IBLLJ9RCTGJN46 | Long             | ABS-MBS          | CORP              | IE        |   2000000 | PA      | $2632051.10   | 0.15%             | 2035-08-17      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                           | US 10YR ULTRA FUT DEC25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -1669 | NC      | $-3088892.38  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US ULTRA BOND CBT DEC25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1146 | NC      | $5001076.18   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 2YR NOTE (CBT) DEC25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       201 | NC      | $-29897.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                           | US 5YR NOTE (CBT) DEC25                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       493 | NC      | $22832.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays Capital, Inc.                                           | BDL2FH299 SWAPTION FWDP 20Y RT                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | US        |  13710000 | NC      | $47971.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | BDL2FH2H1 SWAPTION FWDP 30Y RT                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | US        |  11420000 | NC      | $42577.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | BDL2FH141 FWDP 5Y RTR SWAPTION                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | US        |  40305000 | NC      | $60985.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | BDL2FH273 FWDP 10Y RTR SWAPTIO                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | US        |  22625000 | NC      | $57404.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | BDL2FH3N7 FWDP 10Y RTP SWAPTIO                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | US        |  22625000 | NC      | $34600.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | BDL2FH2U2 SWAPTION                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | US        | 144000000 | NC      | $54820.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                           | BDL2FH2V0 SWAPTION                                                             | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | US        |  60457500 | NC      | $59484.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BDL2KX5Z7 METRO WEST                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  34460000 | NC      | $149597.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BDL2KX2F4 METRO WEST                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  15630000 | NC      | $41728.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BDL2KWZK9 METRO WEST                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  25790000 | NC      | $43556.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BDL2KX2K3 METRO WEST                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  13020000 | NC      | $41988.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BDL2KWZ45 METRO WEST                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  45950000 | NC      | $46510.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BDL2KX652 METRO WEST                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  12900000 | NC      | $82001.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                | BDL2KX5P9 METRO WEST                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  82080000 | NC      | $158159.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** TCW FUNDS INC

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer