# EDGAR Filing Document

**Accession Number:** 0001500604
**File Stem:** 0002071691-26-006020
**Filing Date:** 2026-3
**Character Count:** 278645
**Document Hash:** d1be1492f1eaf08d0c9967de712d575a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-006020.hdr.sgml**: 20260323

**ACCESSION NUMBER**: 0002071691-26-006020

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260323

**DATE AS OF CHANGE**: 20260323

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Janus Detroit Street Trust
- **CENTRAL INDEX KEY:** 0001500604

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23112
- **FILM NUMBER:** 26781981

**BUSINESS ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206
- **BUSINESS PHONE:** 303-333-3863

**MAIL ADDRESS:**
- **STREET 1:** 151 DETROIT STREET
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80206

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Janus ETF Trust
- **DATE OF NAME CHANGE:** 20100902

## Series and Classes Contracts Data

### Janus Henderson Mortgage-Backed Securities ETF (Series ID: S000063007)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000204446 | Janus Henderson Mortgage-Backed Securities ETF | JMBS            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Janus Detroit Street Trust

- **b. Investment Company Act file number:** 811-23112

- **c. CIK number of Registrant:** 0001500604

- **d. LEI of Registrant:** 5493003MM7OCK5UJW595

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

  - **Street Address 1:** 151 Detroit Street

  - **City:** Denver

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80206

  - **Telephone number:** 303-333-3863

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

- **a. Name of Series:** Janus Henderson Mortgage-Backed Securities ETF

- **b. EDGAR series identifier (if any):** S000063007

- **c. LEI of Series:** 549300V6TVE4ZJCDWY16

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

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

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $15681439182.69

**Total Liabilities:** $9080530584.03

**Net Assets:** $6600908598.66

**Delayed Delivery Securities:** $16339745.76

**Cash Not Reported:** $100076604.66

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -30600.16876735 | **1-Year:** -470186.10750457 | **5-Year:** -1230635.82699895 | **10-Year:** -2213423.54946011 | **30-Year:** -732905.71124641

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

- **3-Month:** -4342.78062904 | **1-Year:** -35627.99735542 | **5-Year:** -57582.38047933 | **10-Year:** -126538.54015866 | **30-Year:** -11511.35993226

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000204446 | 0.66%                | 0.26%                | 0.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1414993.92              | $18784324.68                               |
| Month 2  | $-5619318.68             | $-11432609.11                              |
| Month 3  | $15145783.86             | $-4019786.90                               |

**Designated Index Information**

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

- **Index Identifier:** LEHM.MC.LEHM000095UUSD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJFD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18984442 | PA      | $18287323.97   | 0.28%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flash Compute LLC                              | Flash Compute LLC                                                          | CUSIP: 33853QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17865000 | PA      | $17925615.95   | 0.27%             | 2030-12-31      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     221515 | PA      | $214537.40     | 0.00%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131YAV98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247974 | PA      | $246279.79     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  114954688 | PA      | $108696209.92  | 1.65%             | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXUY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43618480 | PA      | $36665674.71   | 0.56%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2002-53, Class FK                                      | CUSIP: 31392EHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15831 | PA      | $15804.49      | 0.00%             | 2032-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140U1BK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11702361 | PA      | $11715046.63   | 0.18%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                           | FREMF Mortgage Trust, Series 2019-KF70, Class C                            | CUSIP: 30298UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     789970 | PA      | $782526.31     | 0.01%             | 2029-09-25      | Floating      | 9.90%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A2            | CUSIP: 36277LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $7012882.11    | 0.11%             | 2056-05-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A2            | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2761315.15    | 0.04%             | 2039-03-25      | Variable      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance              | Mello Mortgage Capital Acceptance, Series 2024-SD1, Class A1               | CUSIP: 58550DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7101884 | PA      | $7022402.15    | 0.11%             | 2054-04-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161155 | PA      | $158552.90     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NAYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3461666 | PA      | $3638974.50    | 0.06%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     819808 | PA      | $794541.59     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  124302488 | PA      | $121335139.01  | 1.84%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0QY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11437460 | PA      | $11795769.58   | 0.18%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W17L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29199745 | PA      | $28136546.29   | 0.43%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M2            | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2220000 | PA      | $2299711.57    | 0.03%             | 2042-07-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M3                    | CUSIP: 46591HBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1873527 | PA      | $1832733.85    | 0.03%             | 2050-02-25      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6584910 | PA      | $6353464.33    | 0.10%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3190022 | PA      | $3097422.72    | 0.05%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CHX91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3941296 | PA      | $4133386.71    | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-163, Class LO                                            | CUSIP: 38380KNA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3202154 | PA      | $2449862.19    | 0.04%             | 2041-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2023-RTL3, Class A1        | CUSIP: 79583YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3230175 | PA      | $3213987.92    | 0.05%             | 2029-04-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSTS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21166107 | PA      | $21838045.86   | 0.33%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2025-S1, Class A1   | CUSIP: 31741BAB0<br>LEI: 254900W0S6GNEJ457023 | Long             | ABS-MBS          | CORP              | US        |   20538625 | PA      | $19987475.20   | 0.30%             | 2075-02-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B2            | CUSIP: 20754BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9637000 | PA      | $10191668.95   | 0.15%             | 2042-01-25      | Floating      | 11.35%                | Yes           |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                      | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37640049 | PA      | $38245767.94   | 0.58%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050627<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -573202870 | PA      | $-572919707.78 | -8.68%            | 2056-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1543208 | PA      | $1598779.50    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592044 | PA      | $574270.16     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A35K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2771287 | PA      | $2913424.85    | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032633<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -57000000 | PA      | $-52649076.00  | -0.80%            | 2056-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUU62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2634796 | PA      | $2715478.05    | 0.04%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NBG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37732261 | PA      | $36942544.69   | 0.56%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 3028, Class FM                                        | CUSIP: 31396AFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7855 | PA      | $7832.17       | 0.00%             | 2035-09-15      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2023-R05, Class 1B1            | CUSIP: 207942AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     312000 | PA      | $335215.33     | 0.01%             | 2043-06-25      | Floating      | 8.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PW26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   82161525 | PA      | $81745630.49   | 1.24%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQK70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5769976 | PA      | $5896035.11    | 0.09%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BGDH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2803953 | PA      | $2876052.26    | 0.04%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-109, Class BS                                     | CUSIP: 31398NTM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41248 | PA      | $55339.60      | 0.00%             | 2040-10-25      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2017-9, Class VL                                       | CUSIP: 3136AVYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239665 | PA      | $237765.24     | 0.00%             | 2028-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1161060 | PA      | $1181904.70    | 0.02%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BRDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1846667 | PA      | $1897243.61    | 0.03%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury Ultra Bonds                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -312 | NC      | $849655.87     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XLSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19703659 | PA      | $19059011.50   | 0.29%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BVVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3354975 | PA      | $3465571.55    | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2025-NQM4, Class A1                             | CUSIP: 002941AA0<br>LEI: 9845006Y6D399D9E8O78 | Long             | ABS-MBS          | CORP              | US        |    4125670 | PA      | $4147768.40    | 0.06%             | 2070-10-25      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                  | Citigroup Mortgage Loan Trust, Series 2025-LTV1, Class A1                  | CUSIP: 17332XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20374477 | PA      | $20451232.78   | 0.31%             | 2055-12-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55406710 | PA      | $57700063.86   | 0.87%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES2, Class A1B                           | CUSIP: 74942BAB7<br>LEI: 2549001985H26N17CK52 | Long             | ABS-O            | CORP              | US        |    3504518 | PA      | $3534100.87    | 0.05%             | 2055-02-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426YSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8885688 | PA      | $9064674.05    | 0.14%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 31427NNH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30214590 | PA      | $29100424.78   | 0.44%             | 2054-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2373052 | PA      | $2433764.28    | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140FPAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223971 | PA      | $218240.26     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL3, Class A1                                     | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22362305 | PA      | $22140296.69   | 0.34%             | 2065-04-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426DHJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1966734 | PA      | $2028661.59    | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N4PD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4084900 | PA      | $4178846.24    | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  724131414 | PA      | $627065218.61  | 9.50%             | 2056-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL6, Class A1        | CUSIP: 79585UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15216666 | PA      | $15387320.91   | 0.23%             | 2030-07-25      | Variable      | 7.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2947593 | PA      | $2856748.37    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140LW5M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1382563 | PA      | $1428359.41    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                     | Flagship Credit Auto Trust, Series 2023-1, Class B                         | CUSIP: 337955AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1966729 | PA      | $1968270.56    | 0.03%             | 2028-01-18      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     435098 | PA      | $420863.00     | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QVVF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47378662 | PA      | $48393224.32   | 0.73%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7WH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     892264 | PA      | $920941.60     | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BNM39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4615996 | PA      | $4742419.35    | 0.07%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class B                                      | CUSIP: 31684PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8980599 | PA      | $9065319.18    | 0.14%             | 2055-07-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y2M21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89550 | PA      | $88871.68      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  472324765 | PA      | $483594433.89  | 7.33%             | 2056-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QECU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     921190 | PA      | $912115.16     | 0.01%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NDU21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3280198 | PA      | $3364479.32    | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  206200000 | PA      | $190658499.80  | 2.89%             | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBSP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1256113 | PA      | $1243725.58    | 0.02%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CG6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4461884 | PA      | $4619081.81    | 0.07%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2007-89, Class GF                                      | CUSIP: 31396XPM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12816 | PA      | $12847.93      | 0.00%             | 2037-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3661274 | PA      | $3633539.50    | 0.06%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class D                 | CUSIP: 02007G5G4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6781560 | PA      | $6803490.66    | 0.10%             | 2033-06-15      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE4, Class B                                      | CUSIP: 31684UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2661760 | PA      | $2676150.62    | 0.04%             | 2054-09-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F022626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 1518344894 | PA      | $1288523655.81 | 19.52%            | 2056-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  378232255 | PA      | $306657852.46  | 4.65%             | 2056-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     497805 | PA      | $467367.96     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M2            | CUSIP: 20754MCB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4087000 | PA      | $4286625.70    | 0.06%             | 2042-06-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Backed Securities Trust            | GS Mortgage Backed Securities Trust, Series 2025-CES2, Class A1            | CUSIP: 36273BAA7<br>LEI: 254900U0V0TUGIF39T29 | Long             | ABS-O            | CORP              | US        |   10078083 | PA      | $10157090.39   | 0.15%             | 2055-09-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX2R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12482022 | PA      | $11462081.53   | 0.17%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B1          | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8753684 | PA      | $8886843.87    | 0.13%             | 2032-05-20      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-SPL1, Class A1 | CUSIP: 617946AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5743603 | PA      | $5622189.88    | 0.09%             | 2065-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426CPD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4149507 | PA      | $4280164.73    | 0.06%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266034 | PA      | $257834.68     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                        | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    2504211 | PA      | $2575399.85    | 0.04%             | 2041-09-25      | Floating      | 9.95%                 | Yes           |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2024-1A, Class B                 | CUSIP: 20469AAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     620000 | PA      | $632078.21     | 0.01%             | 2049-02-25      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17634279 | PA      | $17655718.76   | 0.27%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NLSY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11023041 | PA      | $11245575.34   | 0.17%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140K54D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208732 | PA      | $206749.45     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class B                                      | CUSIP: 31684NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6417156 | PA      | $6415168.95    | 0.10%             | 2055-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NG6C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     696268 | PA      | $713951.04     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | FHLMC Gold Pools, Other                                                    | CUSIP: 3131Y6WK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1648 | PA      | $1515.24       | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BVCR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4033507 | PA      | $4167757.40    | 0.06%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426SHR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1587630 | PA      | $1638095.64    | 0.02%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31334XYL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269184 | PA      | $250968.21     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8HQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17174541 | PA      | $16575210.28   | 0.25%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427QWL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  117847444 | PA      | $121957578.59  | 1.85%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X4WA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3337645 | PA      | $3228668.44    | 0.05%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228940 | PA      | $225243.95     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1J46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18712731 | PA      | $18570978.49   | 0.28%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15278216 | PA      | $15756848.30   | 0.24%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL4, Class A2                           | CUSIP: 50205PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6870000 | PA      | $6887204.54    | 0.10%             | 2039-07-25      | Variable      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Saluds Grade Alternative Mortgage Trust        | Saluds Grade Alternative Mortgage Trust, Series 2025-RRTL1, Class A1       | CUSIP: 79582NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7388000 | PA      | $7382143.53    | 0.11%             | 2040-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class A                              | CUSIP: 00449TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7079253 | PA      | $7313780.13    | 0.11%             | 2039-05-25      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A3             | CUSIP: 26846MAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4250000 | PA      | $4262848.60    | 0.06%             | 2060-12-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2            | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8116382 | PA      | $8420371.05    | 0.13%             | 2041-12-25      | Floating      | 9.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QM6T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1670148 | PA      | $1569443.05    | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190738 | PA      | $176112.58     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQAQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5013726 | PA      | $4966091.30    | 0.08%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1TN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6294508 | PA      | $6420559.09    | 0.10%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QVPQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  182782552 | PA      | $186696639.58  | 2.83%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                   | BX Commercial Mortgage Trust, Series 2021-21M, Class A                     | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862801 | PA      | $861897.73     | 0.01%             | 2036-10-15      | Floating      | 4.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JWB33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42701 | PA      | $42295.02      | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBUK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171356 | PA      | $169671.36     | 0.00%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XNML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10415919 | PA      | $10075139.43   | 0.15%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1HF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21271876 | PA      | $22148213.59   | 0.34%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  399791032 | PA      | $354190866.89  | 5.37%             | 2056-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNCW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16374847 | PA      | $16273259.88   | 0.25%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust               | Vista Point Securitization Trust, Series 2025-CES2, Class A1               | CUSIP: 92842UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13771759 | PA      | $13862356.18   | 0.21%             | 2055-08-25      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-37, Class FW                                             | CUSIP: 38375KNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18702 | PA      | $18590.97      | 0.00%             | 2037-06-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M2                          | CUSIP: 46591HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1913138 | PA      | $1970513.36    | 0.03%             | 2057-10-25      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2026-CES1, Class A3                     | CUSIP: 46660BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5006124.50    | 0.08%             | 2056-06-25      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-95, Class FB                                      | CUSIP: 31398NEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5674 | PA      | $5670.49       | 0.00%             | 2040-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q7YC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5213160 | PA      | $5040032.83    | 0.08%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3073860 | PA      | $2966593.00    | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30860 | PA      | $30068.42      | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BX5Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4795731 | PA      | $4943512.39    | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4SF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29517381 | PA      | $29271071.32   | 0.44%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust                             | TVC Mortgage Trust, Series 2025-RRTL1, Class A2                            | CUSIP: 900927AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5597000 | PA      | $5703218.19    | 0.09%             | 2040-04-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ACME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1177320 | PA      | $1205939.94    | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust   | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class A      | CUSIP: 039943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     938221 | PA      | $942910.78     | 0.01%             | 2028-04-17      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418C3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2844771 | PA      | $2823221.33    | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W2P88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50019624 | PA      | $51477863.07   | 0.78%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust, Series 2013-5, Class A1                            | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |     619418 | PA      | $557248.61     | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| SF Abs Issuer LLC                              | SF Abs Issuer LLC, Series 2025-1A, Class A2                                | CUSIP: 784193AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5750000 | PA      | $5598619.52    | 0.08%             | 2055-11-25      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10738849 | PA      | $10657499.68   | 0.16%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A5SH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4581355 | PA      | $4804641.12    | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XL5Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10825466 | PA      | $10743461.39   | 0.16%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-48, Class AF                                             | CUSIP: 38374LHM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15154 | PA      | $15051.96      | 0.00%             | 2035-06-20      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427PZY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29574223 | PA      | $30507660.67   | 0.46%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     873625 | PA      | $805320.93     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                        | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |     756595 | PA      | $757226.29     | 0.01%             | 2034-01-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES1, Class A1B                           | CUSIP: 749424AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6534163 | PA      | $6592721.63    | 0.10%             | 2044-02-25      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140EU6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36998 | PA      | $34768.93      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1B2            | CUSIP: 20754MAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     536201 | PA      | $616282.68     | 0.01%             | 2042-06-25      | Floating      | 15.70%                | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-61, Class FA                                             | CUSIP: 38375LLN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9602 | PA      | $9595.51       | 0.00%             | 2037-10-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138YR6F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     515828 | PA      | $500761.82     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34978010 | PA      | $36030786.70   | 0.55%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brex Commercial Charge Card Master Trust       | Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1          | CUSIP: 05601DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7750000 | PA      | $7763336.19    | 0.12%             | 2027-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Notes                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1625 | NC      | $821378.64     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A3                                       | CUSIP: 69392PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1700339.32    | 0.03%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -14985000 | PA      | $-15146538.30  | -0.23%            | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M2                        | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |    5528314 | PA      | $5744415.66    | 0.09%             | 2042-04-25      | Floating      | 8.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N0FM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29664329 | PA      | $30642211.61   | 0.46%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BJP30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2696876 | PA      | $2766222.83    | 0.04%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CJWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3412417 | PA      | $3489697.24    | 0.05%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 3721, Class FB                                        | CUSIP: 3137GAD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40818 | PA      | $40880.85      | 0.00%             | 2040-09-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132E05R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1645164 | PA      | $1591339.29    | 0.02%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ACNG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     298279 | PA      | $290347.15     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust             | Tricolor Auto Securitization Trust, Series 2024-1A, Class A                | CUSIP: 89616LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1205445 | PA      | $1198768.55    | 0.02%             | 2027-10-15      | Fixed         | 6.61%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -12460000 | PA      | $-11410855.54  | -0.17%            | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2025-NQM5, Class A1                             | CUSIP: 00250AAC8<br>LEI: 984500B1KGB67O4A0631 | Long             | ABS-MBS          | CORP              | US        |    6903511 | PA      | $6929906.62    | 0.10%             | 2070-12-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                | Reach ABS Trust, Series 2024-2A, Class A                                   | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1240113 | PA      | $1245704.17    | 0.02%             | 2031-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QU7H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1003901 | PA      | $1024808.77    | 0.02%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F022634<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -35723000 | PA      | $-30302606.32  | -0.46%            | 2056-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1489896 | PA      | $1530701.58    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  105535647 | PA      | $102082820.40  | 1.55%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226950 | PA      | $224794.27     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112099 | PA      | $106058.37     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-40, Class FG                                             | CUSIP: 38375KZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29313 | PA      | $29112.51      | 0.00%             | 2037-07-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69491747 | PA      | $71562043.73   | 1.08%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3138WHP55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7766 | PA      | $7528.86       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CKZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6040450 | PA      | $6225192.47    | 0.09%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QNGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4399335 | PA      | $4133729.42    | 0.06%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2024-1A, Class A2                                 | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1920175 | PA      | $1932772.84    | 0.03%             | 2030-02-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1             | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9191949 | PA      | $9091221.06    | 0.14%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2025-CES3, Class A1A              | CUSIP: 216926AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7629996 | PA      | $7629632.92    | 0.12%             | 2060-09-25      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class C                                        | CUSIP: 05609RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2958012 | PA      | $2957018.83    | 0.04%             | 2026-10-15      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W2EZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36726321 | PA      | $37893735.99   | 0.57%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2010-123, Class FL                                     | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8836 | PA      | $8832.31       | 0.00%             | 2040-11-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     710094 | PA      | $683518.83     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CKYJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1495857 | PA      | $1553661.16    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXX49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33057590 | PA      | $30340747.37   | 0.46%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNBL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1754974 | PA      | $1649019.11    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132E0GW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5398231 | PA      | $5586028.89    | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617J6Q80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110987 | PA      | $109795.52     | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Blue Bridge Funding LLC                        | Blue Bridge Funding LLC, Series 2023-1A, Class A                           | CUSIP: 09531MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1009004 | PA      | $1015822.24    | 0.02%             | 2030-11-15      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL1, Class A1             | CUSIP: 437919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10475000 | PA      | $10506900.57   | 0.16%             | 2040-03-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2            | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21665987 | PA      | $22036509.93   | 0.33%             | 2042-01-25      | Floating      | 6.70%                 | Yes           |                  2 | On Loan: No      |
| ACHM Mortgage Trust                            | ACHM Mortgage Trust, Series 2024-HE1, Class B                              | CUSIP: 00449TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     643568 | PA      | $672836.70     | 0.01%             | 2039-05-25      | Fixed         | 7.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFRM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14476772 | PA      | $14986806.38   | 0.23%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105571 | PA      | $102630.65     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   57366828 | PA      | $58997507.76   | 0.89%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21805126 | PA      | $20314593.02   | 0.31%             | 2058-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL3, Class A1                                       | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6161461 | PA      | $6003623.59    | 0.09%             | 2055-04-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class B            | CUSIP: 80290CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1633576 | PA      | $1653096.84    | 0.03%             | 2033-12-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                            | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25890198 | PA      | $26133785.96   | 0.40%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RPL4, Class A1                                       | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8435878 | PA      | $8114283.41    | 0.12%             | 2055-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X85L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13235525 | PA      | $13109776.94   | 0.20%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0SF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2017925 | PA      | $2058423.72    | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1004462 | PA      | $942972.58     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152322 | PA      | $147627.87     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5576899 | PA      | $5773380.04    | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M2                        | CUSIP: 35564KH77<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |    9166000 | PA      | $9857307.64    | 0.15%             | 2042-09-25      | Floating      | 9.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46800 | PA      | $45971.40      | 0.00%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ADPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5159320 | PA      | $5317307.24    | 0.08%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NJDA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1357192 | PA      | $1391660.70    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA7, Class M2                        | CUSIP: 35564KL72<br>LEI: 5493000IRUQLXTG4SV18 | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $10968402.95   | 0.17%             | 2052-03-25      | Floating      | 10.70%                | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BXJV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2565015 | PA      | $2649514.29    | 0.04%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M2                    | CUSIP: 46591HBY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1687754 | PA      | $1652362.91    | 0.03%             | 2050-02-25      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140F9WP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65846 | PA      | $60262.13      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BSV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2728559 | PA      | $2802972.96    | 0.04%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EFMT                                           | EFMT, Series 2025-RTL1, Class A1                                           | CUSIP: 26846FAA7<br>LEI: 254900NFBGFOBK1G2B84 | Long             | ABS-MBS          | CORP              | US        |    6512000 | PA      | $6519057.71    | 0.10%             | 2040-11-25      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59068000 | PA      | $54559221.42   | 0.83%             | 2056-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427CQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2994647 | PA      | $3076664.79    | 0.05%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2116132 | PA      | $2046898.09    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NEPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3278623 | PA      | $3345344.72    | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F060626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -190051780 | PA      | $-194586415.47 | -2.95%            | 2056-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404857 | PA      | $398358.33     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL2, Class A1                           | CUSIP: 50205JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5293684 | PA      | $5324525.00    | 0.08%             | 2029-03-25      | Variable      | 7.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5864729 | PA      | $5676562.99    | 0.09%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131XVQW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12303 | PA      | $11250.46      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-6, Class FG                                              | CUSIP: 38376TSC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6638 | PA      | $6672.25       | 0.00%             | 2040-01-16      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2025-2A, Class A1                                 | CUSIP: 30343DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21545431 | PA      | $21559063.47   | 0.33%             | 2026-12-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2003-87, Class FG                                      | CUSIP: 31393E4W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7532 | PA      | $7544.66       | 0.00%             | 2033-09-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31595110 | PA      | $32544393.91   | 0.49%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQGE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2635885 | PA      | $2693614.37    | 0.04%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-9, Class FA                                       | CUSIP: 3136BVDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49780873 | PA      | $50242827.16   | 0.76%             | 2055-03-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     724310 | PA      | $719661.93     | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alterna Funding III LLC                        | Alterna Funding III LLC, Series 2024-1A, Class A                           | CUSIP: 02157JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8130980 | PA      | $8143258.59    | 0.12%             | 2039-05-16      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77369 | PA      | $78416.85      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                           | CUSIP: 50205YAA1<br>LEI: 529900XB146PHFHY2T23 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4017980.00    | 0.06%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W35Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13591042 | PA      | $14012274.99   | 0.21%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class B         | CUSIP: 07336QAB8<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    2778381 | PA      | $2785178.29    | 0.04%             | 2031-12-26      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140AUYR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13768957 | PA      | $14043797.36   | 0.21%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFVA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1461845 | PA      | $1491118.82    | 0.02%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BJWL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5837298 | PA      | $6022012.37    | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGMK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1717291 | PA      | $1786597.17    | 0.03%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132AEVE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40094608 | PA      | $39302964.08   | 0.60%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1            | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     403242 | PA      | $403241.50     | 0.01%             | 2041-12-25      | Floating      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BJWD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12172316 | PA      | $12555593.44   | 0.19%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class B2                        | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |   19937000 | PA      | $20778584.57   | 0.31%             | 2041-10-25      | Floating      | 11.20%                | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class C                                        | CUSIP: 74939RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2750000 | PA      | $2768076.05    | 0.04%             | 2034-07-25      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3PN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47026090 | PA      | $48535288.11   | 0.74%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2M2            | CUSIP: 20753CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9254000 | PA      | $9284431.34    | 0.14%             | 2045-07-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3NX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32014168 | PA      | $33016806.11   | 0.50%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 2410, Class FX                                        | CUSIP: 31339NJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8951 | PA      | $8929.34       | 0.00%             | 2032-02-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426DMQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55412400 | PA      | $56581678.79   | 0.86%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                   | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1                    | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2872773 | PA      | $2832132.45    | 0.04%             | 2050-02-25      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H032621<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  147859377 | PA      | $135409469.60  | 2.05%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2025-LOC5, Class A1B       | CUSIP: 79581XAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15693000 | PA      | $15793419.66   | 0.24%             | 2055-10-25      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2026-HE1, Class C                                      | CUSIP: 30249NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5835000 | PA      | $5844021.49    | 0.09%             | 2056-01-25      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7814 | PA      | $7572.88       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-FIX1, Class A1                      | CUSIP: 89183MAA1<br>LEI: 2549009GWN99QN2XSG71 | Long             | ABS-O            | CORP              | US        |   12112953 | PA      | $12156922.90   | 0.18%             | 2065-09-25      | Variable      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BLUW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5637788 | PA      | $5815308.63    | 0.09%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XR2M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42496185 | PA      | $43755312.73   | 0.66%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1        | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8254619 | PA      | $8308258.34    | 0.13%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1202167 | PA      | $1165116.46    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust              | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1             | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4682000 | PA      | $4699619.30    | 0.07%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class B           | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5590522 | PA      | $5631682.82    | 0.09%             | 2033-03-21      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426U6L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8484007 | PA      | $8751148.02    | 0.13%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3142JS3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22393277 | PA      | $22417552.62   | 0.34%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X4X43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     976510 | PA      | $946413.65     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2102070 | PA      | $2030191.84    | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1B2            | CUSIP: 20753YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5793401 | PA      | $6287079.17    | 0.10%             | 2042-03-25      | Floating      | 13.20%                | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MHR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   50539081 | PA      | $51065473.86   | 0.77%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3LF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   85831015 | PA      | $88530201.10   | 1.34%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A34G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     920688 | PA      | $939075.57     | 0.01%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5749192 | PA      | $5576598.45    | 0.08%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTUT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12588119 | PA      | $12492761.32   | 0.19%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2008-13, Class FB                                             | CUSIP: 38375PNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38727 | PA      | $38770.73      | 0.00%             | 2038-02-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QDFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1478467 | PA      | $1426531.50    | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust            | Brean Asset-Backed Securities Trust, Series 2024-RM9, Class A1             | CUSIP: 10638DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6514853 | PA      | $6511682.89    | 0.10%             | 2064-09-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUJB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12432329 | PA      | $12821805.44   | 0.19%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                     | PRPM Trust, Series 2026-RCF1, Class A3                                     | CUSIP: 69383VAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2503882.50    | 0.04%             | 2056-01-25      | Variable      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Fora Financial Asset Securitization LLC        | Fora Financial Asset Securitization LLC, Series 2024-1A, Class A           | CUSIP: 34512PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5038000 | PA      | $5065311.00    | 0.08%             | 2029-08-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107878 | PA      | $106146.18     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CFU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10943601 | PA      | $11329157.80   | 0.17%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                     | US Bank NA, Series 2023-1, Class B                                         | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3561235 | PA      | $3593861.05    | 0.05%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426U6V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2383577 | PA      | $2459343.42    | 0.04%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BDJB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11823515 | PA      | $12195809.50   | 0.18%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-75, Class FP                                             | CUSIP: 38378EZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10790 | PA      | $10805.56      | 0.00%             | 2041-07-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296579 | PA      | $286876.20     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133WBM37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1904142 | PA      | $1963794.88    | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1            | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14053704 | PA      | $13742973.42   | 0.21%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CLL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3292065 | PA      | $3392750.22    | 0.05%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2006-20, Class GF                                      | CUSIP: 31395BU43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52708 | PA      | $52519.01      | 0.00%             | 2036-04-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32495 | PA      | $31537.84      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XM4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10572754 | PA      | $11023228.61   | 0.17%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1589860 | PA      | $1646635.58    | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2878617 | PA      | $2702399.28    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -182589445 | PA      | $-154952158.84 | -2.35%            | 2056-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3142JUAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11785732 | PA      | $11798508.42   | 0.18%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14500000 | PA      | $13841743.50   | 0.21%             | 2056-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2002-16, Class VF                                      | CUSIP: 31392CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6629 | PA      | $6640.47       | 0.00%             | 2032-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGGH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4674546 | PA      | $4521917.56    | 0.07%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3132DP3P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5514224 | PA      | $5459842.17    | 0.08%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ANNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2421992 | PA      | $2430432.04    | 0.04%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5951101 | PA      | $5906020.01    | 0.09%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426TXH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16928233 | PA      | $17463907.41   | 0.26%             | 2055-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 2551, Class FD                                        | CUSIP: 31393JAZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11561 | PA      | $11542.19      | 0.00%             | 2033-01-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4TM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46597358 | PA      | $47198067.89   | 0.72%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104228 | PA      | $98611.65      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WHKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1090430 | PA      | $1056580.74    | 0.02%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ACH52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16608 | PA      | $15199.96      | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14663169 | PA      | $12316759.44   | 0.19%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BS6P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7617898 | PA      | $7827295.13    | 0.12%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3975640 | PA      | $3853111.11    | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A0BE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2422298 | PA      | $2525271.03    | 0.04%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class C                                      | CUSIP: 31684PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11599671 | PA      | $11673131.44   | 0.18%             | 2055-07-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-BXMF, Class G                                        | CUSIP: 05609RAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2488884 | PA      | $2480869.57    | 0.04%             | 2026-10-15      | Floating      | 7.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133CC4K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3946601 | PA      | $4072812.74    | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2025-12, Class FC                                      | CUSIP: 3136BVFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  150244245 | PA      | $151405302.72  | 2.29%             | 2055-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3138WJP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71104 | PA      | $64555.60      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2026-CES1, Class A2                     | CUSIP: 46660BAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4004895.20    | 0.06%             | 2056-06-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M2                        | CUSIP: 35564KXA2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |   15050000 | PA      | $15862116.39   | 0.24%             | 2042-05-25      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133CDHV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3492969 | PA      | $3604112.90    | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QV2V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  131045094 | PA      | $132410002.03  | 2.01%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48290385 | PA      | $40589132.28   | 0.61%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2064911 | PA      | $2112830.94    | 0.03%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418APM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     236936 | PA      | $218767.90     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X8UA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1748029 | PA      | $1686624.52    | 0.03%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3331728 | PA      | $3215462.95    | 0.05%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3656224 | PA      | $3750840.62    | 0.06%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2024-HE1, Class B                                      | CUSIP: 31684HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1881892 | PA      | $1931036.75    | 0.03%             | 2054-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL1, Class A1                                     | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15144303 | PA      | $14846842.40   | 0.22%             | 2069-07-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                         | Sequoia Mortgage Trust, Series 2019-CH3, Class A19                         | CUSIP: 81748GBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72184 | PA      | $66842.42      | 0.00%             | 2049-09-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-125, Class VF                                            | CUSIP: 38377JYJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        338 | PA      | $336.76        | 0.00%             | 2040-06-20      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3567175 | PA      | $3450467.17    | 0.05%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132AEJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1162767 | PA      | $1124724.63    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 3738, Class FD                                        | CUSIP: 3137GAYQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5712 | PA      | $5709.94       | 0.00%             | 2040-08-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128654 | PA      | $126578.62     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133KN3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9757380 | PA      | $9661152.26    | 0.15%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4393 | PA      | $4351.74       | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2004-59, Class FP                                             | CUSIP: 38374HYS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17727 | PA      | $17686.98      | 0.00%             | 2034-08-16      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F030637<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -33391000 | PA      | $-29560785.17  | -0.45%            | 2056-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Other                                                             | CUSIP: 36179UQT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131652 | PA      | $123564.80     | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE6, Class C                                      | CUSIP: 31684NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7280545 | PA      | $7272181.40    | 0.11%             | 2055-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1906150 | PA      | $1984677.50    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                         | JPMorgan Chase Bank NA, Series 2020-CL1, Class M1                          | CUSIP: 46591HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13042980 | PA      | $13462791.66   | 0.20%             | 2057-10-25      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                        | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |   28504473 | PA      | $29803612.63   | 0.45%             | 2042-03-25      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A1                                       | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14386619 | PA      | $14527653.82   | 0.22%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL2, Class A1                                     | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6469420 | PA      | $6394281.71    | 0.10%             | 2064-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BQK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2210435 | PA      | $2270974.02    | 0.03%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | FHLMC Gold Pools, Other                                                    | CUSIP: 3132AED78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     799122 | PA      | $737846.55     | 0.01%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     229545 | PA      | $222035.17     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class C                                      | CUSIP: 31684LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4002952 | PA      | $4041238.67    | 0.06%             | 2055-05-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQ7F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   65485152 | PA      | $67537016.39   | 1.02%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171758 | PA      | $170126.61     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XCKS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6686 | PA      | $6470.50       | 0.00%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVG25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8317534 | PA      | $8566819.43    | 0.13%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6841443 | PA      | $7015193.12    | 0.11%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0T88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68533007 | PA      | $70592101.37   | 1.07%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cipher Compute LLC                             | Cipher Compute LLC                                                         | CUSIP: 17253NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   20244000 | PA      | $20859640.28   | 0.32%             | 2030-11-15      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 1999-27, Class FE                                             | CUSIP: 3837H2WA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1447 | PA      | $1446.20       | 0.00%             | 2029-08-16      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class C                                   | CUSIP: 00092BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     630977 | PA      | $635566.65     | 0.01%             | 2031-04-25      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2026-CES1, Class A1B                           | CUSIP: 74939BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3350000 | PA      | $3352491.00    | 0.05%             | 2056-01-25      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer LLC             | MetroNet Infrastructure Issuer LLC, Series 2025-2A, Class A2               | CUSIP: 59170JAX6<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   24600000 | PA      | $24961780.75   | 0.38%             | 2055-08-20      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV5G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     587929 | PA      | $582343.63     | 0.01%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2013-2, Class QF                                       | CUSIP: 3136AB4P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23386 | PA      | $23390.21      | 0.00%             | 2043-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S1, Class A1   | CUSIP: 31740RAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3435909 | PA      | $3385251.22    | 0.05%             | 2074-02-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3142JQ4B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30079928 | PA      | $30112536.07   | 0.46%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A2        | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4804500 | PA      | $4808541.55    | 0.07%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -444513442 | PA      | $-450661062.90 | -6.83%            | 2056-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7QG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11680061 | PA      | $12057337.10   | 0.18%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1772047 | PA      | $1717432.08    | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S3, Class A1   | CUSIP: 31739WAB8<br>LEI: 254900WLTVCTZMOFKI39 | Long             | ABS-MBS          | CORP              | US        |   19708581 | PA      | $19286718.50   | 0.29%             | 2074-04-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21010440 | PA      | $20362898.51   | 0.31%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XRHR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23849834 | PA      | $23669166.49   | 0.36%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -557548893 | PA      | $-532237845.90 | -8.06%            | 2056-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2026-HE1, Class B                                      | CUSIP: 30249NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3918000 | PA      | $3924082.70    | 0.06%             | 2056-01-25      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1VT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14533261 | PA      | $14977750.62   | 0.23%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DT2K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14272945 | PA      | $14158156.28   | 0.21%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-6, Class A1                                          | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7040214 | PA      | $7035123.76    | 0.11%             | 2028-08-25      | Variable      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1HE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21058441 | PA      | $21925985.59   | 0.33%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10103505 | PA      | $9489901.35    | 0.14%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL5, Class A2                           | CUSIP: 50205WAB3<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |    9325000 | PA      | $9357483.64    | 0.14%             | 2039-09-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL1, Class A1                           | CUSIP: 50205DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6341000 | PA      | $6348004.90    | 0.10%             | 2029-01-25      | Variable      | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9863783 | PA      | $10172847.80   | 0.15%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22571 | PA      | $22570.14      | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427RKM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  111126768 | PA      | $112285517.46  | 1.70%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class D                 | CUSIP: 02007GZ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1359865 | PA      | $1379463.24    | 0.02%             | 2032-05-17      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ATJS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10860041 | PA      | $11077111.61   | 0.17%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31425USJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7206435 | PA      | $7356328.55    | 0.11%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                    | SREIT Trust, Series 2021-MFP, Class B                                      | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4194207 | PA      | $4192410.92    | 0.06%             | 2038-11-15      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BLUV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3810580 | PA      | $3931706.05    | 0.06%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133D1B81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18935692 | PA      | $19047280.57   | 0.29%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133D1CH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5031110 | PA      | $5188723.20    | 0.08%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-59, Class FA                                             | CUSIP: 38375LPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23369 | PA      | $23353.06      | 0.00%             | 2037-10-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust            | GS Mortgage-Backed Securities Trust, Series 2026-CES1, Class A3            | CUSIP: 36277LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4006891.20    | 0.06%             | 2056-05-25      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A0A41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8184687 | PA      | $8435009.65    | 0.13%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3RC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   86081507 | PA      | $88992945.86   | 1.35%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQ2P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40213702 | PA      | $39831638.93   | 0.60%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0LV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6578909 | PA      | $6780769.16    | 0.10%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QVWQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51304347 | PA      | $51838710.59   | 0.79%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                       | Oceanview Mortgage Trust, Series 2025-4, Class AF1                         | CUSIP: 67647DAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5608554 | PA      | $5608539.14    | 0.08%             | 2055-12-25      | Floating      | 4.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427NY60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36976044 | PA      | $35612549.17   | 0.54%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-FL1, Class A1                                     | CUSIP: 31684QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4230119 | PA      | $4249126.48    | 0.06%             | 2055-07-25      | Variable      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DUXS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20450829 | PA      | $20877857.38   | 0.32%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XLJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22175522 | PA      | $21450002.33   | 0.32%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -33512000 | PA      | $-33491892.80  | -0.51%            | 2056-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5018424 | PA      | $5232002.90    | 0.08%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Notes                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       4215 | NC      | $-1642989.47   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -16581000 | PA      | $-14958333.60  | -0.23%            | 2056-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A1B            | CUSIP: 26846MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2726000 | PA      | $2727812.78    | 0.04%             | 2060-12-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DTTU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13563151 | PA      | $13988054.36   | 0.21%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQHM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29255836 | PA      | $29034217.31   | 0.44%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F020620<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -8744000 | PA      | $-7089337.90   | -0.11%            | 2056-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1495997 | PA      | $1449890.74    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W36J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46847004 | PA      | $47447697.61   | 0.72%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NNSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2318997 | PA      | $2391668.00    | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1836309 | PA      | $1779713.65    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  136348322 | PA      | $120708078.68  | 1.83%             | 2056-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES9, Class A1B                           | CUSIP: 74942JAB0<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |   19848781 | PA      | $19837017.27   | 0.30%             | 2055-09-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNSD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3474460 | PA      | $3448139.88    | 0.05%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     434064 | PA      | $407669.37     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1363485 | PA      | $1191092.84    | 0.02%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM1, Class A2 | CUSIP: 61780XAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2404214.41    | 0.04%             | 2070-12-25      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1389851 | PA      | $1379322.65    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B4VP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1923650 | PA      | $1984221.59    | 0.03%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                      | Towd Point Mortgage Trust, Series 2025-FIX2, Class A1                      | CUSIP: 89183RAA0<br>LEI: 25490010CSYSAQU59J50 | Long             | ABS-O            | CORP              | US        |   11600583 | PA      | $11651252.37   | 0.18%             | 2065-10-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NG2Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     740865 | PA      | $764033.31     | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                     | J.P. Morgan Mortgage Trust, Series 2025-5MPR, Class A1D                    | CUSIP: 46593VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23665826 | PA      | $23726576.27   | 0.36%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                       | PRET LLC, Series 2025-NPL4, Class A1                                       | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11052207 | PA      | $11082279.36   | 0.17%             | 2055-04-25      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust              | Affirm Asset Securitization Trust, Series 2025-X2, Class C                 | CUSIP: 00835DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4511555.92    | 0.07%             | 2030-10-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BQKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5004023 | PA      | $5085674.26    | 0.08%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F042624<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -459568555 | PA      | $-450095008.81 | -6.82%            | 2056-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418ATD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76339 | PA      | $70200.18      | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust | Finance of America Structured Securities Trust, Series 2024-S2, Class A1   | CUSIP: 31739VAA2<br>LEI: 2549004CLYOCOW3IBQ95 | Long             | ABS-O            | CORP              | US        |   13976035 | PA      | $13735283.67   | 0.21%             | 2074-04-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133WFD20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3527082 | PA      | $3637577.49    | 0.06%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617J6W91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8954 | PA      | $9066.73       | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H042620<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -7678000 | PA      | $-7494710.78   | -0.11%            | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31346YWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     292625 | PA      | $289845.95     | 0.00%             | 2049-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2026-CES1, Class A2               | CUSIP: 21689GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2949000 | PA      | $2959349.67    | 0.04%             | 2061-01-01      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQ4G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2781066 | PA      | $2490403.82    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQUF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27794565 | PA      | $27584015.71   | 0.42%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XHPY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287758 | PA      | $278889.45     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Other                                                             | CUSIP: 36179UMA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136599 | PA      | $127908.74     | 0.00%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3142GUZ55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   75065265 | PA      | $77391793.64   | 1.17%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE3, Class B                                      | CUSIP: 31684LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4258460 | PA      | $4316592.06    | 0.07%             | 2055-05-25      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A5T65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3925021 | PA      | $4091876.36    | 0.06%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes        | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class B            | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2019471 | PA      | $2046845.05    | 0.03%             | 2032-06-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   92975000 | PA      | $96283980.25   | 1.46%             | 2056-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1016906 | PA      | $954730.35     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC              | Compass Datacenters Issuer II LLC, Series 2025-1A, Class A2                | CUSIP: 20469CAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $500982.23     | 0.01%             | 2050-05-25      | Fixed         | 5.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     504193 | PA      | $481800.27     | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XN4B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9436450 | PA      | $9838510.52    | 0.15%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Acacia LLC                                     | Acacia LLC, Series 2025-1, Class A                                         | CUSIP: 00401PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10568260 | PA      | $10582004.67   | 0.16%             | 2037-11-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1238619 | PA      | $1197495.83    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1WT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34058696 | PA      | $35125678.05   | 0.53%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                     | PRET Trust, Series 2025-RPL5, Class A1                                     | CUSIP: 69393AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12738379 | PA      | $12497279.93   | 0.19%             | 2070-01-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NC6J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1868804 | PA      | $1926391.18    | 0.03%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 year                                                              | CUSIP: 3133USKN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   38677997 | PA      | $37485941.77   | 0.57%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B6E68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5996425 | PA      | $6185238.21    | 0.09%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N43N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1125746 | PA      | $1156644.68    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CEP30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4954521 | PA      | $5053738.21    | 0.08%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B3U91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4253462 | PA      | $4387393.62    | 0.07%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31418ALK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142174 | PA      | $131399.91     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2020-98, Class AI                                      | CUSIP: 3136BDLE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18495565 | PA      | $3871428.76    | 0.06%             | 2061-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202831 | PA      | $200904.58     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1WK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17672452 | PA      | $18220704.15   | 0.28%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2025-HQA1, Class M2                        | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   23060148 | PA      | $23103912.29   | 0.35%             | 2045-02-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QUD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16654901 | PA      | $17011547.03   | 0.26%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class C                 | CUSIP: 02007GZ63<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2379764 | PA      | $2419607.66    | 0.04%             | 2032-05-17      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22143576 | PA      | $21461111.12   | 0.33%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M2                        | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |   19321656 | PA      | $20826175.89   | 0.32%             | 2042-06-25      | Floating      | 10.45%                | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  176782000 | PA      | $176694669.69  | 2.68%             | 2056-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162277 | PA      | $149977.24     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     631534 | PA      | $621338.23     | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2022-65, Class FB                                      | CUSIP: 3136BPCQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8030649 | PA      | $8020434.70    | 0.12%             | 2052-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426HA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6974944 | PA      | $7193389.62    | 0.11%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3138W7HB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     321128 | PA      | $295304.49     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3138WJDM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8809 | PA      | $8539.07       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                           | LHOME Mortgage Trust, Series 2024-RTL3, Class A1                           | CUSIP: 50205GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9960000 | PA      | $10038619.26   | 0.15%             | 2029-05-25      | Variable      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3LS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75414925 | PA      | $77703538.50   | 1.18%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                             | A&D Mortgage Trust, Series 2026-NQM1, Class A1                             | CUSIP: 00040DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12414000 | PA      | $12434026.96   | 0.19%             | 2071-02-25      | Variable      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2023-2A, Class A                          | CUSIP: 35042RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1767455 | PA      | $1834603.31    | 0.03%             | 2049-06-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C3X27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     364317 | PA      | $375732.29     | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H030625<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  203159962 | PA      | $183278118.64  | 2.78%             | 2056-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427M5L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19446283 | PA      | $19174822.62   | 0.29%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DVEQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44666476 | PA      | $45920069.17   | 0.70%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1B2            | CUSIP: 20754NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1596475 | PA      | $1774793.19    | 0.03%             | 2042-05-25      | Floating      | 14.30%                | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NAUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4938209 | PA      | $5100095.07    | 0.08%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   80242311 | PA      | $77308183.41   | 1.17%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BFDZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3666105 | PA      | $3739951.71    | 0.06%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 31417GJ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     129173 | PA      | $118916.29     | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABL                                            | ABL, Series 2024-RTL1, Class A2                                            | CUSIP: 00092EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4840000 | PA      | $4871834.13    | 0.07%             | 2029-09-25      | Variable      | 7.46%                 | Yes           |                  2 | On Loan: No      |
| HOMES Trust                                    | HOMES Trust, Series 2026-INV1, Class A1D                                   | CUSIP: 43761FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6587000 | PA      | $6597760.24    | 0.10%             | 2060-08-25      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1980091 | PA      | $1919008.66    | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140U4AP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8528526 | PA      | $8537771.42    | 0.13%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82172 | PA      | $72970.93      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust        | Saluda Grade Alternative Mortgage Trust, Series 2024-FIG5, Class B         | CUSIP: 79582MAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2320364 | PA      | $2339169.48    | 0.04%             | 2054-04-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES7, Class A1B                           | CUSIP: 74943AAB8<br>LEI: 254900E35NYYFOUTHD06 | Long             | ABS-O            | CORP              | US        |    8394323 | PA      | $8452500.03    | 0.13%             | 2055-07-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE4, Class A                                      | CUSIP: 31684PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6147215 | PA      | $6233994.46    | 0.09%             | 2055-07-25      | Variable      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -20000000 | PA      | $-19999020.00  | -0.30%            | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 3380, Class FM                                        | CUSIP: 31397KTJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40641 | PA      | $40724.29      | 0.00%             | 2037-10-15      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  111948465 | PA      | $108285828.94  | 1.64%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 2426, Class FL                                        | CUSIP: 31339W7G5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16026 | PA      | $16082.07      | 0.00%             | 2032-03-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                 | ACHV ABS TRUST, Series 2024-1PL, Class B                                   | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1402088 | PA      | $1414167.31    | 0.02%             | 2031-04-25      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     386706 | PA      | $359738.00     | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QFWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1978018 | PA      | $1959225.13    | 0.03%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4115473 | PA      | $4251439.89    | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DPFF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327082 | PA      | $313941.69     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140N4PF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9894101 | PA      | $10143392.39   | 0.15%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2008-16, Class FC                                             | CUSIP: 383742FU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18814 | PA      | $18835.45      | 0.00%             | 2038-02-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1            | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122436 | PA      | $122446.72     | 0.00%             | 2041-12-25      | Floating      | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BFEM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2574040 | PA      | $2655860.74    | 0.04%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2023-CES1, Class A1A                           | CUSIP: 74935WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3540130 | PA      | $3548046.43    | 0.05%             | 2043-06-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  104710241 | PA      | $102551744.09  | 1.55%             | 2056-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                       | Foundation Finance Trust, Series 2025-2A, Class B                          | CUSIP: 35042NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13050000 | PA      | $13109029.04   | 0.20%             | 2052-04-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| PRPM Trust                                     | PRPM Trust, Series 2026-RCF1, Class A2                                     | CUSIP: 69383VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2503971.50    | 0.04%             | 2056-01-25      | Variable      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2025-CES8, Class A1B                           | CUSIP: 74939WAB6<br>LEI: 254900FCN7EI8DTYGA19 | Long             | ABS-O            | CORP              | US        |    7056005 | PA      | $7080129.80    | 0.11%             | 2055-08-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NCWW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1295052 | PA      | $1335145.17    | 0.02%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426XFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4662588 | PA      | $4790287.00    | 0.07%             | 2055-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105747 | PA      | $104742.26     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMP                                            | BMP, Series 2024-MF23, Class A                                             | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14000000 | PA      | $14011168.28   | 0.21%             | 2041-06-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C2ZC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2884246 | PA      | $2988108.91    | 0.05%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353116 | PA      | $341786.65     | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140BRDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3797214 | PA      | $3901456.61    | 0.06%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES6, Class A1B                           | CUSIP: 749410AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4121864 | PA      | $4134310.05    | 0.06%             | 2044-09-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                       | BX Trust, Series 2021-SDMF, Class A                                        | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5355350 | PA      | $5348729.30    | 0.08%             | 2034-09-15      | Floating      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2013-130, Class FN                                     | CUSIP: 3136AHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88091 | PA      | $87445.95      | 0.00%             | 2042-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ASN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18340682 | PA      | $18707772.40   | 0.28%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131Y3DA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     917278 | PA      | $888981.04     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding             | Gracie Point International Funding, Series 2023-2A, Class A                | CUSIP: 38410JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     418538 | PA      | $419244.76     | 0.01%             | 2027-03-01      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  411201194 | PA      | $410954473.28  | 6.23%             | 2056-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26110132 | PA      | $25912342.62   | 0.39%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4HD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50839639 | PA      | $50894752.61   | 0.77%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132Y1W79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2704409 | PA      | $2624273.75    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17640257 | PA      | $16251338.39   | 0.25%             | 2064-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DQT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24015809 | PA      | $24783270.40   | 0.38%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427KC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8219157 | PA      | $8228067.32    | 0.12%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 3617GDT77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126067 | PA      | $124289.61     | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GWT                                            | GWT, Series 2024-WLF2, Class A                                             | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900000 | PA      | $2907340.77    | 0.04%             | 2041-05-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DSYU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6196933 | PA      | $6391068.91    | 0.10%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132DV3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1209718 | PA      | $1170139.14    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XMPC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11075151 | PA      | $10969928.00   | 0.17%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C8EK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     803097 | PA      | $828260.69     | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MYAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3852989 | PA      | $3951564.94    | 0.06%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NGLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1233118 | PA      | $1276343.31    | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162730 | PA      | $161184.81     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -10452000 | PA      | $-9882961.76   | -0.15%            | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 5164, Class FA                                        | CUSIP: 3137H3PY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9638577 | PA      | $8742048.74    | 0.13%             | 2051-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29879697 | PA      | $30807840.67   | 0.47%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ADPB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6010726 | PA      | $6199028.29    | 0.09%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF3, Class A2                                       | CUSIP: 69392PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2380125 | PA      | $2391525.56    | 0.04%             | 2055-07-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MBQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37898170 | PA      | $39085434.09   | 0.59%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NRPT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2306006 | PA      | $2404035.43    | 0.04%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Easy Street Mortgage Loan Trust                | Easy Street Mortgage Loan Trust, Series 2025-RTL2, Class A1                | CUSIP: 27786YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $4107456.26    | 0.06%             | 2040-10-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FXYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21132435 | PA      | $20248354.04   | 0.31%             | 2063-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2005-83, Class KT                                      | CUSIP: 31394FUL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13650 | PA      | $13575.71      | 0.00%             | 2035-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21729665 | PA      | $19947335.91   | 0.30%             | 2064-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $19999020.00   | 0.30%             | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BPZ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1175786 | PA      | $1213006.42    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C4J62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     967340 | PA      | $1002174.67    | 0.02%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189677 | PA      | $172506.52     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1053159 | PA      | $1046400.77    | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1T23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5898947 | PA      | $6106774.06    | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                       | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |     435685 | PA      | $435577.43     | 0.01%             | 2042-02-25      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4DU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24643475 | PA      | $24976256.31   | 0.38%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138EPS88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     585793 | PA      | $569739.21     | 0.01%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140NELG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4447873 | PA      | $4584935.49    | 0.07%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                            | RCKT Mortgage Trust, Series 2024-CES9, Class A1B                           | CUSIP: 749426AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8418255 | PA      | $8499074.93    | 0.13%             | 2044-12-25      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust            | New Residential Mortgage Loan Trust, Series 2026-NQM1, Class A2            | CUSIP: 64832LAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9988803.51    | 0.15%             | 2065-11-25      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W4U47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45352320 | PA      | $45849087.72   | 0.69%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2012-100, Class FG                                     | CUSIP: 3136A8QW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7436 | PA      | $7403.54       | 0.00%             | 2042-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC        | Bayview Opportunity Master Fund VII LLC, Series 2024-CAR1, Class C         | CUSIP: 07336QAC6<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    1352145 | PA      | $1356554.57    | 0.02%             | 2031-12-26      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Galaxy Senior Participation Interest Trust 1   | Galaxy Senior Participation Interest Trust 1                               | CUSIP: 362922AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15169469 | PA      | $15250566.12   | 0.23%             | 2026-07-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     895219 | PA      | $890157.27     | 0.01%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US Auto Funding                                | US Auto Funding, Series 2021-1A, Class C                                   | CUSIP: 90355EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1447139 | PA      | $1222842.03    | 0.02%             | 2026-05-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC Gold Pool, 30 Year                                                   | CUSIP: 3132Y2M37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1541703 | PA      | $1496129.96    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class A2             | CUSIP: 26846MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3881000 | PA      | $3892752.06    | 0.06%             | 2060-12-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes             | Ally Bank Auto Credit-Linked Notes, Series 2025-A, Class C                 | CUSIP: 02007G5F6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10439613 | PA      | $10495884.39   | 0.16%             | 2033-06-15      | Fixed         | 4.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CDUZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7767886 | PA      | $8041558.34    | 0.12%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W0U52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32089463 | PA      | $31846379.08   | 0.48%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427BHP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3345241 | PA      | $3436860.92    | 0.05%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31427MHQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30097305 | PA      | $30410785.63   | 0.46%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1065595 | PA      | $1058756.12    | 0.02%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31426A2F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3326889 | PA      | $3431112.72    | 0.05%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17993896 | PA      | $17857588.90   | 0.27%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CEQL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4282406 | PA      | $4413380.64    | 0.07%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOPR Residential Mortgage Trust               | COOPR Residential Mortgage Trust, Series 2026-CES1, Class A1B              | CUSIP: 21689GAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7410000 | PA      | $7427166.35    | 0.11%             | 2061-01-01      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M2            | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7526000 | PA      | $7530101.67    | 0.11%             | 2045-01-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WGR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1221598 | PA      | $1114963.02    | 0.02%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140ATJA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4587241 | PA      | $4605567.76    | 0.07%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QCEU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     419092 | PA      | $384387.44     | 0.01%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding LLC         | Gracie Point International Funding LLC, Series 2024-1A, Class B            | CUSIP: 38410KAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3007000 | PA      | $3007871.13    | 0.05%             | 2028-03-01      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2007-18, Class FD                                             | CUSIP: 38375JC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6842 | PA      | $6796.15       | 0.00%             | 2037-04-20      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140AUYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5348742 | PA      | $5459995.11    | 0.08%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3RM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32521810 | PA      | $33490698.68   | 0.51%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     311083 | PA      | $306089.42     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133CG2E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9383719 | PA      | $9714319.27    | 0.15%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Other                                                                | CUSIP: 3140FX3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18994140 | PA      | $15937415.48   | 0.24%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                        | CUSIP: 35564KRN1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |   45174272 | PA      | $46474178.17   | 0.70%             | 2042-02-25      | Floating      | 7.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12528358 | PA      | $12118465.87   | 0.18%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XR2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27479940 | PA      | $28053741.84   | 0.42%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135911 | PA      | $133716.41     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC, REMIC, Series 2469, Class FE                                        | CUSIP: 31392RC58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1330 | PA      | $1328.76       | 0.00%             | 2032-07-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   84405445 | PA      | $71598269.21   | 1.08%             | 2056-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140B9NM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6802144 | PA      | $6939160.04    | 0.11%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XBWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22704735 | PA      | $21961900.47   | 0.33%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-5, Class A1                                          | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14606797 | PA      | $14585687.52   | 0.22%             | 2030-07-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes         | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1675934 | PA      | $1656395.63    | 0.03%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                               | FHF Issuer Trust, Series 2023-2A, Class A2                                 | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1153052 | PA      | $1165159.93    | 0.02%             | 2029-10-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Bonds                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -1920 | NC      | $1173594.02    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Vontive Mortgage Trust                         | Vontive Mortgage Trust, Series 2025-RTL1, Class A1                         | CUSIP: 928884AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15444000 | PA      | $15686245.32   | 0.24%             | 2030-03-25      | Variable      | 6.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3138WJTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303248 | PA      | $275542.54     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                           | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     212609 | PA      | $204652.48     | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-133, Class FD                                            | CUSIP: 38377MHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20668 | PA      | $20673.54      | 0.00%             | 2040-10-16      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2021-R02, Class 2B2            | CUSIP: 20754KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5616000 | PA      | $5816946.10    | 0.09%             | 2041-11-25      | Floating      | 9.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140AXYF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1606484 | PA      | $1655677.86    | 0.03%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust            | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2            | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4077228 | PA      | $4093969.80    | 0.06%             | 2044-09-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XQVK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12600855 | PA      | $12995611.83   | 0.20%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     646190 | PA      | $606633.11     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y6DB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13576977 | PA      | $13997774.10   | 0.21%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140U4WQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11807108 | PA      | $11819907.60   | 0.18%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2005-65, Class FA                                             | CUSIP: 38374LL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17973 | PA      | $17799.14      | 0.00%             | 2035-08-20      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XPGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6292409 | PA      | $6489535.54    | 0.10%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2025-RCF4, Class A1                                       | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4774945 | PA      | $4750578.72    | 0.07%             | 2055-08-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, REMIC, Series 2012-126, Class SY                                     | CUSIP: 3136A9ZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     473554 | PA      | $227141.14     | 0.00%             | 2042-11-25      | Floating      | 0.19%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                    | FIGRE Trust, Series 2025-HE5, Class B                                      | CUSIP: 31684MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1348991 | PA      | $1350177.46    | 0.02%             | 2055-08-25      | Variable      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156210 | PA      | $155207.05     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                       | PRPM LLC, Series 2024-RCF2, Class A1                                       | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2313057 | PA      | $2296775.02    | 0.03%             | 2054-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W1QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17124518 | PA      | $16986796.10   | 0.26%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3131YDFA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302390 | PA      | $291600.73     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140XKZW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6492761 | PA      | $6696200.70    | 0.10%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3133C7HP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1097966 | PA      | $1133431.57    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes       | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1          | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13138819 | PA      | $13292289.71   | 0.20%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140QS3W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19713134 | PA      | $20317862.77   | 0.31%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 15 Year                                                              | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51650 | PA      | $50371.38      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-116, Class LF                                            | CUSIP: 38384EFT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4220913 | PA      | $4259199.56    | 0.06%             | 2053-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158468 | PA      | $153583.96     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                        | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                        | CUSIP: 35564KJP5<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   23964288 | PA      | $24132799.18   | 0.37%             | 2041-09-25      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140W3BY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  117110671 | PA      | $116517867.21  | 1.77%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS, 30 Year                                                              | CUSIP: 3142JQ3E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13012853 | PA      | $13225186.60   | 0.20%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 15 Year                                                              | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43136 | PA      | $41763.09      | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A1VD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2607706 | PA      | $2659785.81    | 0.04%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140A34Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2113931 | PA      | $2178584.59    | 0.03%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust             | Ellington Financial Mortgage Trust, Series 2026-CES1, Class M1             | CUSIP: 26846MAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1166000 | PA      | $1165519.72    | 0.02%             | 2060-12-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Kinetic ABS Issuer LLC                         | Kinetic ABS Issuer LLC, Series 2026-1A, Class B                            | CUSIP: 49459AAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4810000 | PA      | $4813865.59    | 0.07%             | 2056-02-25      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2004-69, Class CF                                             | CUSIP: 38374JAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25117 | PA      | $25111.32      | 0.00%             | 2034-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H022622<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -44240000 | PA      | $-38309849.20  | -0.58%            | 2056-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, Single Family, 30 Year                                            | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  183586000 | PA      | $185565057.08  | 2.81%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Rithm Capital Corp.                            | Rithm Capital Corp.                                                        | CUSIP: 64828TAB8<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |    9213000 | PA      | $9412341.68    | 0.14%             | 2029-04-01      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, Single Family, 30 Year                                               | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -45653000 | PA      | $-42212087.74  | -0.64%            | 2056-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS, 30 Year                                                              | CUSIP: 3140Y7KH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21744572 | PA      | $22024892.06   | 0.33%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RAM LLC                                        | RAM LLC, Series 2024-1, Class A                                            | CUSIP: 751313AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2219417 | PA      | $2220302.20    | 0.03%             | 2039-02-15      | Fixed         | 6.67%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

**Name of Applicant:** Janus Detroit Street Trust

**Signature:** Jesper Nergaard

**Name of Signer:** Jesper Nergaard

**Title:** VP, CFO, Treasurer, and Principal Accounting Officer