# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-25-004159
**Filing Date:** 2025-10
**Character Count:** 1129065
**Document Hash:** 1ea918b197d0ffb40b93cccc079293d9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-004159.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0002071691-25-004159

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** J.P. Morgan Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001485894

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22903
- **FILM NUMBER:** 251429175

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** (800) 480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

## Series and Classes Contracts Data

### JPMorgan Mortgage-Backed Securities ETF (Series ID: S000090417)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000257464 | JPMorgan Mortgage-Backed Securities ETF | JMTG            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** J.P. Morgan Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22903

- **c. CIK number of Registrant:** 0001485894

- **d. LEI of Registrant:** 5493001E1K1DVWDV2464

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

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 844-457-6383

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

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

- **b. EDGAR series identifier (if any):** S000090417

- **c. LEI of Series:** 5299009W5D9FG1N8GU90

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-08-31

**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:** $5986347702.67

**Total Liabilities:** $80746627.20

**Net Assets:** $5905601075.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1448.69093000 | **1-Year:** 108797.72576000 | **5-Year:** 1164101.67249000 | **10-Year:** 1469845.01649000 | **30-Year:** 6420.35503000

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

- **3-Month:** 143.07184000 | **1-Year:** 9596.35370000 | **5-Year:** 21431.49203000 | **10-Year:** 2756.87955000 | **30-Year:** 96.41884000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000257464 | 1.63%                | -0.32%               | 1.53%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4500464.04             | $77842556.44                               |
| Month 2  | $798219.35               | $-39104061.87                              |
| Month 3  | $1029426.33              | $65075902.21                               |

**Designated Index Information**

- **Index Name:** Global Aggregate - U.S. MBS

- **Index Identifier:** 3446TRUSD0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSML7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2262184 | PA      | $2285512.39   | 0.04%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-73, Class JL                                                                   | CUSIP: 38374H2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388146 | PA      | $35294.32     | 0.00%             | 2034-09-16      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Manufactured Housing Contract Trust                   | Madison Avenue Manufactured Housing Contract Trust, Series 2002-A                                | CUSIP: 55660AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17074429 | PA      | $95459.72     | 0.00%             | 2032-03-25      | Fixed         | 0.30%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-93, Class AS                                                                   | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97935 | PA      | $5783.19      | 0.00%             | 2038-12-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622A2MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1352625 | PA      | $1271034.31   | 0.02%             | 2044-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H02, Class HF                                                                  | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       258 | PA      | $256.31       | 0.00%             | 2062-11-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KEB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3984361 | PA      | $3488341.30   | 0.06%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-45, Class QA                                                                   | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48914 | PA      | $3308.61      | 0.00%             | 2037-07-20      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1701095 | PA      | $1558106.36   | 0.03%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-57CB, Class 3A2                                              | CUSIP: 12668AYH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140469 | PA      | $10970.11     | 0.00%             | 2035-12-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427NUB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22716126 | PA      | $22610481.69  | 0.38%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class TP                                                              | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59311 | PA      | $59835.59     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-13, Class 1A1                                               | CUSIP: 36228FYY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19113 | PA      | $19167.73     | 0.00%             | 2033-10-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617HGFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2051654 | PA      | $2041078.04   | 0.03%             | 2048-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-22, Class SC                                                            | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3775 | PA      | $119.59       | 0.00%             | 2037-03-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2024-A, Class C                                                                | CUSIP: 40472QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8176494 | PA      | $8303404.05   | 0.14%             | 2043-03-15      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-2A, Class C                                                                 | CUSIP: 55389QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3802399 | PA      | $3747006.46   | 0.06%             | 2042-03-20      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-1A, Class C                                                                 | CUSIP: 62847RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1192174 | PA      | $1214675.05   | 0.02%             | 2043-02-20      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNS70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1667851 | PA      | $1524825.95   | 0.03%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-5, Class 30                                            | CUSIP: 576434RP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61218 | PA      | $45435.64     | 0.00%             | 2034-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3740, Class SC                                                              | CUSIP: 3137GARQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183924 | PA      | $20358.18     | 0.00%             | 2040-10-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QJWQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4782 | PA      | $4937.63      | 0.00%             | 2037-02-01      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-91, Class SD                                                            | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10196 | PA      | $10607.32     | 0.00%             | 2033-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2023-HB1, Class M1                                           | CUSIP: 67578KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1522959.94   | 0.03%             | 2036-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H11, Class FD                                                                  | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527863 | PA      | $531780.59    | 0.01%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                        | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                          | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1118284 | PA      | $1059740.59   | 0.02%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S3, Class 1A4                         | CUSIP: 929227T30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28269 | PA      | $28000.78     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQXA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1079018 | PA      | $1050174.81   | 0.02%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                                | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5456000 | PA      | $4948708.99   | 0.08%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3895, Class WA                                                              | CUSIP: 3137ACX95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75076 | PA      | $78469.47     | 0.00%             | 2038-10-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                        | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21262 | PA      | $19557.91     | 0.00%             | 2034-06-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSDM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4263610 | PA      | $4483187.56   | 0.08%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4N85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1420189 | PA      | $1300703.04   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335ADJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1015026 | PA      | $1034989.82   | 0.02%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2002-W10                                                   | CUSIP: 31392ET34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782634 | PA      | $30656.31     | 0.00%             | 2042-08-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FARM Mortgage Trust                                                  | FARM Mortgage Trust, Series 2023-1, Class A                                                      | CUSIP: 30767YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7923683 | PA      | $6603066.37   | 0.11%             | 2052-01-25      | Variable      | 2.63%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ALN20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1531261 | PA      | $1390981.60   | 0.02%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2471053 | PA      | $2098592.46   | 0.04%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates     | Cendant Mortgage Capital CDMC Mortgage Pass-Through Certificates, Series 2003-9, Class 1P        | CUSIP: 15132EGQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2939 | PA      | $2254.27      | 0.00%             | 2033-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2475472 | PA      | $2315916.14   | 0.04%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8431518 | PA      | $7057796.49   | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                             | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    169424 | PA      | $129920.86    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class PS                                                            | CUSIP: 31395DTS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55339 | PA      | $49840.92     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266065 | PA      | $256780.79    | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W1WB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15514118 | PA      | $13560912.57  | 0.23%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCVQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $10432382.88  | 0.18%             | 2031-07-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4692595 | PA      | $4264542.59   | 0.07%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1735154 | PA      | $1558309.42   | 0.03%             | 2051-01-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36241LXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278058 | PA      | $294343.05    | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFZZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9949329 | PA      | $9154661.25   | 0.16%             | 2032-04-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5054, Class DZ                                                              | CUSIP: 3137F75J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14583839 | PA      | $7155559.25   | 0.12%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-130, Class CY                                                           | CUSIP: 31398N3Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1259944 | PA      | $1267030.26   | 0.02%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RFT TRUST                                                            | RFT TRUST, Series 2024-2, Class A1                                                               | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14686369 | PA      | $14670948.51  | 0.25%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2450, Class SW                                                              | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11208 | PA      | $1082.96      | 0.00%             | 2032-03-15      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                        | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                        | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164730 | PA      | $164655.45    | 0.00%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFSG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4358000 | PA      | $3700026.33   | 0.06%             | 2035-10-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7BQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119257 | PA      | $118016.09    | 0.00%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-7CB, Class 1A2                                               | CUSIP: 12668BXT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6859873 | PA      | $687034.80    | 0.01%             | 2036-05-25      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3546, Class A                                                               | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18339 | PA      | $18652.67     | 0.00%             | 2039-02-15      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MFNE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7572712 | PA      | $6302418.13   | 0.11%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2703819 | PA      | $2461690.46   | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5                   | CUSIP: 31393RGG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    619042 | PA      | $588212.29    | 0.01%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-10, Class SA                                                                   | CUSIP: 38374TAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122781 | PA      | $8526.15      | 0.00%             | 2039-02-20      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FFTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655734 | PA      | $608067.72    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                  | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14900000 | PA      | $15026119.56  | 0.25%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7FN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459935 | PA      | $451769.43    | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-111, Class EO                                                           | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23365 | PA      | $18940.04     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 406                                                                        | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6939195 | PA      | $5768964.34   | 0.10%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-1B, Class C                                            | CUSIP: 43283YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1308939 | PA      | $1341898.90   | 0.02%             | 2039-09-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36204US28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96514 | PA      | $93381.90     | 0.00%             | 2041-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1439032 | PA      | $1446030.27   | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M10, Class A2                                                             | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26000000 | PA      | $22688322.80  | 0.38%             | 2032-01-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHKA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2096000 | PA      | $1932340.61   | 0.03%             | 2038-04-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58, Class AP                                                            | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25669 | PA      | $20931.96     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class SK                                                            | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13673 | PA      | $14231.29     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3318, Class BT                                                              | CUSIP: 31397HCY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371503 | PA      | $373978.84    | 0.01%             | 2034-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31418MFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26090 | PA      | $27002.08     | 0.00%             | 2037-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3422, Class AI                                                              | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232612 | PA      | $2378.36      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-149, Class TS                                                                  | CUSIP: 38382KCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15434268 | PA      | $357473.07    | 0.01%             | 2050-10-20      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LE6W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5464764 | PA      | $4664043.85   | 0.08%             | 2034-01-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36180BAT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489031 | PA      | $482025.15    | 0.01%             | 2032-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1193569 | PA      | $1095510.55   | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617FDDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4458626 | PA      | $4706386.52   | 0.08%             | 2052-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-31, Class HC                                                                   | CUSIP: 38381RXH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1299362 | PA      | $1263474.74   | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9QH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1928405 | PA      | $1765397.10   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3611                                                                        | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67268 | PA      | $59787.71     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class SK                                                            | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7556 | PA      | $8030.84      | 0.00%             | 2034-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPES9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1966295 | PA      | $1669946.93   | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJTN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    571601 | PA      | $578336.22    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009233 | PA      | $1016432.70   | 0.02%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FRQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1435386 | PA      | $1339887.64   | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2007-QS1, Class 1A1                                                           | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84758 | PA      | $67795.81     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H16, Class F                                                                   | CUSIP: 38375UD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1193776 | PA      | $1198353.78   | 0.02%             | 2067-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-55, Class SA                                                                   | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60456 | PA      | $842.31       | 0.00%             | 2038-06-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1211214 | PA      | $1110288.78   | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2434, Class TC                                                              | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16678 | PA      | $17481.73     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-4, Class BD                                                             | CUSIP: 31397MW94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2706 | PA      | $2501.88      | 0.00%             | 2039-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406VJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4223 | PA      | $4289.41      | 0.00%             | 2035-05-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series G97-2, Class ZA                                                              | CUSIP: 31359NSL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2497 | PA      | $2531.72      | 0.00%             | 2027-02-17      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2061, Class DC                                                              | CUSIP: 3133TEHE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6257 | PA      | $303.09       | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4900 | PA      | $4987.43      | 0.00%             | 2028-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LK6E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5050000 | PA      | $5131941.50   | 0.09%             | 2032-10-01      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-63, Class P                                                             | CUSIP: 31396QWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6568 | PA      | $6463.40      | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-2, Class LZ                                                             | CUSIP: 3136AB4N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34490 | PA      | $24117.03     | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618F3TM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1207518 | PA      | $1219515.82   | 0.02%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1977360 | PA      | $1995530.34   | 0.03%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q8DW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584260 | PA      | $547989.19    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138W6A63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    940465 | PA      | $880865.53    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXZA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197330 | PA      | $1178590.04   | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    452804 | PA      | $461718.84    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                           | ROCK Trust, Series 2024-CNTR, Class B                                                            | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5171120.00   | 0.09%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H05                                                                            | CUSIP: 38380L5P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19368854 | PA      | $1128752.91   | 0.02%             | 2070-03-20      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    888593 | PA      | $813444.45    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFS93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1019718 | PA      | $1024822.33   | 0.02%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NV7K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5436000 | PA      | $5501664.27   | 0.09%             | 2030-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class SG                                                            | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41953 | PA      | $45677.60     | 0.00%             | 2035-07-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427MSR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20831616 | PA      | $17470348.70  | 0.30%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132FYBH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1825351 | PA      | $1742235.36   | 0.03%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKUK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5235818 | PA      | $5254021.79   | 0.09%             | 2035-02-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-163, Class WA                                                                  | CUSIP: 38378AS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507438 | PA      | $526208.44    | 0.01%             | 2038-12-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H26, Class FC                                                                  | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    398594 | PA      | $400751.34    | 0.01%             | 2066-12-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class AK73                                               | CUSIP: 05494BAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17316000 | PA      | $15961023.00  | 0.27%             | 2051-02-27      | Variable      | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates          | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A3           | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77582 | PA      | $16255.42     | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW3X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    501849 | PA      | $468362.08    | 0.01%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455895 | PA      | $456548.33    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5159598 | PA      | $4570254.29   | 0.08%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-1A, Class A                                                         | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175138 | PA      | $161515.75    | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2789479 | PA      | $2787527.46   | 0.05%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1168986 | PA      | $1132688.47   | 0.02%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-23, Class KO                                                            | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15189 | PA      | $13802.54     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JI                                                                   | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235792 | PA      | $19155.78     | 0.00%             | 2037-04-16      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2132, Class ZL                                                              | CUSIP: 3133TJVY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2796 | PA      | $2824.16      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2075699 | PA      | $1943523.67   | 0.03%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-56, Class S                                                             | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100080 | PA      | $8510.98      | 0.00%             | 2035-07-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2001-W3, Class A                                           | CUSIP: 3139216F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174708 | PA      | $174705.55    | 0.00%             | 2041-09-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                  | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115365 | PA      | $110057.53    | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M7, Class A2                                                              | CUSIP: 3136B1K86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3868818 | PA      | $3784337.86   | 0.06%             | 2028-03-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWPL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827499 | PA      | $780094.15    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1078775 | PA      | $1027011.14   | 0.02%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                      | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26014 | PA      | $24855.52     | 0.00%             | 2034-05-20      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31416XA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71532 | PA      | $66613.39     | 0.00%             | 2040-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR7, Class C                                            | CUSIP: 74333PAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6246000 | PA      | $5815433.86   | 0.10%             | 2040-08-17      | Fixed         | 2.04%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1769771 | PA      | $1504181.55   | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                       | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51002 | PA      | $30772.51     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31384LXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       329 | PA      | $345.89       | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3618AGUJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3538507 | PA      | $3735244.72   | 0.06%             | 2053-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                               | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13251330 | PA      | $11128699.08  | 0.19%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1988461 | PA      | $1825337.23   | 0.03%             | 2044-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-3A, Class A1                                                     | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292354 | PA      | $276839.85    | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3387, Class SA                                                              | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92224 | PA      | $7550.08      | 0.00%             | 2037-11-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-26, Class SC                                                                   | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108081 | PA      | $2976.74      | 0.00%             | 2037-05-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2401742 | PA      | $2188069.89   | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ASZ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1060624 | PA      | $891735.38    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-53, Class US                                                            | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101062 | PA      | $8203.91      | 0.00%             | 2036-06-25      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT1, Class B                                                  | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1013284.50   | 0.02%             | 2027-04-25      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-61, Class Z                                                             | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38340 | PA      | $39845.99     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                                 | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   5780000 | PA      | $5789956.63   | 0.10%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1397665 | PA      | $1360304.18   | 0.02%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KFSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316492 | PA      | $299260.21    | 0.01%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2367, Class ZK                                                              | CUSIP: 31339GJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43859 | PA      | $45500.92     | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5880327 | PA      | $4927614.02   | 0.08%             | 2033-03-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                           | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $1711723.50   | 0.03%             | 2046-08-15      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31427MJK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14837390 | PA      | $12969825.40  | 0.22%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                           | FNMA/FHLMC UMBS, Single Family, 30 Year                                                          | CUSIP: 01F050692<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  51485000 | PA      | $50770773.31  | 0.86%             | 2055-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKE66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6583000 | PA      | $6580944.92   | 0.11%             | 2033-04-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-52, Class WA                                                                   | CUSIP: 38375CE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1188555 | PA      | $1231775.19   | 0.02%             | 2038-04-20      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                            | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    919880 | PA      | $788924.96    | 0.01%             | 2035-09-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class PI                                                                  | CUSIP: 38380QA85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31559039 | PA      | $1591728.54   | 0.03%             | 2071-02-20      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 2010-1, Class DZ                                                   | CUSIP: 92261XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1095830 | PA      | $1068988.74   | 0.02%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1028186 | PA      | $1035188.02   | 0.02%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XL6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19772703 | PA      | $15825337.49  | 0.27%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108191 | PA      | $1114199.80   | 0.02%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3533240 | PA      | $3044239.90   | 0.05%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L96Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    791161 | PA      | $774271.80    | 0.01%             | 2027-06-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4848, Class QY                                                              | CUSIP: 3137FKFH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    599419 | PA      | $586441.97    | 0.01%             | 2048-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4903, Class SN                                                              | CUSIP: 3137FN5U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7125608 | PA      | $829667.32    | 0.01%             | 2049-08-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AGX46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2816136 | PA      | $2851917.59   | 0.05%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3618BHKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9759817 | PA      | $10131071.11  | 0.17%             | 2053-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2557, Class HL                                                              | CUSIP: 31393JLU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145178 | PA      | $146644.22    | 0.00%             | 2033-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-100, Class MY                                                                  | CUSIP: 38377XBW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    707301 | PA      | $696530.10    | 0.01%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1301163 | PA      | $1154145.13   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34133 | PA      | $35216.18     | 0.00%             | 2036-06-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617KGQ60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    715552 | PA      | $692200.11    | 0.01%             | 2040-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-116, Class HI                                                           | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270886 | PA      | $16119.26     | 0.00%             | 2038-01-25      | Floating      | 1.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XHEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3298345 | PA      | $3086243.10   | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QGT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4259790 | PA      | $3570462.55   | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N7DV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1773071 | PA      | $1732864.87   | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ACE55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7372160 | PA      | $7253241.74   | 0.12%             | 2073-01-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K36Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    312627 | PA      | $314192.33    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YRC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12791139 | PA      | $11388926.52  | 0.19%             | 2054-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-101, Class DO                                                           | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738003 | PA      | $538865.48    | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NYPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $3277730.33   | 0.06%             | 2035-11-01      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H05, Class QI                                                                  | CUSIP: 38380QJ45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 108494444 | PA      | $3798694.27   | 0.06%             | 2071-03-20      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                 | Lhome Mortgage Trust, Series 2025-RTL2, Class A1                                                 | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   7590000 | PA      | $7651124.55   | 0.13%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4148715.84   | 0.07%             | 2033-01-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10381252 | PA      | $8746737.74   | 0.15%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417KPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50168 | PA      | $49707.34     | 0.00%             | 2034-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJBY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1928427 | PA      | $2005112.05   | 0.03%             | 2036-03-01      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A7                                              | CUSIP: 12668ANZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5678 | PA      | $4402.22      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8331602 | PA      | $6993133.00   | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QWN62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    438641 | PA      | $406269.22    | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M49, Class 1A1                                                            | CUSIP: 3136BCC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2047730 | PA      | $1912609.87   | 0.03%             | 2030-11-25      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14882989 | PA      | $11961580.66  | 0.20%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16910 | PA      | $17168.20     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26299 | PA      | $27032.02     | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M52J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66156 | PA      | $70243.05     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H13, Class FD                                                                  | CUSIP: 38376RUV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194868 | PA      | $194255.86    | 0.00%             | 2066-05-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                                | Bastion Funding I LLC, Series 2023-1A, Class A2                                                  | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   3562678 | PA      | $3586177.74   | 0.06%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       292 | PA      | $300.80       | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2444, Class ES                                                              | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9889 | PA      | $893.77       | 0.00%             | 2032-03-15      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607, Class AO                                                              | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57710 | PA      | $49565.13     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 30                                            | CUSIP: 576434PD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54399 | PA      | $40538.32     | 0.00%             | 2034-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1                                  | CUSIP: 576433LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12412 | PA      | $11733.35     | 0.00%             | 2034-05-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BXX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105884 | PA      | $97796.29     | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2201, Class C                                                               | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2377 | PA      | $2433.41      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FHCW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012754 | PA      | $991010.96    | 0.02%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XP5J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5937772 | PA      | $6218997.85   | 0.11%             | 2071-12-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11623083 | PA      | $9657357.51   | 0.16%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1559973 | PA      | $1485060.60   | 0.03%             | 2048-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJXN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5355080 | PA      | $5296238.60   | 0.09%             | 2031-05-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3903643 | PA      | $4104683.30   | 0.07%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 31346YUV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    884119 | PA      | $838717.37    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-54, Class WI                                                            | CUSIP: 31396WFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141940 | PA      | $12904.56     | 0.00%             | 2037-06-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600333 | PA      | $552943.32    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4       | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117793 | PA      | $104684.57    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEYM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16418000 | PA      | $14387345.09  | 0.24%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                             | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3351290 | PA      | $3022087.77   | 0.05%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K79, Class C                                                   | CUSIP: 302956AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4030000 | PA      | $3943325.98   | 0.07%             | 2051-07-25      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-99, Class SC                                                            | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31552 | PA      | $2446.46      | 0.00%             | 2039-12-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                   | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                     | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115597 | PA      | $114484.41    | 0.00%             | 2033-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E6S94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1484489 | PA      | $1414062.62   | 0.02%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604690 | PA      | $1358168.03   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11357 | PA      | $11672.43     | 0.00%             | 2038-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    751195 | PA      | $701040.21    | 0.01%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31409TVS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26437 | PA      | $27841.45     | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Series 2001-W4, Class AF6                                                     | CUSIP: 3139216U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1095 | PA      | $1093.30      | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2025-A, Class C                                                                | CUSIP: 433403AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4879369 | PA      | $4929454.12   | 0.08%             | 2044-03-15      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W3, Class 1A3                                         | CUSIP: 31396VQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49782 | PA      | $50541.74     | 0.00%             | 2037-04-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                                  | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7425777 | PA      | $7206196.41   | 0.12%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MST70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288969 | PA      | $279955.76    | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A3                                        | CUSIP: 31392B6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164437 | PA      | $173642.55    | 0.00%             | 2041-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-39                                                                      | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6943 | PA      | $1015.53      | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620C4Z78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30820 | PA      | $31962.35     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-130, Class GI                                                           | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56367 | PA      | $3521.49      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4AG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6193 | PA      | $6235.97      | 0.00%             | 2035-12-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HPKR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1152731 | PA      | $1119541.99   | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1999-62, Class PB                                                            | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3470 | PA      | $3517.60      | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K1XU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2335397 | PA      | $2272175.73   | 0.04%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                              | Wachovia Bank Commercial Mortgage Trust, Series 2006-C24, Class XC                               | CUSIP: 92976BGA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24512 | PA      | $0.25         | 0.00%             | 2045-03-15      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31419ABT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10995 | PA      | $11234.85     | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-30, Class ZA                                                            | CUSIP: 31359TUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43039 | PA      | $43698.35     | 0.00%             | 2028-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2003-A5, Class A1                                 | CUSIP: 45660NPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74205 | PA      | $76366.28     | 0.00%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1556012 | PA      | $1424980.75   | 0.02%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15144624 | PA      | $14249471.90  | 0.24%             | 2058-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KGYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1525660 | PA      | $1446372.49   | 0.02%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q8DX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628523 | PA      | $589320.33    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-130, Class SX                                                           | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1472 | PA      | $1521.46      | 0.00%             | 2034-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MW7L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655515 | PA      | $656321.85    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    866640 | PA      | $867880.99    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14926094 | PA      | $13762119.99  | 0.23%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BYFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10725764 | PA      | $10184786.58  | 0.17%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                        | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $652719.60    | 0.01%             | 2045-03-15      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-1D, Class C                                            | CUSIP: 43283BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    671846 | PA      | $668857.55    | 0.01%             | 2034-06-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    817669 | PA      | $693770.55    | 0.01%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-16, Class HZ                                                            | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44693 | PA      | $46780.17     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3122, Class OH                                                              | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3941 | PA      | $3438.24      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A2                                 | CUSIP: 59020ULR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64266 | PA      | $60868.20     | 0.00%             | 2034-08-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-7, Class LO                                                             | CUSIP: 31394B5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131208 | PA      | $119706.10    | 0.00%             | 2035-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-36, Class DE                                                            | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14747 | PA      | $15334.14     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617YGBE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3160736 | PA      | $2861129.67   | 0.05%             | 2072-03-20      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K71, Class B                                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1240000 | PA      | $1215166.89   | 0.02%             | 2050-11-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K54, Class C                                                   | CUSIP: 30288RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3691000 | PA      | $3662226.81   | 0.06%             | 2048-04-25      | Variable      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H22, Class IH                                                                  | CUSIP: 38380QSQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10853438 | PA      | $583589.15    | 0.01%             | 2070-12-20      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1290367 | PA      | $1205475.45   | 0.02%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19117091 | PA      | $16540669.67  | 0.28%             | 2032-03-01      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5984585 | PA      | $5104840.74   | 0.09%             | 2033-05-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                         | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6413 | PA      | $8626.22      | 0.00%             | 2037-07-25      | Floating      | 12.40%                | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3                                                   | CUSIP: 12669FQB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4840 | PA      | $3745.56      | 0.00%             | 2034-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1240600 | PA      | $1161596.59   | 0.02%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142928 | PA      | $143017.72    | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31409XPM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6186 | PA      | $6207.30      | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-44                                                                      | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8693 | PA      | $7712.55      | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-43, Class B                                                                    | CUSIP: 38383XCA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15265435 | PA      | $14432830.25  | 0.24%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3322, Class NS                                                              | CUSIP: 31397HMC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    288316 | PA      | $286473.63    | 0.00%             | 2037-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT2, Class B                                                  | CUSIP: 30259RAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3357000 | PA      | $3484139.66   | 0.06%             | 2027-07-25      | Fixed         | 10.07%                | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6167643 | PA      | $5283454.27   | 0.09%             | 2064-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617FDD75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4050012 | PA      | $4194145.12   | 0.07%             | 2052-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3421710 | PA      | $3115283.82   | 0.05%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LEQV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5111770 | PA      | $4724879.68   | 0.08%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-2, Class WA                                                             | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48997 | PA      | $51002.74     | 0.00%             | 2051-02-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QA6, Class A32                                                           | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446478 | PA      | $234023.97    | 0.00%             | 2035-05-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209739 | PA      | $203226.37    | 0.00%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393215 | PA      | $388491.47    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617FGLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4350671 | PA      | $4313466.97   | 0.07%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-46, Class ZK                                                            | CUSIP: 31396VB56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58876 | PA      | $61760.70     | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A                   | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31058 | PA      | $32092.67     | 0.00%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       949 | PA      | $939.81       | 0.00%             | 2029-03-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JPRJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260863 | PA      | $254297.45    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4670194 | PA      | $4187167.09   | 0.07%             | 2032-03-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                         | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12841 | PA      | $12057.32     | 0.00%             | 2034-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2705682 | PA      | $2399936.87   | 0.04%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1193691 | PA      | $1115418.78   | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-90, Class AO                                                            | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29784 | PA      | $26781.76     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                                   | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13471988 | PA      | $13611330.09  | 0.23%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class OG                                                              | CUSIP: 31396HVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21969 | PA      | $19466.49     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2003-4, Class 1A5                                                    | CUSIP: 161546FV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176871 | PA      | $174096.37    | 0.00%             | 2033-05-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2021-MH1, Class M1                                                | CUSIP: 14731QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1568050.60   | 0.03%             | 2046-02-25      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-72, Class SM                                                                   | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197398 | PA      | $15767.36     | 0.00%             | 2039-08-16      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $9032940.36   | 0.15%             | 2030-09-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QQXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8665080 | PA      | $7888688.19   | 0.13%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-5F, Class 8A3                                               | CUSIP: 36242D7M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17207 | PA      | $16630.36     | 0.00%             | 2035-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2665664.07   | 0.05%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AQ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1410119 | PA      | $1322510.73   | 0.02%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class C                                | CUSIP: 82653HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3659411 | PA      | $3700719.52   | 0.06%             | 2044-04-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-129, Class AW                                                                  | CUSIP: 38377MBJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154272 | PA      | $158298.32    | 0.00%             | 2037-04-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHQT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4238000 | PA      | $4233669.53   | 0.07%             | 2031-11-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745909 | PA      | $758593.98    | 0.01%             | 2049-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                             | Ajax Mortgage Loan Trust, Series 2022-A, Class A1                                                | CUSIP: 009695AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1804730 | PA      | $1756555.81   | 0.03%             | 2061-10-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-4, Class 30                                           | CUSIP: 05946XA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19885 | PA      | $13598.33     | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-33, Class XS                                                                   | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59791 | PA      | $3381.70      | 0.00%             | 2038-04-16      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2006548 | PA      | $1911438.97   | 0.03%             | 2048-01-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3623, Class LO                                                              | CUSIP: 31398LYU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92576 | PA      | $77153.42     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                 | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375864 | PA      | $37090.27     | 0.00%             | 2041-07-25      | Variable      | 3.17%                 | Yes           |                  3 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2005-3, Class AX2                                           | CUSIP: 576434P24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480229 | PA      | $73371.17     | 0.00%             | 2035-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411BAT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       328 | PA      | $335.96       | 0.00%             | 2036-11-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11887172 | PA      | $10363896.72  | 0.18%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2K65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6732289 | PA      | $6129381.05   | 0.10%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2995000 | PA      | $3020394.28   | 0.05%             | 2033-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNSN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    768826 | PA      | $690467.64    | 0.01%             | 2051-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-71, Class ST                                                                   | CUSIP: 38374JBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8652 | PA      | $8730.87      | 0.00%             | 2034-09-20      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349657 | PA      | $331939.69    | 0.01%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class M55D                             | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6905283 | PA      | $6471636.49   | 0.11%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4936, Class YZ                                                              | CUSIP: 3137FQJ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2077961 | PA      | $1744088.37   | 0.03%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4N93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    583304 | PA      | $535756.10    | 0.01%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                            | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13562 | PA      | $9676.89      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RCF3, Class A1                                                             | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3640091 | PA      | $3590587.84   | 0.06%             | 2054-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763453 | PA      | $713082.93    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR11, Class A6                        | CUSIP: 92922FJF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160734 | PA      | $152102.69    | 0.00%             | 2033-10-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXWA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1012621 | PA      | $1034299.38   | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K56, Class B                                                   | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1584917.60   | 0.03%             | 2049-06-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNRL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8649664 | PA      | $7224042.66   | 0.12%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200MFH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6105 | PA      | $6213.43      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3590 | PA      | $3732.05      | 0.00%             | 2036-03-01      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1300368 | PA      | $1217550.43   | 0.02%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXBP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1900937 | PA      | $1892887.25   | 0.03%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGT35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1243099 | PA      | $1128916.64   | 0.02%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7829781 | PA      | $7320207.29   | 0.12%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    687477 | PA      | $629587.12    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XLG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4113085 | PA      | $3474624.76   | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M2S, Class A2                                                             | CUSIP: 3136BJZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1041007 | PA      | $910733.72    | 0.02%             | 2031-10-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                 | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126250 | PA      | $56945.96     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFEY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3528424.72   | 0.06%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                            | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                            | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118710 | PA      | $116399.39    | 0.00%             | 2035-06-19      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618GRZP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1990271 | PA      | $2073399.69   | 0.04%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                   | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21509 | PA      | $21811.60     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UHAA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6442074 | PA      | $5864846.20   | 0.10%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-26, Class AK                                                                   | CUSIP: 38378JBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493595 | PA      | $500108.75    | 0.01%             | 2041-09-20      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                 | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22956 | PA      | $22528.37     | 0.00%             | 2034-12-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2990, Class WP                                                              | CUSIP: 31395V4V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       294 | PA      | $301.98       | 0.00%             | 2035-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4300 | PA      | $4415.73      | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                     | Multi-Family Connecticut Avenue Securities Trust, Series 2023-01, Class M7                       | CUSIP: 62548NAA6<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |   7891502 | PA      | $8226737.85   | 0.14%             | 2053-11-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3149, Class SO                                                              | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31217 | PA      | $25096.63     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                               | Invitation Homes Trust, Series 2024-SFR1, Class D                                                | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8810000 | PA      | $8463439.27   | 0.14%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    694028 | PA      | $659071.80    | 0.01%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKU50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5000106.60   | 0.08%             | 2033-06-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-30, Class LS                                                            | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156962 | PA      | $10994.19     | 0.00%             | 2041-04-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140M2TH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3828516 | PA      | $3182767.95   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2296, Class PD                                                              | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7066 | PA      | $7349.41      | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2025-SFR1, Class B                                                          | CUSIP: 10807GAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12150000 | PA      | $11644756.83  | 0.20%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3122, Class ZB                                                              | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34767 | PA      | $36792.07     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-23, Class KS                                                            | CUSIP: 31398MZR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56563 | PA      | $4786.69      | 0.00%             | 2040-02-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1429512 | PA      | $1385125.38   | 0.02%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3405618 | PA      | $3277606.41   | 0.06%             | 2032-05-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4696484.40   | 0.08%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                  | DBWF Mortgage Trust, Series 2015-LCM, Class A1                                                   | CUSIP: 23306NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178721 | PA      | $175591.68    | 0.00%             | 2034-06-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-12, Class IE                                                                   | CUSIP: 38374XPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381119 | PA      | $7433.88      | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 393, Class 6                                                                | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13858 | PA      | $1266.07      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1899, Class ZE                                                              | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1689 | PA      | $1703.47      | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XXCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9232597 | PA      | $9661371.19   | 0.16%             | 2071-12-20      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGXV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2184000 | PA      | $2098302.57   | 0.04%             | 2032-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M6, Class A1                                                              | CUSIP: 3136BFHB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3260347 | PA      | $3126438.74   | 0.05%             | 2033-03-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEU54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5301399.30   | 0.09%             | 2032-08-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    588873 | PA      | $550087.93    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       742 | PA      | $746.27       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NPYZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7586181 | PA      | $7490860.61   | 0.13%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                                | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1135182 | PA      | $1122053.10   | 0.02%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1146265 | PA      | $978397.08    | 0.02%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-112, Class ST                                                           | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97405 | PA      | $10183.48     | 0.00%             | 2040-01-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5250                                                                        | CUSIP: 3137H8RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10021362 | PA      | $3463147.14   | 0.06%             | 2052-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F2XL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1205680 | PA      | $1148733.80   | 0.02%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB15, Class M2                                                             | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1915000 | PA      | $1869521.05   | 0.03%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class NI                                                                   | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98945 | PA      | $6533.36      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QL6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  56758660 | PA      | $47736694.49  | 0.81%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617VJEN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3288994 | PA      | $2986946.97   | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QDLK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4956696 | PA      | $4336325.69   | 0.07%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H09, Class IE                                                                  | CUSIP: 38380QBJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5456960 | PA      | $226693.77    | 0.00%             | 2070-05-20      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-97, Class AI                                                                   | CUSIP: 38382GWQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8843619 | PA      | $1605559.84   | 0.03%             | 2050-07-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-2, Class E1                                          | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10554452 | PA      | $10188575.59  | 0.17%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128C6QE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61814 | PA      | $63830.41     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class A                    | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37963 | PA      | $26650.59     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213J5Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22210 | PA      | $22758.36     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                                  | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8523766.00   | 0.14%             | 2030-02-25      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-1, Class 30                                            | CUSIP: 576434LX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28031 | PA      | $19318.31     | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                  | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13050000 | PA      | $12805564.37  | 0.22%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5448111 | PA      | $5523730.87   | 0.09%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617L9E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    854915 | PA      | $859195.29    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9307529 | PA      | $7769387.53   | 0.13%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4982, Class JA                                                              | CUSIP: 3137FTPL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5569936 | PA      | $4451687.08   | 0.08%             | 2050-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4456, Class SA                                                              | CUSIP: 3137BGRJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2532392 | PA      | $295186.98    | 0.00%             | 2045-03-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-64, Class ZY                                                                   | CUSIP: 38383PT92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4481115 | PA      | $3107206.31   | 0.05%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55729 | PA      | $56544.55     | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-A5, Class 2A6                                | CUSIP: 5899293T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37099 | PA      | $36174.66     | 0.00%             | 2033-08-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WFJZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525099 | PA      | $487977.44    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-1, Class SA                                                             | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2626 | PA      | $3097.45      | 0.00%             | 2032-02-25      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410XC46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12909 | PA      | $13329.55     | 0.00%             | 2036-10-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    953218 | PA      | $867850.43    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617FG4Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4162923 | PA      | $4131172.88   | 0.07%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513983 | PA      | $516558.03    | 0.01%             | 2050-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10580 | PA      | $10784.69     | 0.00%             | 2034-09-01      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 299, Class 300                                                             | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175193 | PA      | $161225.71    | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3747, Class PY                                                              | CUSIP: 31398QUH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    770986 | PA      | $755355.12    | 0.01%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2017-FRE2, Class M6                                            | CUSIP: 89175GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1314379 | PA      | $1294528.26   | 0.02%             | 2047-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Trust                                               | Invitation Homes Trust, Series 2024-SFR1, Class B                                                | CUSIP: 46188DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6434000 | PA      | $6240487.16   | 0.11%             | 2041-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-13, Class ST                                                            | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1512 | PA      | $1587.40      | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180972 | PA      | $1219454.30   | 0.02%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        45 | PA      | $45.26        | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX5U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    715692 | PA      | $633902.76    | 0.01%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-72, Class EK                                                            | CUSIP: 31396WQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400243 | PA      | $44448.01     | 0.00%             | 2037-07-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-54, Class JZ                                                                   | CUSIP: 38374VZG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    643192 | PA      | $665037.26    | 0.01%             | 2039-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Long Bond                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        51 | NC      | $1507.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-44, Class B                                                             | CUSIP: 3136AKSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594523 | PA      | $565094.56    | 0.01%             | 2034-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618J8GS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1455801 | PA      | $1506809.48   | 0.03%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-120, Class PF                                                           | CUSIP: 31396LJ35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22845 | PA      | $22661.81     | 0.00%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-59, Class BG                                                            | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21266 | PA      | $18952.35     | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2643869 | PA      | $2278065.13   | 0.04%             | 2060-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF6Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2434434 | PA      | $2343142.12   | 0.04%             | 2031-04-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2247, Class Z                                                               | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3856 | PA      | $4010.28      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7L29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1519689 | PA      | $1446552.35   | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28375 | PA      | $29321.45     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117875 | PA      | $120711.73    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    718481 | PA      | $718716.80    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 313929RL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31052 | PA      | $31874.51     | 0.00%             | 2032-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Ltd.                                                       | Goodgreen Ltd., Series 2024-1A, Class B                                                          | CUSIP: 38217YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2744186 | PA      | $2679971.66   | 0.05%             | 2056-07-15      | Fixed         | 8.12%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3151                                                                        | CUSIP: 31396NU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83639 | PA      | $70882.47     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 312926KB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258210 | PA      | $263591.35    | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2372, Class F                                                               | CUSIP: 31339G4S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1761 | PA      | $1758.23      | 0.00%             | 2031-10-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H01, Class AI                                                                  | CUSIP: 38380QUM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  77507856 | PA      | $4621592.74   | 0.08%             | 2070-11-20      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJTG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4004532.84   | 0.07%             | 2030-12-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1759365 | PA      | $1660537.10   | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36183FAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127130 | PA      | $122751.48    | 0.00%             | 2044-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                           | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22413 | PA      | $21244.01     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JY2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1333036 | PA      | $1268285.15   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1214687 | PA      | $1124055.95   | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-112, Class SA                                                                  | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108881 | PA      | $527.31       | 0.00%             | 2033-12-16      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-103, Class SC                                                           | CUSIP: 31394ULM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120974 | PA      | $116707.86    | 0.00%             | 2035-07-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2494, Class SX                                                              | CUSIP: 31392UZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130361 | PA      | $9700.40      | 0.00%             | 2032-02-15      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    786835 | PA      | $762396.20    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class E1                                           | CUSIP: 74290XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2625000 | PA      | $2431769.55   | 0.04%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2004-4, Class 1AF                                              | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69474 | PA      | $62330.70     | 0.00%             | 2034-06-25      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXWB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908140 | PA      | $929148.37    | 0.02%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-42, Class SC                                                                   | CUSIP: 38374UVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151337 | PA      | $12555.93     | 0.00%             | 2039-06-20      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-39, Class OT                                                            | CUSIP: 31398PU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49386 | PA      | $43064.03     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LXWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    767869 | PA      | $766005.59    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H04, Class SA                                                                  | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    631041 | PA      | $630257.09    | 0.01%             | 2063-02-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Pass-Through Certificates          | Structured Asset Securities Corp. Pass-Through Certificates, Series 2002-AL1, Class A2           | CUSIP: 86358RXY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4607 | PA      | $3912.57      | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4947 | PA      | $5078.60      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10750312 | PA      | $9041465.24   | 0.15%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2021-1WA, Class B                                                                | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    837468 | PA      | $803583.13    | 0.01%             | 2041-01-22      | Fixed         | 1.44%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2586, Class WI                                                              | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39481 | PA      | $5295.40      | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1793139 | PA      | $1644722.19   | 0.03%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395409 | PA      | $370596.64    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H07, Class HA                                                                  | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359121 | PA      | $358618.28    | 0.01%             | 2063-03-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3747, Class CY                                                              | CUSIP: 31398QSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1178808 | PA      | $1185661.03   | 0.02%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-47, Class MT                                                            | CUSIP: 31396QHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7081 | PA      | $7355.71      | 0.00%             | 2039-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403C6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16108 | PA      | $16951.12     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                           | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272873 | PA      | $273719.34    | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    812680 | PA      | $764351.49    | 0.01%             | 2050-02-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1829, Class ZB                                                              | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $15.35        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKJZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6630000 | PA      | $6751356.98   | 0.11%             | 2031-01-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class A                                             | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1569152 | PA      | $1566266.12   | 0.03%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                           | Bear Stearns Asset-Backed Securities Trust, Series 2003-AC5, Class A1                            | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44999 | PA      | $51307.21     | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-4A, Class A2                                                     | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933278 | PA      | $913663.29    | 0.02%             | 2047-09-20      | Fixed         | 4.29%                 | Yes           |                  3 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2                                               | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25148 | PA      | $25504.58     | 0.00%             | 2035-07-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13745 | PA      | $14462.22     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1985, Class PR                                                              | CUSIP: 3133TAVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       798 | PA      | $34.53        | 0.00%             | 2027-07-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class XAM                 | CUSIP: 3137F72F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33000000 | PA      | $689548.20    | 0.01%             | 2027-10-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11067443 | PA      | $10486413.46  | 0.18%             | 2030-11-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8382411 | PA      | $7408657.86   | 0.13%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31322YU25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194977 | PA      | $184177.07    | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5750838 | PA      | $5264358.23   | 0.09%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617KGQ78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1034080 | PA      | $1010482.16   | 0.02%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-69, Class S                                                                    | CUSIP: 38384AB77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5545342 | PA      | $5303655.93   | 0.09%             | 2053-05-20      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56976 | PA      | $54138.19     | 0.00%             | 2041-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9890604 | PA      | $8696003.49   | 0.15%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H01, Class JA                                                                  | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334035 | PA      | $333146.53    | 0.01%             | 2063-01-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR5, Class E1                                           | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6775000 | PA      | $6625003.53   | 0.11%             | 2038-07-17      | Fixed         | 2.21%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2003-4, Class 2A1                                           | CUSIP: 576434EK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57848 | PA      | $59525.91     | 0.00%             | 2033-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-85, Class IA                                                                   | CUSIP: 38382FVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17374566 | PA      | $2685802.06   | 0.05%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK71                                                 | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7339059.20   | 0.12%             | 2050-11-27      | Variable      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H02, Class DI                                                                  | CUSIP: 38380LV75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3377086 | PA      | $31958.37     | 0.00%             | 2069-12-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                              | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4425000.00   | 0.07%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J96A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1140820 | PA      | $1112127.54   | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class KB                                                                  | CUSIP: 38382JG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8010542 | PA      | $6488016.91   | 0.11%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2003-QS9, Class A3                                                            | CUSIP: 76110HCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6 | PA      | $0.00         | 0.00%             | 2018-05-25      | Floating      | 3.11%                 | No            |                  3 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2020-1A, Class A                                                      | CUSIP: 42772BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   4161015 | PA      | $3652735.00   | 0.06%             | 2057-09-20      | Fixed         | 2.59%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437186 | PA      | $408402.71    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    750926 | PA      | $688747.62    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1059455 | PA      | $969824.14    | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RFM Reremic Trust                                                    | RFM Re-REMIC Trust, Series 2024-FRR2, Class A100                                                 | CUSIP: 74983PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $8924957.80   | 0.15%             | 2052-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NFW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103530 | PA      | $99605.44     | 0.00%             | 2041-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    927799 | PA      | $849318.32    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-62, Class SA                                                                   | CUSIP: 38375XHT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322506 | PA      | $1337.82      | 0.00%             | 2038-07-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2022-1, Class CZ                                                             | CUSIP: 3136BLLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2736229 | PA      | $1597077.09   | 0.03%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3621, Class BO                                                              | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78404 | PA      | $68195.55     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-115, Class TS                                                                  | CUSIP: 38384CP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4393177 | PA      | $4520658.20   | 0.08%             | 2053-06-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36291USW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31939 | PA      | $33733.11     | 0.00%             | 2037-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4039074 | PA      | $3446578.23   | 0.06%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-8, Class WQ                                                             | CUSIP: 31394VX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175053 | PA      | $145867.21    | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M12, Class 2A2                                                            | CUSIP: 3136BHNU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4231471.00   | 0.07%             | 2033-05-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K73, Class B                                                   | CUSIP: 35708YAS5<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1130857.10   | 0.02%             | 2051-02-25      | Variable      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XHSX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4993266 | PA      | $4627389.54   | 0.08%             | 2033-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 1A1                        | CUSIP: 22541Q3U4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62606 | PA      | $63575.79     | 0.00%             | 2033-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-105, Class ME                                                           | CUSIP: 31396LUS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317242 | PA      | $331111.50    | 0.01%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36182NRQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176592 | PA      | $174457.12    | 0.00%             | 2034-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3572, Class JS                                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58958 | PA      | $4071.17      | 0.00%             | 2039-09-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2                                  | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17596 | PA      | $15777.72     | 0.00%             | 2034-04-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6939 | PA      | $7090.04      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5653220 | PA      | $4737380.69   | 0.08%             | 2055-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7EP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48028 | PA      | $48361.23     | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521837 | PA      | $491592.21    | 0.01%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-149, Class SH                                                                  | CUSIP: 38382KCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17202509 | PA      | $446131.59    | 0.01%             | 2050-10-20      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2359, Class ZB                                                              | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13876 | PA      | $14893.98     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KLAQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4409824 | PA      | $4148723.81   | 0.07%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KGYN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405132 | PA      | $370177.13    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                                 | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11450000 | PA      | $11140915.27  | 0.19%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6956184 | PA      | $6059378.87   | 0.10%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJCD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2380000 | PA      | $2477270.89   | 0.04%             | 2032-12-01      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K59, Class B                                                   | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1902000 | PA      | $1874342.83   | 0.03%             | 2049-11-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19331 | PA      | $19817.69     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562429 | PA      | $563199.71    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3138EN4Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629729 | PA      | $621600.99    | 0.01%             | 2035-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-71, Class SC                                                                   | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20905 | PA      | $80.84        | 0.00%             | 2038-08-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5080000 | PA      | $5015723.12   | 0.08%             | 2032-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LWS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1808503 | PA      | $1760164.78   | 0.03%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHFQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6284331 | PA      | $6046762.17   | 0.10%             | 2033-01-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3316, Class JO                                                              | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7369 | PA      | $6092.90      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1008989 | PA      | $1039963.80   | 0.02%             | 2033-03-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H07, Class MA                                                                  | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       322 | PA      | $321.12       | 0.00%             | 2062-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-100, Class SM                                                           | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136133 | PA      | $13051.03     | 0.00%             | 2037-10-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2006-A6, Class 2A13                               | CUSIP: 76113FBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163805 | PA      | $77970.87     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FUSG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1004524 | PA      | $989740.91    | 0.02%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J22T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    397866 | PA      | $399613.94    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653996 | PA      | $600665.37    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1608185 | PA      | $1477113.35   | 0.03%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731716 | PA      | $686837.84    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M34Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2652002 | PA      | $2557627.96   | 0.04%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFTF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    647257 | PA      | $647833.62    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3407394 | PA      | $3102444.84   | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJDY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1447466 | PA      | $1493224.86   | 0.03%             | 2032-12-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-58                                                                      | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69639 | PA      | $60664.12     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410F6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28022 | PA      | $28866.35     | 0.00%             | 2037-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1898663 | PA      | $1735843.42   | 0.03%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-112, Class SA                                                           | CUSIP: 31396X4C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366323 | PA      | $46119.22     | 0.00%             | 2037-12-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1567429 | PA      | $1427084.37   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8793287 | PA      | $6988863.50   | 0.12%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3537, Class MI                                                              | CUSIP: 31398CR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154979 | PA      | $17861.03     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WUGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3955152 | PA      | $3664242.61   | 0.06%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LVMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15765234 | PA      | $12563958.04  | 0.21%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-137, Class WA                                                                  | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    808863 | PA      | $838415.09    | 0.01%             | 2040-07-20      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                        | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26004 | PA      | $23618.87     | 0.00%             | 2036-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QN3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5953553 | PA      | $5407171.33   | 0.09%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-50, Class JO                                                            | CUSIP: 31395DUD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37404 | PA      | $32400.09     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WSPY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2705223 | PA      | $2532157.47   | 0.04%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QGH21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5094 | PA      | $5162.34      | 0.00%             | 2036-10-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                 | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13600000 | PA      | $13779554.00  | 0.23%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4015, Class MY                                                              | CUSIP: 3137ANDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    754206 | PA      | $719100.37    | 0.01%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1998-36, Class ZB                                                            | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5302 | PA      | $5348.72      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746391 | PA      | $728331.61    | 0.01%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-3A, Class C                                            | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7654174 | PA      | $7755989.63   | 0.13%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2018-M3, Class A2                                                              | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    797119 | PA      | $767124.42    | 0.01%             | 2030-02-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1765358 | PA      | $1616018.39   | 0.03%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618FSK23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4249261 | PA      | $4508072.13   | 0.08%             | 2054-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQR87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186172 | PA      | $183432.60    | 0.00%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31376J5Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114291 | PA      | $116947.23    | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1849765 | PA      | $1863938.56   | 0.03%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IP                                                                  | CUSIP: 38380QB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39202837 | PA      | $2024936.75   | 0.03%             | 2071-02-20      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-55, Class MT                                                                   | CUSIP: 38383X3Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3728635 | PA      | $3675408.86   | 0.06%             | 2053-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSEH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1590333 | PA      | $1459699.15   | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10825593 | PA      | $8604125.11   | 0.15%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class AO                                                            | CUSIP: 31394FVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5495 | PA      | $4976.15      | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1961838 | PA      | $1839317.66   | 0.03%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10201220 | PA      | $9243169.69   | 0.16%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 331, Class 13                                                               | CUSIP: 3136FAXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47722 | PA      | $5435.67      | 0.00%             | 2032-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    941944 | PA      | $918279.81    | 0.02%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31411BE41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7514 | PA      | $7648.45      | 0.00%             | 2036-12-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2005690 | PA      | $1898973.99   | 0.03%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KGHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2971098 | PA      | $2673805.42   | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2256, Class MC                                                              | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9212 | PA      | $9589.09      | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2210, Class Z                                                               | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12325 | PA      | $12857.91     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DQWX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8324760 | PA      | $7285895.15   | 0.12%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QLSF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22321 | PA      | $23114.42     | 0.00%             | 2036-05-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-88, Class VI                                                            | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58056 | PA      | $4892.60      | 0.00%             | 2037-09-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHSS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4910088 | PA      | $4872526.40   | 0.08%             | 2031-01-01      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179CKF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476385 | PA      | $470096.87    | 0.01%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MLSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1316329 | PA      | $1269799.11   | 0.02%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKV26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6179824 | PA      | $6291524.52   | 0.11%             | 2030-11-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M7C38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11949 | PA      | $12425.24     | 0.00%             | 2038-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       158 | PA      | $158.71       | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2024-M2, Class A2                                                              | CUSIP: 3136BQT41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4726209.50   | 0.08%             | 2033-08-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-103, Class MB                                                           | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222234 | PA      | $223435.26    | 0.00%             | 2039-12-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-49, Class SC                                                            | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102618 | PA      | $100836.66    | 0.00%             | 2040-03-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR2, Class E1                                           | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11103982.29  | 0.19%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-3, Class MBU                              | CUSIP: 35563P5A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2050000 | PA      | $1317611.67   | 0.02%             | 2061-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1978880 | PA      | $1858258.14   | 0.03%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636231 | PA      | $563547.13    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230US26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    819338 | PA      | $783176.31    | 0.01%             | 2041-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                              | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075378 | PA      | $56003.67     | 0.00%             | 2035-07-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-86, Class OB                                                            | CUSIP: 31396KJ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61811 | PA      | $52964.49     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGTL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6060000 | PA      | $5882423.88   | 0.10%             | 2029-01-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0NZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2871868 | PA      | $2543697.31   | 0.04%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8629487 | PA      | $8331217.34   | 0.14%             | 2032-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                                | FRTKL, Series 2021-SFR1, Class D                                                                 | CUSIP: 30322DAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3677970.60   | 0.06%             | 2038-09-17      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36241LZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63944 | PA      | $65737.16     | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4862, Class NO                                                              | CUSIP: 3137FKUH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14432030 | PA      | $9026293.72   | 0.15%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KC3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1553877 | PA      | $1464796.44   | 0.02%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-18, Class MZ                                                            | CUSIP: 31396P5P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149733 | PA      | $158569.28    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HU2R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    884271 | PA      | $893313.34    | 0.02%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4177, Class MQ                                                              | CUSIP: 3137B16U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $904052.50    | 0.02%             | 2043-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9059689 | PA      | $8245307.68   | 0.14%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1863, Class Z                                                               | CUSIP: 3133T7DV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $2.21         | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                  | GS Mortgage-Backed Securities Trust, Series 2024-RPL2, Class A1                                  | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6309858 | PA      | $6168276.92   | 0.10%             | 2061-07-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H24, Class FG                                                                  | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3650 | PA      | $3627.82      | 0.00%             | 2060-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Goodgreen Ltd.                                                       | Goodgreen Ltd., Series 2024-1A, Class A                                                          | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10681774 | PA      | $10402979.47  | 0.18%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-63, Class ZH                                                            | CUSIP: 31395NQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84470 | PA      | $90615.24     | 0.00%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-68, Class PG                                                            | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74543 | PA      | $75111.70     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7702388 | PA      | $6392497.66   | 0.11%             | 2062-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617L9GD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262882 | PA      | $1229116.91   | 0.02%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2489460 | PA      | $2205085.91   | 0.04%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2003-7F, Class 1A4                                               | CUSIP: 36228FTW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75656 | PA      | $75884.15     | 0.00%             | 2033-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13159635 | PA      | $11502822.22  | 0.19%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18489 | PA      | $18894.05     | 0.00%             | 2034-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class E                                           | CUSIP: 43731QAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3315487 | PA      | $3203788.41   | 0.05%             | 2039-09-17      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-74, Class SH                                                            | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14843 | PA      | $13299.31     | 0.00%             | 2033-08-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617ULU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9879753 | PA      | $9032647.05   | 0.15%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31416CK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18483 | PA      | $18900.28     | 0.00%             | 2037-07-01      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6388951 | PA      | $6408096.38   | 0.11%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $8340625.00   | 0.14%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class MO                                                              | CUSIP: 31397F6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22849 | PA      | $19929.25     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H07, Class DI                                                                  | CUSIP: 38380L7Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23223403 | PA      | $1433580.68   | 0.02%             | 2070-04-20      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KLQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12414417 | PA      | $10471237.68  | 0.18%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A1                                       | CUSIP: 31393XFS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106045 | PA      | $109607.29    | 0.00%             | 2044-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322323 | PA      | $333036.75    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YMPE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4667178 | PA      | $4293629.96   | 0.07%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-79, Class DO                                                            | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41135 | PA      | $35083.39     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-99, Class PT                                                                   | CUSIP: 38380F3R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    516905 | PA      | $542204.26    | 0.01%             | 2044-08-20      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DPBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9979978 | PA      | $8737629.62   | 0.15%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2517, Class Z                                                               | CUSIP: 31392X2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15595 | PA      | $16102.10     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-50, Class VZ                                                            | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644883 | PA      | $671694.82    | 0.01%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DN4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12602142 | PA      | $11781977.36  | 0.20%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    670791 | PA      | $630168.44    | 0.01%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    883815 | PA      | $897222.47    | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FCZN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1120269 | PA      | $1036784.25   | 0.02%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2881362 | PA      | $2783173.49   | 0.05%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-16, Class WA                                                            | CUSIP: 31398MRP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180672 | PA      | $184354.27    | 0.00%             | 2040-03-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2024-1A, Class A                                                                   | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10415598 | PA      | $10508312.18  | 0.18%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132HBQA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1640527 | PA      | $1582086.59   | 0.03%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1520, Class X1                | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  97377819 | PA      | $3320866.01   | 0.06%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BVFN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1708500 | PA      | $1795874.31   | 0.03%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XLC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11050360 | PA      | $9427623.27   | 0.16%             | 2052-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                  | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9710 | PA      | $9753.87      | 0.00%             | 2033-10-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR1, Class C                                                            | CUSIP: 00179CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6887000 | PA      | $6695647.46   | 0.11%             | 2041-07-17      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2510 | PA      | $2552.27      | 0.00%             | 2035-09-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79169 | PA      | $80337.33     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2024-MH1, Class A1                                                | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8344300 | PA      | $8603328.33   | 0.15%             | 2056-11-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8408694 | PA      | $7085402.44   | 0.12%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K9BR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1377580 | PA      | $1371445.23   | 0.02%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    230918 | PA      | $235398.29    | 0.00%             | 2049-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-95, Class HI                                                                   | CUSIP: 38382GY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8287746 | PA      | $1433930.88   | 0.02%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSHU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1545573 | PA      | $1433535.53   | 0.02%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1096780 | PA      | $1023551.82   | 0.02%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1331011 | PA      | $1222528.48   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WHHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    764874 | PA      | $706437.68    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NWU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6634000 | PA      | $6910230.47   | 0.12%             | 2032-01-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428789 | PA      | $444899.57    | 0.01%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLGM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2590056 | PA      | $2635853.76   | 0.04%             | 2030-10-01      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2089, Class PJ                                                              | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1406 | PA      | $77.04        | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BESR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1022850 | PA      | $1014900.13   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31418MCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14009 | PA      | $14121.94     | 0.00%             | 2037-11-01      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YSV97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3600242 | PA      | $3636011.38   | 0.06%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-132, Class PI                                                           | CUSIP: 31393UUR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6091 | PA      | $123.04       | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    804182 | PA      | $818361.51    | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-32, Class SD                                                            | CUSIP: 3136B4XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7106866 | PA      | $827487.92    | 0.01%             | 2049-06-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263785 | PA      | $217796.24    | 0.00%             | 2035-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4274109 | PA      | $3517664.09   | 0.06%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                       | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M1                                       | CUSIP: 12531BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3172810.41   | 0.05%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJV60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3373000 | PA      | $3404408.30   | 0.06%             | 2034-04-01      | Fixed         | 4.75%                 | No            |                  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        |   5070793 | PA      | $4984843.39   | 0.08%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3262, Class SG                                                              | CUSIP: 31397EMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9436 | PA      | $608.32       | 0.00%             | 2037-01-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405N7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25029 | PA      | $25475.48     | 0.00%             | 2034-10-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-1A, Class C                                | CUSIP: 826935AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2226995 | PA      | $2256831.12   | 0.04%             | 2043-01-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QX                                                              | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6796 | PA      | $544.20       | 0.00%             | 2032-02-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-10, Class S                                                                    | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54723 | PA      | $689.00       | 0.00%             | 2038-02-20      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4160334 | PA      | $3813450.38   | 0.06%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-2, Class MB                               | CUSIP: 35563PQQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3840000 | PA      | $2602753.92   | 0.04%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    542522 | PA      | $497081.69    | 0.01%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2259, Class ZM                                                              | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19028 | PA      | $19663.88     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-46, Class AO                                                                   | CUSIP: 38374G5Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39503 | PA      | $33069.30     | 0.00%             | 2034-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225AWN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17121 | PA      | $17235.65     | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63000000 | PA      | $39205195.47  | 0.66%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multi-Family ML Certificates                                   | FHLMC Multi-Family ML Certificates, Series 2021-ML09, Class XUS                                  | CUSIP: 30319NAA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  54778933 | PA      | $5898129.91   | 0.10%             | 2040-02-25      | Variable      | 1.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-79, Class SB                                                            | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11464 | PA      | $13518.93     | 0.00%             | 2037-08-25      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J7ZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950876 | PA      | $934376.44    | 0.02%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220749 | PA      | $224357.19    | 0.00%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class HO                                                                   | CUSIP: 38375KKT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4927 | PA      | $3995.25      | 0.00%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H09, Class HA                                                                  | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30058 | PA      | $28601.38     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-123, Class FL                                                           | CUSIP: 31398N2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28795 | PA      | $28606.92     | 0.00%             | 2040-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                                        | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     10902 | PA      | $10326.87     | 0.00%             | 2034-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class QI                                                                  | CUSIP: 38380QR53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40998751 | PA      | $1309155.71   | 0.02%             | 2071-04-20      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB14, Class M2                                                             | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   3735000 | PA      | $3570798.94   | 0.06%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HGEC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1045750 | PA      | $1024470.58   | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H05, Class FB                                                                  | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3832 | PA      | $3793.89      | 0.00%             | 2062-02-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36241KHH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30564 | PA      | $31798.11     | 0.00%             | 2032-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-68, Class KI                                                                   | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221333 | PA      | $20658.06     | 0.00%             | 2035-09-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                  | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2363208 | PA      | $199027.92    | 0.00%             | 2037-08-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| ASG Resecuritization Trust                                           | ASG Resecuritization Trust, Series 2011-1, Class 2A35                                            | CUSIP: 00190VDB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28399 | PA      | $8273.44      | 0.00%             | 2036-09-28      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1013420 | PA      | $925978.25    | 0.02%             | 2041-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKKM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4202853 | PA      | $3722606.05   | 0.06%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-A4, Class 1A1                                               | CUSIP: 466247DX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10429 | PA      | $10047.21     | 0.00%             | 2034-09-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    257769 | PA      | $260138.99    | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3152, Class MO                                                              | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80941 | PA      | $71274.85     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKKY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2686470 | PA      | $2459156.41   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HNPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1592340 | PA      | $1584066.98   | 0.03%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133USHS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9381456 | PA      | $8205954.84   | 0.14%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T7, Class A1                                        | CUSIP: 31359S6X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185617 | PA      | $194040.90    | 0.00%             | 2041-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M2S, Class A1                                                             | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48232 | PA      | $48035.80     | 0.00%             | 2032-05-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2513, Class ZC                                                              | CUSIP: 31392XEX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36692 | PA      | $37997.28     | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3153, Class EO                                                              | CUSIP: 31396RKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38615 | PA      | $33615.49     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                   | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     95972 | PA      | $96158.87     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A2EY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    271361 | PA      | $237945.84    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2344, Class ZD                                                              | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42386 | PA      | $44176.92     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LK2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4095000 | PA      | $4095540.66   | 0.07%             | 2033-07-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                            | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132932 | PA      | $124697.21    | 0.00%             | 2035-03-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class IP                                                            | CUSIP: 31398FTC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81634 | PA      | $13887.18     | 0.00%             | 2039-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M39, Class 1A1                                                            | CUSIP: 3136BBTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3133544 | PA      | $2986020.05   | 0.05%             | 2028-09-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $14944336.00  | 0.25%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D                             | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8458918 | PA      | $7975126.41   | 0.14%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5913 | PA      | $6013.78      | 0.00%             | 2034-01-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3M34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1749496 | PA      | $1689358.37   | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1338188 | PA      | $1227450.23   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1131402 | PA      | $1071821.58   | 0.02%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-39, Class EF                                                            | CUSIP: 31396VSL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14751 | PA      | $14558.99     | 0.00%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259093 | PA      | $242997.85    | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KS12, Class B                                                  | CUSIP: 30311XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9898221 | PA      | $9899728.29   | 0.17%             | 2029-08-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29234 | PA      | $29938.63     | 0.00%             | 2036-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLKW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197505 | PA      | $196486.65    | 0.00%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    598543 | PA      | $549750.49    | 0.01%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class B                                                            | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   8320000 | PA      | $7155283.20   | 0.12%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2                                           | CUSIP: 36298XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752497 | PA      | $45159.69     | 0.00%             | 2036-04-25      | Variable      | 1.51%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3880935 | PA      | $3972290.31   | 0.07%             | 2032-12-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36193UAK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1729415 | PA      | $1607010.62   | 0.03%             | 2046-08-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8122763 | PA      | $7867496.90   | 0.13%             | 2032-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-14, Class ES                                                            | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450273 | PA      | $156163.91    | 0.00%             | 2037-03-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LY4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    270337 | PA      | $253614.83    | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class QB                                                            | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21829 | PA      | $23377.47     | 0.00%             | 2034-05-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94467 | PA      | $90085.42     | 0.00%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1518, Class X1                | CUSIP: 3137FXQX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 105886990 | PA      | $6263151.92   | 0.11%             | 2035-10-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GCM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13681 | PA      | $14231.73     | 0.00%             | 2037-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2006-1F, Class 1AP                                               | CUSIP: 3623418L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44578 | PA      | $29241.48     | 0.00%             | 2036-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                   | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                     | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127045 | PA      | $114809.34    | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2125, Class JZ                                                              | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5275 | PA      | $5353.82      | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4377, Class JP                                                              | CUSIP: 3137BDCC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715878 | PA      | $1629263.02   | 0.03%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6612891 | PA      | $5868499.37   | 0.10%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-R1                                                                  | CUSIP: 38218AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62207 | PA      | $61580.81     | 0.00%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140J1CP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24000000 | PA      | $20896090.08  | 0.35%             | 2030-09-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYZ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1279522 | PA      | $1215076.70   | 0.02%             | 2050-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06, Class IA                                                                  | CUSIP: 38380QK35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17545583 | PA      | $552698.15    | 0.01%             | 2071-03-20      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16798713 | PA      | $14683563.51  | 0.25%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AWN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488931 | PA      | $443244.98    | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LKPX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2554215 | PA      | $2383696.97   | 0.04%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31407LE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5479 | PA      | $5514.84      | 0.00%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180901 | PA      | $171244.89    | 0.00%             | 2041-03-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M38, Class 2A1                                                            | CUSIP: 3136BBHB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621244 | PA      | $583999.46    | 0.01%             | 2028-11-25      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XP5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4203441 | PA      | $4364289.45   | 0.07%             | 2071-11-20      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82569 | PA      | $88349.00     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-37, Class Z                                                             | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4443 | PA      | $4593.91      | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418M3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        80 | PA      | $77.35        | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31407LEA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15865 | PA      | $16676.35     | 0.00%             | 2036-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54034 | PA      | $53582.72     | 0.00%             | 2037-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2552, Class FP                                                              | CUSIP: 31393HUX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172280 | PA      | $174137.52    | 0.00%             | 2033-01-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QAXV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2201620 | PA      | $2082188.01   | 0.04%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405VG76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95420 | PA      | $95642.76     | 0.00%             | 2034-08-01      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KHQZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14171061 | PA      | $13154338.53  | 0.22%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-1, Class WA                                                             | CUSIP: 31398GL23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238224 | PA      | $241909.42    | 0.00%             | 2040-02-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3                                               | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71204 | PA      | $73178.48     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30599 | PA      | $31109.09     | 0.00%             | 2036-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404R3K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5824 | PA      | $5773.24      | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3338441 | PA      | $2998070.29   | 0.05%             | 2050-08-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-106, Class US                                                           | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25101 | PA      | $26504.01     | 0.00%             | 2035-11-25      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2163, Class PC                                                              | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1141 | PA      | $63.90        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSCR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2459633 | PA      | $2629649.78   | 0.04%             | 2054-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351589 | PA      | $353349.35    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4133049.92   | 0.07%             | 2031-06-01      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-53, Class SW                                                                   | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15348 | PA      | $16784.24     | 0.00%             | 2037-09-20      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442506 | PA      | $375861.48    | 0.01%             | 2045-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K736, Class B                                                  | CUSIP: 30298MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $6431710.35   | 0.11%             | 2026-07-25      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-43, Class WA                                                            | CUSIP: 31397S5E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57310 | PA      | $59865.08     | 0.00%             | 2051-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                              | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49581 | PA      | $18628.29     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                               | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66251 | PA      | $65425.60     | 0.00%             | 2046-02-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4239773 | PA      | $3705988.01   | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3622ABML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12118896 | PA      | $10978324.52  | 0.19%             | 2071-12-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2464, Class FE                                                              | CUSIP: 31392MW81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35923 | PA      | $36223.79     | 0.00%             | 2032-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 239, Class S30                                                             | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174140 | PA      | $22141.90     | 0.00%             | 2036-08-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7JB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24286 | PA      | $24649.63     | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2399, Class TH                                                              | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49724 | PA      | $52010.88     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPDV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1468035 | PA      | $1348358.39   | 0.02%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2423, Class MC                                                              | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12071 | PA      | $12607.94     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-86, Class ZA                                                            | CUSIP: 31393EF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86632 | PA      | $90079.78     | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1206335 | PA      | $1107227.76   | 0.02%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H08, Class XI                                                                  | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1894161 | PA      | $80800.18     | 0.00%             | 2067-03-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 262, Class 35                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4873442 | PA      | $4590125.69   | 0.08%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class X1                                                             | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1676020 | PA      | $65215.44     | 0.00%             | 2030-10-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4DQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1205766 | PA      | $1125172.42   | 0.02%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9151086 | PA      | $8218126.40   | 0.14%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-62, Class 1A1                  | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385279 | PA      | $353349.27    | 0.01%             | 2044-10-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292H4U5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25896 | PA      | $25474.66     | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029836 | PA      | $876198.47    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-KS11, Class B                                                  | CUSIP: 30298KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7706058.40   | 0.13%             | 2029-06-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                       | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137930 | PA      | $131921.08    | 0.00%             | 2034-10-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1222390 | PA      | $1082756.26   | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKF65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4484000 | PA      | $4480494.27   | 0.08%             | 2033-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KMSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4180009 | PA      | $3514187.04   | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10540026 | PA      | $8686505.01   | 0.15%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 365, Class 8                                                                | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84990 | PA      | $15462.23     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1184333 | PA      | $1147906.28   | 0.02%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HGMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    944181 | PA      | $928182.06    | 0.02%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140L2QE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13643605 | PA      | $10998019.72  | 0.19%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class HO                                                            | CUSIP: 31396KJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2317 | PA      | $2275.67      | 0.00%             | 2026-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M1G, Class A2                                                             | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23600000 | PA      | $20454089.32  | 0.35%             | 2031-09-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-13, Class SJ                                                            | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26375 | PA      | $465.36       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31409JVS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13353 | PA      | $13634.12     | 0.00%             | 2036-06-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UAVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1492911 | PA      | $1418645.40   | 0.02%             | 2051-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31201 | PA      | $31986.28     | 0.00%             | 2035-04-01      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31293EAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       267 | PA      | $273.38       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-58, Class WA                                                            | CUSIP: 31397UZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331598 | PA      | $326327.09    | 0.01%             | 2051-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    931311 | PA      | $898172.27    | 0.02%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2009-10, Class 1A1                                         | CUSIP: 17316AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27512 | PA      | $27489.28     | 0.00%             | 2033-09-25      | Variable      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416YFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133962 | PA      | $140465.47    | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class OK                                                              | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45876 | PA      | $40102.59     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 2A1                                          | CUSIP: 161630AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15964 | PA      | $15298.50     | 0.00%             | 2037-02-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1208926 | PA      | $1106198.50   | 0.02%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJ5N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8383000 | PA      | $8341816.00   | 0.14%             | 2032-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class B                                                                 | CUSIP: 55400EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    434570 | PA      | $426106.59    | 0.01%             | 2037-10-20      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2023-SFR2, Class E1                                                           | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9492923.00   | 0.16%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M8, Class A2                                                              | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6345000 | PA      | $6382947.54   | 0.11%             | 2033-03-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class HI                                                                  | CUSIP: 38380QWE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28035489 | PA      | $767264.19    | 0.01%             | 2071-01-20      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3621                                                                        | CUSIP: 31398W2B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112812 | PA      | $93716.63     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    920348 | PA      | $862480.39    | 0.01%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412BWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57180 | PA      | $58211.40     | 0.00%             | 2036-09-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1YK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120899 | PA      | $119641.84    | 0.00%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                            | RMF Buyout Issuance Trust, Series 2020-HB1, Class M3                                             | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $2940391.74   | 0.05%             | 2050-10-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-6, Class 2A7                                          | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67702 | PA      | $61048.54     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                               | Triad Holdings III LLC                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   6658727 | PA      | $6658727.20   | 0.11%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Jonah Energy Abs I LLC                                               | Jonah Energy ABS LLC, Series 2022-1, Class B                                                     | CUSIP: 47987EAD9<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   9606974 | PA      | $9680947.57   | 0.16%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31408CDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44857 | PA      | $45933.68     | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841653 | PA      | $770771.82    | 0.01%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618GRZL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1033499 | PA      | $1073513.47   | 0.02%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-80, Class GP                                                            | CUSIP: 31397MRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8606 | PA      | $9068.31      | 0.00%             | 2038-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    819269 | PA      | $839987.37    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Acrc                                                                 | Acrc                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6666667 | PA      | $6488666.66   | 0.11%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2186848 | PA      | $1963886.41   | 0.03%             | 2050-06-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3305, Class MB                                                              | CUSIP: 31397GU57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23483 | PA      | $23630.67     | 0.00%             | 2034-07-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H22, Class JI                                                                  | CUSIP: 38380QSP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 110931991 | PA      | $5845627.76   | 0.10%             | 2070-12-20      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    505662 | PA      | $507019.78    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KAZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2113797 | PA      | $2047838.44   | 0.03%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GTFF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029679 | PA      | $1932317.19   | 0.03%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5036, Class NA                                                              | CUSIP: 3137F6U88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7129897 | PA      | $4916380.67   | 0.08%             | 2050-11-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1384603 | PA      | $1226372.73   | 0.02%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-94, Class GK                                                            | CUSIP: 31396K4D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       968 | PA      | $1011.19      | 0.00%             | 2026-10-25      | Floating      | 10.94%                | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1613123 | PA      | $1468689.66   | 0.02%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9336 | PA      | $9567.43      | 0.00%             | 2036-09-01      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W12D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3434636 | PA      | $2887030.09   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1053885 | PA      | $988359.26    | 0.02%             | 2051-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3882285 | PA      | $3883974.54   | 0.07%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KCD82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3793901 | PA      | $3184413.41   | 0.05%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371NBU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12110 | PA      | $12582.18     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-90, Class ES                                                            | CUSIP: 31394FVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63609 | PA      | $67225.62     | 0.00%             | 2035-10-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2024-SFR1, Class B                                                          | CUSIP: 10806DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11538000 | PA      | $11198592.42  | 0.19%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LEUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1538379 | PA      | $1418201.52   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132WVA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8166154 | PA      | $7754642.63   | 0.13%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292KZ75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53329 | PA      | $55148.15     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1613804 | PA      | $1642260.86   | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPD27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    783253 | PA      | $730956.05    | 0.01%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2254, Class Z                                                               | CUSIP: 3133TPUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31376 | PA      | $33993.54     | 0.00%             | 2030-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX4H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1864053 | PA      | $1806176.45   | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H04, Class FE                                                                  | CUSIP: 38380VPB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    769246 | PA      | $772821.01    | 0.01%             | 2068-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-8, Class WN                                                             | CUSIP: 31394VX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641860 | PA      | $62833.07     | 0.00%             | 2036-03-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DPE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126836 | PA      | $120433.58    | 0.00%             | 2041-04-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-68, Class DZ                                                            | CUSIP: 3136B2K50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    972418 | PA      | $921517.87    | 0.02%             | 2048-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3388690 | PA      | $3112419.12   | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J4W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73558 | PA      | $77396.20     | 0.00%             | 2036-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6607225 | PA      | $6808939.24   | 0.12%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class DT                                                              | CUSIP: 3137A0Y41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314925 | PA      | $339170.70    | 0.01%             | 2036-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-39, Class ZA                                                            | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429169 | PA      | $446939.07    | 0.01%             | 2032-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8168106 | PA      | $6850104.78   | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8411 | PA      | $8483.32      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KKMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8432326 | PA      | $7129747.82   | 0.12%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-4, Class ZA                                                             | CUSIP: 31359SFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55576 | PA      | $56638.13     | 0.00%             | 2031-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1305954 | PA      | $1156787.25   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Re-REMIC Trust                                       | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class B                                        | CUSIP: 05942XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14257000 | PA      | $10276495.50  | 0.17%             | 2049-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1837142 | PA      | $1897007.61   | 0.03%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N7UJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4070669 | PA      | $4040429.24   | 0.07%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133USJ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24471289 | PA      | $19699681.05  | 0.33%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7700000 | PA      | $7424391.44   | 0.13%             | 2032-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4329728 | PA      | $3787832.23   | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAA38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447946 | PA      | $434579.02    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1359226 | PA      | $1274339.80   | 0.02%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-2A, Class A                                                      | CUSIP: 42770WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1938664 | PA      | $1886293.02   | 0.03%             | 2041-09-20      | Fixed         | 3.75%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H01, Class DI                                                                  | CUSIP: 38380QUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25098651 | PA      | $1981274.31   | 0.03%             | 2070-12-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    488179 | PA      | $457933.38    | 0.01%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XNAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17564940 | PA      | $15986052.03  | 0.27%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1                               | CUSIP: 45660LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159304 | PA      | $159789.82    | 0.00%             | 2034-12-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-3                                                  | CUSIP: 55265K8G7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       599 | PA      | $0.01         | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                    | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      7414 | PA      | $7111.40      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-43, Class FD                                                            | CUSIP: 31398RCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110804 | PA      | $110560.71    | 0.00%             | 2040-05-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2570616 | PA      | $2308510.29   | 0.04%             | 2050-11-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418WQA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114527 | PA      | $114902.81    | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4136, Class HS                                                              | CUSIP: 3137AWH65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351634 | PA      | $226475.81    | 0.00%             | 2042-11-15      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2023-2A, Class C                                                                 | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2263266 | PA      | $2325285.45   | 0.04%             | 2040-11-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200QSL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17967 | PA      | $18493.62     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3202665 | PA      | $2915668.91   | 0.05%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FANE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200782 | PA      | $185605.02    | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-15, Class MO                                                            | CUSIP: 31394CVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56919 | PA      | $48502.17     | 0.00%             | 2035-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $7931914.80   | 0.13%             | 2036-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DS53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105581 | PA      | $101415.61    | 0.00%             | 2041-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-65, Class KS                                                                   | CUSIP: 38384APV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6960726 | PA      | $6397272.28   | 0.11%             | 2053-05-20      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H14, Class IE                                                                  | CUSIP: 38380LZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2333922 | PA      | $61914.30     | 0.00%             | 2069-05-20      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3860, Class PZ                                                              | CUSIP: 3137AAYT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2398969 | PA      | $2429588.62   | 0.04%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M1S, Class A2                                                             | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22730000 | PA      | $19887272.55  | 0.34%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MLRT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108685 | PA      | $1036184.87   | 0.02%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4580, Class PT                                                              | CUSIP: 3137BPNP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326274 | PA      | $337925.48    | 0.01%             | 2039-08-15      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618KSZD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1634136 | PA      | $1718366.10   | 0.03%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HDK78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108704 | PA      | $1055961.13   | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XQYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13515223 | PA      | $11784264.93  | 0.20%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67665 | PA      | $69909.90     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1617945 | PA      | $1489496.85   | 0.03%             | 2041-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5156, Class DC                                                              | CUSIP: 3137H2VD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15098394 | PA      | $13320850.82  | 0.23%             | 2051-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2759135 | PA      | $2577035.26   | 0.04%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                          | Onity Loan Investment Trust, Series 2025-HB1, Class M1                                           | CUSIP: 68278EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4115000 | PA      | $3870069.85   | 0.07%             | 2038-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1876073 | PA      | $1591621.69   | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                     | IndyMac INDX Mortgage Loan Trust, Series 2006-AR3, Class 2A1A                                    | CUSIP: 45660L5S4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58650 | PA      | $39999.69     | 0.00%             | 2036-03-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2004-QA6, Class NB2                                                           | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23026 | PA      | $21384.84     | 0.00%             | 2034-12-26      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2022-SFR1, Class E1                                             | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5669000 | PA      | $5623313.53   | 0.10%             | 2039-04-17      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AA6Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1742826 | PA      | $1773556.09   | 0.03%             | 2053-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1335329 | PA      | $1345438.49   | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1173875 | PA      | $1174343.23   | 0.02%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5996884 | PA      | $5974599.39   | 0.10%             | 2059-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVPD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1744825 | PA      | $1756057.23   | 0.03%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust                     | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7                       | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |   1164244 | PA      | $1179774.08   | 0.02%             | 2054-07-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3711080 | PA      | $3243890.94   | 0.05%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXGJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320243 | PA      | $298445.05    | 0.01%             | 2040-08-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3035, Class Z                                                               | CUSIP: 31396ANL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385643 | PA      | $403404.44    | 0.01%             | 2035-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKYC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2652721 | PA      | $2436459.47   | 0.04%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13638946 | PA      | $11396201.85  | 0.19%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class NT                                                           | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443192 | PA      | $473773.76    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    952109 | PA      | $871568.07    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2510092 | PA      | $2223300.19   | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9799175 | PA      | $9686673.74   | 0.16%             | 2033-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KJGE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9301987 | PA      | $7809580.76   | 0.13%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                          | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13044 | PA      | $13211.06     | 0.00%             | 2042-10-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9MG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4683694 | PA      | $4264223.40   | 0.07%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1164958 | PA      | $1090755.55   | 0.02%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7509682 | PA      | $6250611.99   | 0.11%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4149111.45   | 0.07%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403NKH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10375 | PA      | $10213.91     | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H17, Class IJ                                                                  | CUSIP: 38380QNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9411822 | PA      | $450823.58    | 0.01%             | 2070-10-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LEU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $2084702.12   | 0.04%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-61, Class FH                                                            | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342535 | PA      | $344818.56    | 0.01%             | 2032-11-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-36, Class SH                                                            | CUSIP: 3136B94B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9923524 | PA      | $1192459.25   | 0.02%             | 2050-06-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2022-SFR3, Class E1                                                           | CUSIP: 66981YAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8181000 | PA      | $7928463.17   | 0.13%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5682587 | PA      | $5893585.69   | 0.10%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H11, Class XI                                                                  | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5861320 | PA      | $215330.82    | 0.00%             | 2067-05-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31415P6U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66100 | PA      | $69189.97     | 0.00%             | 2036-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120605 | PA      | $128443.98    | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2019-3, Class M2                                               | CUSIP: 89177LAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7550000 | PA      | $6543043.67   | 0.11%             | 2059-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2436, Class MC                                                              | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12801 | PA      | $13056.13     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QKYD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1041342 | PA      | $955802.36    | 0.02%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WGW83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1019786 | PA      | $941867.88    | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3                                      | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6787 | PA      | $4780.15      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36117 | PA      | $37311.62     | 0.00%             | 2034-10-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2282235 | PA      | $2308395.96   | 0.04%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31388R7M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16625 | PA      | $17474.88     | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXJR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6062041 | PA      | $6193821.91   | 0.10%             | 2058-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                               | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18628 | PA      | $18467.11     | 0.00%             | 2034-08-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2024-1B, Class B                                            | CUSIP: 43283YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692227 | PA      | $703538.59    | 0.01%             | 2039-09-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM11, Class A1                                  | CUSIP: 10638GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9472575 | PA      | $9303781.57   | 0.16%             | 2065-05-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQMU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2535394 | PA      | $2580101.52   | 0.04%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-53, Class FX                                                            | CUSIP: 313921XJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70055 | PA      | $69919.30     | 0.00%             | 2031-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BVRT LLC                                                             | BVRT LLC, Series 2025-1, Class A                                                                 | CUSIP: 05614UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3693928 | PA      | $3559270.62   | 0.06%             | 2033-05-10      | Floating      | 4.34%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1433955 | PA      | $1442174.47   | 0.02%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                               | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121681 | PA      | $122788.74    | 0.00%             | 2036-06-27      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140HRQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2854573.26   | 0.05%             | 2033-10-01      | Fixed         | 3.69%                 | 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        |   2865000 | PA      | $2869092.37   | 0.05%             | 2040-09-25      | Variable      | 5.39%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X6W31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8586936 | PA      | $7530887.81   | 0.13%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 1A3                                          | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129634 | PA      | $129454.99    | 0.00%             | 2037-02-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2410, Class QS                                                              | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12359 | PA      | $13339.37     | 0.00%             | 2032-02-15      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-S1, Class 1A7                                               | CUSIP: 466247ER0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4009 | PA      | $3835.80      | 0.00%             | 2034-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-37A, Class 2A  | CUSIP: 86359BBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208107 | PA      | $205151.15    | 0.00%             | 2033-12-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255107 | PA      | $231812.09    | 0.00%             | 2047-02-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404FQ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11284 | PA      | $11389.74     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646386 | PA      | $661749.64    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W4, Class A7                                          | CUSIP: 31393X3L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262002 | PA      | $263084.91    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29725 | PA      | $29834.16     | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                          | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64874 | PA      | $65151.44     | 0.00%             | 2042-12-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-1, Class SD                                                             | CUSIP: 31396PHH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32521 | PA      | $55163.14     | 0.00%             | 2037-02-25      | Floating      | 12.22%                | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264328 | PA      | $250248.24    | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KLZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2631266 | PA      | $2284971.70   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NYY69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306562 | PA      | $298367.55    | 0.01%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Re-REMIC Trust                                       | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class A                                        | CUSIP: 05942XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9647000 | PA      | $7704236.98   | 0.13%             | 2049-04-27      | Variable      | 2.08%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15387 | PA      | $15551.96     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7296000 | PA      | $7418234.19   | 0.13%             | 2033-06-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-78, Class BZ                                                            | CUSIP: 31396KDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53428 | PA      | $56919.74     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140AEL31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14829834 | PA      | $14754811.20  | 0.25%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2024-FRR3, Class B                                                  | CUSIP: 054988AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13000000 | PA      | $12226328.40  | 0.21%             | 2050-01-27      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2081 | PA      | $2087.60      | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                     | SLG Office Trust, Series 2021-OVA, Class E                                                       | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $5902667.40   | 0.10%             | 2041-07-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564651 | PA      | $537896.98    | 0.01%             | 2050-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12663 | PA      | $12938.98     | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2835, Class QO                                                              | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14630 | PA      | $13087.34     | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR2, Class D                                            | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7695662 | PA      | $7129231.76   | 0.12%             | 2042-04-17      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2001-2, Class A                                                | CUSIP: 36228FEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111349 | PA      | $109095.96    | 0.00%             | 2032-06-19      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-6F, Class 2A4                                               | CUSIP: 36228F2K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81922 | PA      | $83226.12     | 0.00%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-80, Class SA                                                            | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85506 | PA      | $7274.25      | 0.00%             | 2038-09-25      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XCCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17517816 | PA      | $14611289.87  | 0.25%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-65, Class ST                                                                   | CUSIP: 38381VLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6779713 | PA      | $727164.18    | 0.01%             | 2049-05-20      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2130, Class QS                                                              | CUSIP: 3133TJP56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2958 | PA      | $2976.43      | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1098067 | PA      | $1012904.91   | 0.02%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26440126 | PA      | $22167961.07  | 0.38%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417YU47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234016 | PA      | $230452.63    | 0.00%             | 2030-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N4MV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688283 | PA      | $703240.69    | 0.01%             | 2050-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309924 | PA      | $1303892.99   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2022-A, Class C                                               | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2949265 | PA      | $2904400.61   | 0.05%             | 2037-09-28      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2015-1A, Class A                                                      | CUSIP: 42770LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10975 | PA      | $10722.22     | 0.00%             | 2040-09-21      | Fixed         | 3.84%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230UTS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135452 | PA      | $129447.35    | 0.00%             | 2041-01-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    781515 | PA      | $740901.59    | 0.01%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JXF60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1056936 | PA      | $1010033.90   | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-51, Class SY                                                            | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6589 | PA      | $6755.65      | 0.00%             | 2034-07-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSRR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4047297 | PA      | $3564821.65   | 0.06%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16167 | PA      | $17035.83     | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90860 | PA      | $85158.48     | 0.00%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410PMR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53306 | PA      | $55801.45     | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                          | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59898 | PA      | $58602.86     | 0.00%             | 2033-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1925836 | PA      | $1636778.90   | 0.03%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 20 Year                                                                              | CUSIP: 3132AD2G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1762274 | PA      | $1721619.99   | 0.03%             | 2037-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                                           | PRET Trust, Series 2024-RPL2, Class A1                                                           | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7912935 | PA      | $7600154.65   | 0.13%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418UCP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33709 | PA      | $34775.43     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516804 | PA      | $498418.98    | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607                                                                        | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155197 | PA      | $129079.19    | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7551888 | PA      | $6690369.12   | 0.11%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GAS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21547 | PA      | $22323.51     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3260, Class CS                                                              | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42941 | PA      | $4002.21      | 0.00%             | 2037-01-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 383, Class 32                                                               | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76318 | PA      | $13680.21     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2439800 | PA      | $2440773.48   | 0.04%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class D                                            | CUSIP: 74290XAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2576000 | PA      | $2422391.57   | 0.04%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1186570 | PA      | $1080323.74   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954244 | PA      | $959020.80    | 0.02%             | 2049-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-69, Class CI                                                                   | CUSIP: 38382RUD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8808073 | PA      | $1487230.77   | 0.03%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2020-K737, Class B                                                  | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4832000 | PA      | $4749873.88   | 0.08%             | 2053-01-25      | Variable      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WHST3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2599425 | PA      | $2368032.84   | 0.04%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    689956 | PA      | $648185.32    | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J22S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335016 | PA      | $338290.32    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOLT XCV LLC                                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                         | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    612279 | PA      | $612086.55    | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    912083 | PA      | $807889.34    | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                   | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7329 | PA      | $7459.42      | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2135235 | PA      | $1917526.35   | 0.03%             | 2050-12-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LKL96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590714 | PA      | $546636.41    | 0.01%             | 2032-10-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132LAEJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323429 | PA      | $307697.65    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-42, Class S                                                             | CUSIP: 31398PSE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32561 | PA      | $2847.02      | 0.00%             | 2040-05-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3069564 | PA      | $2907415.72   | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FUH50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415532 | PA      | $395916.98    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class MT                               | CUSIP: 35563PNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3524409 | PA      | $2894326.84   | 0.05%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    783203 | PA      | $708434.27    | 0.01%             | 2040-11-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-68, Class SA                                                            | CUSIP: 31398TGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235075 | PA      | $18816.40     | 0.00%             | 2040-07-25      | Floating      | 0.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36183SX89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770224 | PA      | $722128.05    | 0.01%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1987, Class PE                                                              | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1380 | PA      | $1392.42      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M3, Class X1                                                              | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11948491 | PA      | $770406.46    | 0.01%             | 2033-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2024-HB1, Class A                                            | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1781071 | PA      | $1752385.34   | 0.03%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2005-2, Class 2M1                                                        | CUSIP: 45254NNL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10111 | PA      | $9798.44      | 0.00%             | 2035-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class TI                                                                  | CUSIP: 38380QB43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  54393562 | PA      | $2759091.69   | 0.05%             | 2071-02-20      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9MM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1847742 | PA      | $1724375.42   | 0.03%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M5TW                             | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5172889 | PA      | $4632823.58   | 0.08%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-1A, Class A2                                                     | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    460998 | PA      | $445486.82    | 0.01%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1698037 | PA      | $1440591.34   | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WWPY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3400396 | PA      | $3524497.76   | 0.06%             | 2071-10-20      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2004-1, Class 12A1                                                | CUSIP: 07384MG48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91295 | PA      | $81634.19     | 0.00%             | 2034-04-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3385, Class SN                                                              | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35944 | PA      | $2519.92      | 0.00%             | 2037-11-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520019 | PA      | $501516.13    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class B                                                                   | CUSIP: 75973LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     32500 | PA      | $32374.49     | 0.00%             | 2052-09-20      | Fixed         | 5.75%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BJRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7927999 | PA      | $7423007.94   | 0.13%             | 2047-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-134, Class IH                                                                  | CUSIP: 38382JBN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20020372 | PA      | $3398850.51   | 0.06%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2023-A, Class C                                               | CUSIP: 123919AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1907907 | PA      | $1955713.58   | 0.03%             | 2038-11-15      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                 | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118551 | PA      | $113817.12    | 0.00%             | 2034-11-21      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LGZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2845295 | PA      | $2774696.40   | 0.05%             | 2029-01-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24488 | PA      | $24884.26     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-89, Class BS                                                                   | CUSIP: 38384BMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6756803 | PA      | $6207617.13   | 0.11%             | 2053-06-20      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2017-M3, Class A2                                                              | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1176745 | PA      | $1151805.48   | 0.02%             | 2026-12-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GR5S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5588127 | PA      | $5377502.88   | 0.09%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H06                                                                            | CUSIP: 38380QS60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  72221529 | PA      | $3258368.19   | 0.06%             | 2071-04-20      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 12                                                              | CUSIP: 31282YDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50177 | PA      | $6992.47      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K69, Class C                                                   | CUSIP: 30305KAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2765000 | PA      | $2691739.39   | 0.05%             | 2049-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-4, Class A                                                 | CUSIP: 48247QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1224001 | PA      | $17940.19     | 0.00%             | 2037-09-25      | Variable      | 1.02%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    996490 | PA      | $947437.26    | 0.02%             | 2050-10-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXH68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    938647 | PA      | $873918.64    | 0.01%             | 2040-04-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1994778 | PA      | $1790502.42   | 0.03%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-47, Class AI                                                                   | CUSIP: 38382EAK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4343090 | PA      | $842008.73    | 0.01%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 1A4                         | CUSIP: 22541SU55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114302 | PA      | $116774.20    | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    843361 | PA      | $842385.67    | 0.01%             | 2050-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y24W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7239565 | PA      | $6667412.95   | 0.11%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2204, Class GB                                                              | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       694 | PA      | $78.56        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    523590 | PA      | $488636.33    | 0.01%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                      | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79569 | PA      | $76281.63     | 0.00%             | 2034-11-20      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3607, Class BO                                                              | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57710 | PA      | $50574.11     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class A2                                                | CUSIP: 03290CAB2<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3580000 | PA      | $3600422.83   | 0.06%             | 2040-05-25      | Variable      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 310                                                                        | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678171 | PA      | $522406.82    | 0.01%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust               | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2024-RTL1, Class A1               | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11540000 | PA      | $11648154.03  | 0.20%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418D3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13403037 | PA      | $11669922.48  | 0.20%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X5YY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029467 | PA      | $1966258.58   | 0.03%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LG3D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4911000 | PA      | $4844314.46   | 0.08%             | 2032-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NGS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235712 | PA      | $225380.70    | 0.00%             | 2041-06-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                            | MFA Trust, Series 2024-RPL1, Class A1                                                            | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10332093 | PA      | $9939275.46   | 0.17%             | 2066-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W17, Class 1A7                                               | CUSIP: 31393UAK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1532438 | PA      | $1556553.82   | 0.03%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3364755 | PA      | $3021708.50   | 0.05%             | 2050-09-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W06D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17936881 | PA      | $15042591.00  | 0.25%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2611, Class SQ                                                              | CUSIP: 31393QYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13296 | PA      | $13468.50     | 0.00%             | 2033-05-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3200                                                                        | CUSIP: 31397AJ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57791 | PA      | $49292.75     | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2003-1, Class 1A                                                  | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71296 | PA      | $66961.65     | 0.00%             | 2033-04-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                         | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                            | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33717 | PA      | $25456.40     | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NFUP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1084558 | PA      | $1029934.60   | 0.02%             | 2050-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JCGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11222291 | PA      | $10425802.48  | 0.18%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-19, Class IP                                                            | CUSIP: 31397NUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323890 | PA      | $55398.03     | 0.00%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140EVJB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264188 | PA      | $244036.70    | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4CP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1685486 | PA      | $1540944.67   | 0.03%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSA51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1677473 | PA      | $1596426.40   | 0.03%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JUU82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672825 | PA      | $671536.32    | 0.01%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3649 | PA      | $3731.91      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-27, Class J                                                             | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       341 | PA      | $344.24       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNS54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    910656 | PA      | $814603.55    | 0.01%             | 2051-03-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2388, Class UZ                                                              | CUSIP: 31339M7J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4862 | PA      | $5106.41      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-79, Class SY                                                                   | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136656 | PA      | $684.98       | 0.00%             | 2037-12-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5438                                                                        | CUSIP: 3137HF7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6185455 | PA      | $4985329.27   | 0.08%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                   | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1313577 | PA      | $1194910.49   | 0.02%             | 2037-10-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2707436 | PA      | $2398096.50   | 0.04%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                              | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010795 | PA      | $56766.15     | 0.00%             | 2035-11-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3288000 | PA      | $2858867.04   | 0.05%             | 2034-04-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HLYC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376361 | PA      | $367888.07    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LFNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8797271 | PA      | $8120510.36   | 0.14%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-97, Class IA                                                                   | CUSIP: 38382GWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11362132 | PA      | $2049651.31   | 0.03%             | 2050-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-60, Class FB                                                            | CUSIP: 31392EUP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45438 | PA      | $45512.55     | 0.00%             | 2031-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128MSE71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42817 | PA      | $42867.11     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856931 | PA      | $784115.39    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class D                                            | CUSIP: 74331UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4555000 | PA      | $4475971.21   | 0.08%             | 2039-04-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-188, Class W                                                                   | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    512719 | PA      | $517790.64    | 0.01%             | 2041-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4682662 | PA      | $4275589.47   | 0.07%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 30X1                                          | CUSIP: 576434PF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24128 | PA      | $3615.32      | 0.00%             | 2034-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1483709 | PA      | $1314141.97   | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0N97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3788839 | PA      | $3355847.96   | 0.06%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H11, Class GI                                                                  | CUSIP: 38380QCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    772292 | PA      | $11828.60     | 0.00%             | 2067-07-20      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3402512 | PA      | $3154245.10   | 0.05%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Ultra Note                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       263 | NC      | $186566.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-53, Class SL                                                                   | CUSIP: 38383XJ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7751936 | PA      | $7173323.40   | 0.12%             | 2053-04-20      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-77, Class S                                                             | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10049 | PA      | $10391.75     | 0.00%             | 2032-12-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76814 | PA      | $78387.83     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                                               | Accelerated Assets LLC, Series 2018-1, Class B                                                   | CUSIP: 00436MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381035 | PA      | $376360.34    | 0.01%             | 2033-12-02      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNXG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3567712 | PA      | $3335525.19   | 0.06%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JMSB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1998996 | PA      | $2017775.70   | 0.03%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                            | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57736 | PA      | $52477.32     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-75, Class WA                                                                   | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215451 | PA      | $221452.34    | 0.00%             | 2040-06-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36230UMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    791024 | PA      | $756536.66    | 0.01%             | 2041-02-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29063 | PA      | $29565.66     | 0.00%             | 2037-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H18, Class KI                                                                  | CUSIP: 38380LN33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1293129 | PA      | $10332.10     | 0.00%             | 2069-11-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404J2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10009 | PA      | $10136.51     | 0.00%             | 2034-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2671, Class S                                                               | CUSIP: 31394HVK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11767 | PA      | $12895.59     | 0.00%             | 2033-09-15      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQR38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171055 | PA      | $168537.39    | 0.00%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2021-1, Class A                                          | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2253101 | PA      | $2208381.57   | 0.04%             | 2053-04-15      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1202636 | PA      | $1212829.07   | 0.02%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3461, Class LZ                                                              | CUSIP: 31397TXJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50645 | PA      | $52920.18     | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    830589 | PA      | $790717.45    | 0.01%             | 2047-07-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAV66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    684811 | PA      | $692802.86    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Continental Community Holdings LLC                                   | Continental Community Holdings LLC, Series 2021-1 A, Class A                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1884039 | PA      | $1804909.72   | 0.03%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    975075 | PA      | $991066.60    | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                                  | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6395240 | PA      | $6341489.28   | 0.11%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418SQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    977776 | PA      | $995826.36    | 0.02%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QAXW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4926951 | PA      | $4616238.97   | 0.08%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7055 | PA      | $7346.27      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138EJ3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108383 | PA      | $102524.15    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-H06, Class EI                                                                  | CUSIP: 38382Y2G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41484124 | PA      | $1143642.29   | 0.02%             | 2071-03-20      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31404RW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98038 | PA      | $96372.60     | 0.00%             | 2034-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2459949 | PA      | $2194151.12   | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2024-1A, Class C                                                    | CUSIP: 96034KAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3870885 | PA      | $3929019.24   | 0.07%             | 2038-01-20      | Fixed         | 7.06%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3373, Class TO                                                              | CUSIP: 31397KUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49308 | PA      | $42554.84     | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                             | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1949489 | PA      | $1827210.07   | 0.03%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class A                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235418 | PA      | $234365.26    | 0.00%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WC                                                                  | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    974639 | PA      | $930069.22    | 0.02%             | 2042-01-20      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-6, Class GS                                                             | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39602 | PA      | $3253.14      | 0.00%             | 2039-02-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2086, Class GB                                                              | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1808 | PA      | $1834.83      | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2002-3, Class 1A5                                                    | CUSIP: 161546CW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208891 | PA      | $206374.56    | 0.00%             | 2032-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QALL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4178630 | PA      | $4096563.28   | 0.07%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-50, Class ZA                                                            | CUSIP: 31392DA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87478 | PA      | $89765.32     | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132E0UE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7996737 | PA      | $7285357.55   | 0.12%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXVX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307305 | PA      | $306699.72    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                              | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28393 | PA      | $28575.43     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    973881 | PA      | $956702.25    | 0.02%             | 2050-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2023-1A, Class C                                                                 | CUSIP: 62848PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3185241 | PA      | $3272000.76   | 0.06%             | 2040-10-20      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107758 | PA      | $112663.69    | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2022-1A, Class B                                                    | CUSIP: 96034JAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1439109 | PA      | $1420618.31   | 0.02%             | 2036-08-20      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JRPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122948 | PA      | $121619.84    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class XPT2                | CUSIP: 3137FWGL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42793589 | PA      | $1038099.72   | 0.02%             | 2027-05-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133AMS98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3196917 | PA      | $2796824.60   | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    593104 | PA      | $545568.14    | 0.01%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3274, Class JO                                                              | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14613 | PA      | $12737.45     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519568 | PA      | $522168.64    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H09, Class IB                                                                  | CUSIP: 38380LTY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94672 | PA      | $98.55        | 0.00%             | 2069-04-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFUU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1103252 | PA      | $1080181.31   | 0.02%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    979292 | PA      | $896461.01    | 0.02%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5953042 | PA      | $5809176.01   | 0.10%             | 2032-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1203335 | PA      | $1095580.25   | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M8, Class A2                                                              | CUSIP: 3136BMST6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3370000 | PA      | $2927176.61   | 0.05%             | 2031-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1743720 | PA      | $1635862.60   | 0.03%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                   | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789625 | PA      | $790218.07    | 0.01%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                   | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                     | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478553 | PA      | $115682.56    | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2042, Class T                                                               | CUSIP: 3133TCZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       458 | PA      | $462.18       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNR71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4487350 | PA      | $4246168.12   | 0.07%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NMJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10461081 | PA      | $10319633.66  | 0.17%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDVH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23000000 | PA      | $18846681.62  | 0.32%             | 2033-11-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-14, Class CO                                                                   | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260510 | PA      | $219879.49    | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4888, Class AZ                                                              | CUSIP: 3137FM6J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3297801 | PA      | $3130818.73   | 0.05%             | 2048-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KSXT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7947378 | PA      | $6613748.95   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                   | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22300 | PA      | $22441.11     | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1960285.30   | 0.03%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                  | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165907 | PA      | $102412.25    | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class ST                                                                  | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302168 | PA      | $8691.91      | 0.00%             | 2038-02-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-81, Class SB                                                            | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88721 | PA      | $6090.97      | 0.00%             | 2038-09-25      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3985634 | PA      | $3665220.83   | 0.06%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-64, Class FB                                                | CUSIP: 31396WVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94035 | PA      | $93411.75     | 0.00%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-61, Class WA                                                            | CUSIP: 31398RPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75776 | PA      | $77037.63     | 0.00%             | 2040-06-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BJPD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11220150 | PA      | $10153024.27  | 0.17%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-24, Class Z                                                             | CUSIP: 31359PBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       273 | PA      | $275.48       | 0.00%             | 2027-04-18      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class W2                                     | CUSIP: 17307GCN6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        15 | PA      | $13.09        | 0.00%             | 2031-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSLW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1152595 | PA      | $1163017.10   | 0.02%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-1A, Class C                                                                 | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8974873 | PA      | $9056871.83   | 0.15%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A1                                       | CUSIP: 31392A5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673148 | PA      | $1690318.93   | 0.03%             | 2041-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    588839 | PA      | $591787.26    | 0.01%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LES81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7480088 | PA      | $6655401.28   | 0.11%             | 2032-01-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3117, Class EO                                                              | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42535 | PA      | $37819.90     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S1, Class A5                          | CUSIP: 929227H82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82075 | PA      | $83548.86     | 0.00%             | 2033-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553465 | PA      | $519571.15    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2020-1A, Class C                                                                 | CUSIP: 55400EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289713 | PA      | $286511.50    | 0.00%             | 2037-10-20      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2315 | PA      | $2365.89      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 191                                                                        | CUSIP: 31282YCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52060 | PA      | $2902.57      | 0.00%             | 2028-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-86CB, Class A11                                              | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179236 | PA      | $100561.39    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2017-2A, Class A1                                                     | CUSIP: 42771LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    674794 | PA      | $629101.72    | 0.01%             | 2048-09-20      | Fixed         | 3.28%                 | Yes           |                  3 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3753905 | PA      | $3653807.33   | 0.06%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128KHFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7860 | PA      | $8261.59      | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KHLT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2760178 | PA      | $2622594.20   | 0.04%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                  | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32311 | PA      | $32446.15     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179VMJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66539 | PA      | $68365.15     | 0.00%             | 2050-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-17, Class QS                                                            | CUSIP: 31397NGH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38556 | PA      | $3473.97      | 0.00%             | 2039-03-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                        | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                           | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    573186 | PA      | $575469.73    | 0.01%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                    | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    211677 | PA      | $178459.07    | 0.00%             | 2035-08-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JWX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1867696 | PA      | $1878603.64   | 0.03%             | 2049-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F8LZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351115 | PA      | $325010.27    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3371, Class FA                                                              | CUSIP: 31397KNW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19262 | PA      | $19233.52     | 0.00%             | 2037-09-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3248484 | PA      | $2877311.52   | 0.05%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410KUG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32593 | PA      | $34025.13     | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4PP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    944760 | PA      | $797738.37    | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A1                                                           | CUSIP: 42771AAA4<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |   3008186 | PA      | $2781683.72   | 0.05%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  3 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                  | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19222400 | PA      | $18393541.65  | 0.31%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-146, Class GO                                                                  | CUSIP: 38384DAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14407475 | PA      | $11299866.59  | 0.19%             | 2053-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140LUFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792785 | PA      | $668035.45    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LXQK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    712080 | PA      | $697163.80    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXB50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2216162 | PA      | $2255239.22   | 0.04%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class D                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1249517.00   | 0.02%             | 2037-09-15      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36181B5N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377831 | PA      | $358360.65    | 0.01%             | 2043-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $7403625.21   | 0.13%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1963, Class Z                                                               | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1631 | PA      | $1643.15      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XLK53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8029942 | PA      | $7285909.59   | 0.12%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    907931 | PA      | $826570.36    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K81, Class B                                                   | CUSIP: 30297HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1982489.80   | 0.03%             | 2051-09-25      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2024-M2, Class A1                                                              | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14334426 | PA      | $14624650.90  | 0.25%             | 2033-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66502 | PA      | $67694.29     | 0.00%             | 2036-10-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LH6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6241400.04   | 0.11%             | 2032-12-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-H17, Class IK                                                                  | CUSIP: 38380QMX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40044018 | PA      | $2559753.74   | 0.04%             | 2070-10-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 3A                                                 | CUSIP: 31394VQB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253764 | PA      | $258877.93    | 0.00%             | 2045-06-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128DHKC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103521 | PA      | $107468.54    | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-138, Class PT                                                                  | CUSIP: 38378GKK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1551682 | PA      | $1501787.95   | 0.03%             | 2042-11-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class AI                                                                  | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2374148 | PA      | $125043.31    | 0.00%             | 2067-06-20      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    640020 | PA      | $580187.96    | 0.01%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y86P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1392955 | PA      | $1274572.78   | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YPC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3237954 | PA      | $2989779.55   | 0.05%             | 2054-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-76, Class ZG                                                            | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81153 | PA      | $83454.98     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-1, Class MT                               | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12373733 | PA      | $10450600.32  | 0.18%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXB68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    772615 | PA      | $797791.11    | 0.01%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    741526 | PA      | $693859.65    | 0.01%             | 2050-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AQ2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69446 | PA      | $70929.00     | 0.00%             | 2033-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-29, Class 5A1                        | CUSIP: 22541Q4B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20755 | PA      | $21569.13     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24904 | PA      | $25253.12     | 0.00%             | 2034-10-01      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6309648 | PA      | $6204883.55   | 0.11%             | 2034-08-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-66, Class SV                                                            | CUSIP: 31394EKB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49188 | PA      | $3408.65      | 0.00%             | 2035-07-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       599 | PA      | $600.28       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-E, Class A2A                                 | CUSIP: 59020UJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18840 | PA      | $17958.51     | 0.00%             | 2029-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292GX68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6576 | PA      | $6820.07      | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8713671 | PA      | $8073358.30   | 0.14%             | 2063-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHD98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9130000 | PA      | $8575867.52   | 0.15%             | 2034-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LMBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5900023 | PA      | $5689222.96   | 0.10%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145233 | PA      | $130047.05    | 0.00%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HHVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3384376 | PA      | $3558847.04   | 0.06%             | 2054-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412CBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232631 | PA      | $240867.84    | 0.00%             | 2036-03-01      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class BK86                                               | CUSIP: 05494BBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15438000 | PA      | $12920587.09  | 0.22%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138W5J66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471626 | PA      | $464270.57    | 0.01%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2060, Class Z                                                               | CUSIP: 3133TDSX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2058 | PA      | $2087.93      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-59, Class WA                                                                   | CUSIP: 38378ERH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232911 | PA      | $240016.14    | 0.00%             | 2038-08-20      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-16, Class FC                                                            | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16554 | PA      | $16590.14     | 0.00%             | 2037-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSA69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716535 | PA      | $678021.89    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2109429 | PA      | $2160913.38   | 0.04%             | 2030-04-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR10, Class E1                                          | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6539212 | PA      | $6255405.26   | 0.11%             | 2040-12-17      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-120                                                                     | CUSIP: 31396LH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123938 | PA      | $17624.77     | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H17, Class FQ                                                                  | CUSIP: 38375UK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1952489 | PA      | $1964991.97   | 0.03%             | 2067-09-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2005-QA10, Class A31                                                          | CUSIP: 761118GD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48037 | PA      | $32226.40     | 0.00%             | 2035-09-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M39, Class X1                                                             | CUSIP: 3136BBTD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43317151 | PA      | $2377656.74   | 0.04%             | 2030-07-25      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2017-2, Class M                                          | CUSIP: 21870DAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6200000 | PA      | $6115782.30   | 0.10%             | 2027-12-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31296RS82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22096 | PA      | $22603.44     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MW5V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1706689 | PA      | $1608383.77   | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617VSKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3900046 | PA      | $3869127.55   | 0.07%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9L76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5752891 | PA      | $5237674.50   | 0.09%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QCFC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1918877 | PA      | $1756188.26   | 0.03%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3845517 | PA      | $3726075.69   | 0.06%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-49, Class LZ                                                            | CUSIP: 313921AM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16237 | PA      | $16851.62     | 0.00%             | 2031-07-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 356, Class 3                                                                | CUSIP: 3136FCPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62902 | PA      | $7695.43      | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHX70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6105000 | PA      | $6101066.55   | 0.10%             | 2032-12-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LJYV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $741814.91    | 0.01%             | 2032-08-01      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KRF46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2957881 | PA      | $2581418.52   | 0.04%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    490509 | PA      | $479234.47    | 0.01%             | 2041-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M38, Class X2                                                             | CUSIP: 3136BBSN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4918505 | PA      | $206711.49    | 0.00%             | 2028-11-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618FSKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3428864 | PA      | $3605431.81   | 0.06%             | 2054-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3 | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29338 | PA      | $29152.65     | 0.00%             | 2033-11-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-2, Class MS                                                                    | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79974 | PA      | $6391.18      | 0.00%             | 2038-01-16      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-110                                                                     | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32978 | PA      | $28623.08     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB13, Class M2                                                             | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1751128.28   | 0.03%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-2, Class B                                          | CUSIP: 21872GAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3032463 | PA      | $2949337.82   | 0.05%             | 2052-06-15      | Fixed         | 3.42%                 | Yes           |                  2 | On Loan: No      |
| vMobo, Inc.                                                          | vMobo, Inc.                                                                                      | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9995881 | PA      | $9509681.54   | 0.16%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                      | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105676 | PA      | $104410.61    | 0.00%             | 2034-04-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2017-1A, Class A                                                                   | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    232985 | PA      | $218453.71    | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NWCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1553236 | PA      | $1592469.75   | 0.03%             | 2031-06-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1188843 | PA      | $1147967.34   | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDGG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20203000 | PA      | $17361262.59  | 0.29%             | 2031-09-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    792648 | PA      | $724987.51    | 0.01%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS5G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    616378 | PA      | $576364.91    | 0.01%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                               | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2108902 | PA      | $1923826.62   | 0.03%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383859 | PA      | $360144.61    | 0.01%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Renew                                                                | Renew, Series 2023-1A, Class A                                                                   | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |  13227764 | PA      | $13091300.79  | 0.22%             | 2058-11-20      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 345, Class 6                                                                | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21561 | PA      | $2482.42      | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8053000 | PA      | $7283298.93   | 0.12%             | 2032-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HD6Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    779641 | PA      | $756628.00    | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1923392.22   | 0.03%             | 2032-10-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-6, Class AL                                                             | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13198709 | PA      | $9984007.68   | 0.17%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-130, Class CP                                                                  | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145920 | PA      | $156031.06    | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class EI                                                                  | CUSIP: 38382JE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14094550 | PA      | $2262107.64   | 0.04%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2141                                                                        | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       299 | PA      | $14.07        | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4480, Class SE                                                              | CUSIP: 3137BKF96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2575278 | PA      | $353864.56    | 0.01%             | 2045-06-15      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617YL2Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5136167 | PA      | $4612990.62   | 0.08%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X9M44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6452608 | PA      | $5451541.01   | 0.09%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U2GJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3667191 | PA      | $3422316.24   | 0.06%             | 2050-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-103, Class SB                                                           | CUSIP: 31398TY62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336941 | PA      | $30242.93     | 0.00%             | 2049-11-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4102711 | PA      | $4138309.69   | 0.07%             | 2033-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEP27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11965000 | PA      | $9445608.68   | 0.16%             | 2036-12-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-132, Class OA                                                           | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1065 | PA      | $1034.09      | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-72, Class TO                                                            | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27611 | PA      | $22989.87     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       392 | PA      | $388.33       | 0.00%             | 2027-09-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NRTS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1078904 | PA      | $939625.59    | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2007-6, Class 1A8                                                  | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8107 | PA      | $7187.21      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       560 | PA      | $568.52       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-56, Class FT                                                            | CUSIP: 31395NXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229404 | PA      | $231612.94    | 0.00%             | 2036-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  83610000 | PA      | $60519269.11  | 1.02%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXX72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9278288 | PA      | $8233699.12   | 0.14%             | 2062-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-187, Class WA                                                                  | CUSIP: 38382LC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3705710 | PA      | $3555544.95   | 0.06%             | 2041-07-16      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K75, Class B                                                   | CUSIP: 30296PAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2958233.70   | 0.05%             | 2051-04-25      | Variable      | 4.11%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2038, Class PN                                                              | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       678 | PA      | $36.76        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 2021-MN1, Class M1                                                                 | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |   2575082 | PA      | $2567320.64   | 0.04%             | 2051-01-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1323232 | PA      | $1371290.11   | 0.02%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                           | ROCK Trust, Series 2024-CNTR, Class C                                                            | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15580000 | PA      | $16152415.43  | 0.27%             | 2041-11-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W8, Class 3F1                                                | CUSIP: 31393CX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68027 | PA      | $67912.38     | 0.00%             | 2042-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                  | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15250000 | PA      | $14619058.70  | 0.25%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                                            | HINNT LLC, Series 2024-A, Class B                                                                | CUSIP: 40472QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4275697 | PA      | $4348272.62   | 0.07%             | 2043-03-15      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-14, Class BO                                                                   | CUSIP: 38376WBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45023 | PA      | $37999.42     | 0.00%             | 2035-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31404ADZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82696 | PA      | $81468.16     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7168 | PA      | $7194.36      | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3451, Class SA                                                              | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7658 | PA      | $521.11       | 0.00%             | 2038-05-15      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    860877 | PA      | $809404.20    | 0.01%             | 2051-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MNNN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    518265 | PA      | $459044.48    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-7, Class PF                                                             | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2383 | PA      | $2491.18      | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XPQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9076741 | PA      | $9396607.48   | 0.16%             | 2071-11-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $3109291.26   | 0.05%             | 2033-05-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GSF87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    652814 | PA      | $658634.66    | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3                        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249823 | PA      | $244898.43    | 0.00%             | 2035-07-19      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    539145 | PA      | $539917.44    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F7KM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216521 | PA      | $201945.66    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IN                                                                  | CUSIP: 38380QB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49480786 | PA      | $2437951.45   | 0.04%             | 2071-02-20      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17397 | PA      | $17782.30     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2021-2, Class D                                           | CUSIP: 43732VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11513948 | PA      | $11114685.38  | 0.19%             | 2026-12-17      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                         | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24430 | PA      | $23802.74     | 0.00%             | 2033-09-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3393, Class JO                                                              | CUSIP: 31397PGA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49320 | PA      | $44614.45     | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-190, Class LS                                                                  | CUSIP: 38383LBR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8471054 | PA      | $8020452.43   | 0.14%             | 2052-11-20      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-28, Class PF                                                            | CUSIP: 31393YFC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16444 | PA      | $16440.05     | 0.00%             | 2034-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-4, Class AJ                                                             | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830316 | PA      | $791987.04    | 0.01%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-43, Class SA                                                                   | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80637 | PA      | $3696.80      | 0.00%             | 2039-06-20      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M1MB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    462984 | PA      | $446354.28    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-79, Class UA                                                            | CUSIP: 31398FPB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6867 | PA      | $7063.73      | 0.00%             | 2038-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-32, Class SA                                                            | CUSIP: 31396Y5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15549 | PA      | $1347.59      | 0.00%             | 2038-04-25      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1421924 | PA      | $1371295.60   | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5048, Class TI                                                              | CUSIP: 3137F7FM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15658090 | PA      | $2571135.17   | 0.04%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2486741 | PA      | $2273488.90   | 0.04%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class C                                | CUSIP: 82650DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2493257 | PA      | $2524868.29   | 0.04%             | 2041-06-20      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HJTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9115573 | PA      | $8503629.23   | 0.14%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KJBU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1991680 | PA      | $1818522.72   | 0.03%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHYC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4655000 | PA      | $4763794.75   | 0.08%             | 2032-11-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KM4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7531698 | PA      | $6316333.00   | 0.11%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5337, Class SB                                                              | CUSIP: 3137HAM29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4739278 | PA      | $4847572.07   | 0.08%             | 2053-09-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XN4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16819417 | PA      | $14098457.49  | 0.24%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYYS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3021926 | PA      | $2869725.94   | 0.05%             | 2050-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                                | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102021 | PA      | $106605.77    | 0.00%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-7, Class SG                                                             | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254020 | PA      | $28672.44     | 0.00%             | 2036-08-25      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       681 | PA      | $695.83       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1147896 | PA      | $1147609.98   | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AC3N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13506945 | PA      | $12369043.74  | 0.21%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-37T1, Class A2                                               | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2192521 | PA      | $157450.43    | 0.00%             | 2035-09-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                  | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   7700000 | PA      | $7728534.66   | 0.13%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class E                                          | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1920000 | PA      | $1921799.99   | 0.03%             | 2038-04-15      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WNCY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9097017 | PA      | $9450031.67   | 0.16%             | 2071-08-20      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-13, Class PI                                                                   | CUSIP: 38375PNB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188879 | PA      | $13363.31     | 0.00%             | 2038-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1493472 | PA      | $1367130.94   | 0.02%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-112, Class GS                                                                  | CUSIP: 38381Y4K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1576939 | PA      | $199486.05    | 0.00%             | 2049-09-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69412 | PA      | $71527.04     | 0.00%             | 2035-04-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-2A, Class C                                            | CUSIP: 43285JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5025000 | PA      | $5040244.34   | 0.09%             | 2044-05-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDGZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7589166 | PA      | $6697368.03   | 0.11%             | 2031-05-01      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QX5V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829862 | PA      | $755542.64    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7       | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161234 | PA      | $148771.03    | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2013-CR9, Class XB                                             | CUSIP: 12625UAA1<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |  30469248 | PA      | $44180.41     | 0.00%             | 2045-07-10      | Variable      | 1.11%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-112, Class SG                                                                  | CUSIP: 38381YS88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2207157 | PA      | $215505.70    | 0.00%             | 2049-09-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSDN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1267926 | PA      | $1345154.71   | 0.02%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1379505 | PA      | $1311555.92   | 0.02%             | 2048-08-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BV45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567709 | PA      | $524332.04    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726991 | PA      | $703976.60    | 0.01%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2838445 | PA      | $2702185.51   | 0.05%             | 2047-09-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $21322265.50  | 0.36%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3467907 | PA      | $3679135.20   | 0.06%             | 2054-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LMPX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    791511 | PA      | $742064.18    | 0.01%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                         | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87026 | PA      | $81712.66     | 0.00%             | 2034-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-20, Class H                                                             | CUSIP: 3136B4NV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1350473 | PA      | $1241371.89   | 0.02%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class PT1                                       | CUSIP: 31393YV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82859 | PA      | $87828.53     | 0.00%             | 2044-01-25      | Variable      | 9.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYEX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1699444 | PA      | $1656770.50   | 0.03%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKD59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4030000 | PA      | $4044431.19   | 0.07%             | 2033-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.               | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class 1                 | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       443 | PA      | $441.20       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XW6C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5190695 | PA      | $4597499.13   | 0.08%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                   | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6975 | PA      | $7019.63      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A2                                               | CUSIP: 466247K85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32525 | PA      | $32176.13     | 0.00%             | 2033-11-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                               | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10878982 | PA      | $9407162.71   | 0.16%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    963487 | PA      | $960694.50    | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-42, Class A5                   | CUSIP: 31392MH39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366029 | PA      | $391346.09    | 0.01%             | 2042-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2003-4, Class 3A1                                                 | CUSIP: 07384MVR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36043 | PA      | $34813.01     | 0.00%             | 2033-07-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-116, Class SB                                                           | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69868 | PA      | $6215.21      | 0.00%             | 2033-11-25      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-H13, Class FT                                                                  | CUSIP: 38376RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44786 | PA      | $44862.45     | 0.00%             | 2066-05-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 3138M66U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284733 | PA      | $278134.08    | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2077825.14   | 0.04%             | 2031-08-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51961 | PA      | $53821.73     | 0.00%             | 2036-10-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2003-41, Class ID                                                                   | CUSIP: 38373QQA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82167 | PA      | $745.66       | 0.00%             | 2033-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FQPZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619587 | PA      | $610468.88    | 0.01%             | 2063-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T4, Class A2                                        | CUSIP: 31392B6U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68652 | PA      | $71391.75     | 0.00%             | 2041-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A0AC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    750991 | PA      | $711565.27    | 0.01%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-18, Class MA                                                            | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  37070922 | PA      | $30634886.91  | 0.52%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                             | PRET LLC, Series 2021-RN4, Class A1                                                              | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6872969 | PA      | $6879693.24   | 0.12%             | 2051-10-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1802680 | PA      | $1798906.10   | 0.03%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    960216 | PA      | $898365.15    | 0.02%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MSQX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491969 | PA      | $468633.75    | 0.01%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class IJ                                                                  | CUSIP: 38380QXK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        | 106796298 | PA      | $5618698.26   | 0.10%             | 2071-01-20      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                  | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                    | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10744 | PA      | $10444.73     | 0.00%             | 2020-02-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2005-4, Class 2                                                     | CUSIP: 74160MKY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43601 | PA      | $33841.02     | 0.00%             | 2035-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-44, Class PD                                                            | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4236 | PA      | $4411.27      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5028, Class JG                                                              | CUSIP: 3137FWSA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6113426 | PA      | $4874720.04   | 0.08%             | 2050-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UMTN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1103320 | PA      | $1050272.32   | 0.02%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2352332 | PA      | $2083681.45   | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3622A25K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3510031 | PA      | $3322793.37   | 0.06%             | 2048-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LCKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1396348 | PA      | $1308438.33   | 0.02%             | 2037-11-01      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10005000 | PA      | $9990523.07   | 0.17%             | 2033-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JY3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3874155 | PA      | $3385850.83   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB14, Class M1                                                             | CUSIP: 12530XAB7<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   5430000 | PA      | $5222762.96   | 0.09%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189676 | PA      | $196822.35    | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3965085 | PA      | $4052433.10   | 0.07%             | 2031-01-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDZK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9232467 | PA      | $7779338.83   | 0.13%             | 2033-10-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-10, Class A1A                                                | CUSIP: 81744FET0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136030 | PA      | $128070.91    | 0.00%             | 2034-11-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DTMR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4501570 | PA      | $3935893.67   | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKCV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4884000 | PA      | $4980481.76   | 0.08%             | 2031-09-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-111, Class AM                                                           | CUSIP: 31398NXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326561 | PA      | $342548.78    | 0.01%             | 2040-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                           | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    163282 | PA      | $160151.50    | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31288LUU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182005 | PA      | $190630.47    | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VOLT CV LLC                                                          | VOLT CV LLC, Series 2021-CF2, Class A1                                                           | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    984037 | PA      | $983220.44    | 0.02%             | 2051-11-27      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H14, Class XI                                                                  | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2706748 | PA      | $78078.03     | 0.00%             | 2067-06-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3427000 | PA      | $3554654.86   | 0.06%             | 2031-01-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HAA72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1596447 | PA      | $1599040.86   | 0.03%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class SE                                                                   | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98549 | PA      | $1428.06      | 0.00%             | 2037-06-16      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2023-HB11, Class M2                                                             | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4750000 | PA      | $4664079.63   | 0.08%             | 2037-02-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2024-MH1, Class M1                                                | CUSIP: 14731VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $2957159.43   | 0.05%             | 2056-11-25      | Variable      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136502 | PA      | $135734.64    | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617XDMY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4995827 | PA      | $4974665.18   | 0.08%             | 2050-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31385WZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26253 | PA      | $26246.07     | 0.00%             | 2033-01-01      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816270 | PA      | $766449.00    | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                  | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    310764 | PA      | $75425.18     | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173656 | PA      | $167477.59    | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                           | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53542 | PA      | $55515.56     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15630 | PA      | $15896.37     | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                                 | Impac Secured Assets CMN Owner Trust, Series 2001-8, Class A6                                    | CUSIP: 45254TJZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104588 | PA      | $107431.23    | 0.00%             | 2032-01-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust                                                                            | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12000000 | PA      | $12179882.40  | 0.21%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26896 | PA      | $28494.77     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2423, Class MT                                                              | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13499 | PA      | $14171.64     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2003-W8, Class 2A                                                 | CUSIP: 31393CW82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59127 | PA      | $60732.91     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36202WH69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6040 | PA      | $6093.47      | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class MT                                                           | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442523 | PA      | $469666.39    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-92, Class AD                                                            | CUSIP: 31398FVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12684 | PA      | $12686.01     | 0.00%             | 2039-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-44, Class PU                                                            | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12159 | PA      | $12769.29     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR3, Class E2                                           | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11870000 | PA      | $11816665.72  | 0.20%             | 2039-04-17      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNSP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    665987 | PA      | $609904.06    | 0.01%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636136 | PA      | $589848.38    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-28, Class S                                                                    | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25549 | PA      | $28257.43     | 0.00%             | 2034-04-16      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31371NQG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13495 | PA      | $13981.45     | 0.00%             | 2027-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36204USZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281503 | PA      | $270982.72    | 0.00%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    656987 | PA      | $644671.06    | 0.01%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V83Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2373724 | PA      | $2117281.83   | 0.04%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179CKG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1797810 | PA      | $1837312.55   | 0.03%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164859 | PA      | $146084.49    | 0.00%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-118, Class LB                                                           | CUSIP: 3136A12K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262710 | PA      | $280574.65    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QJRF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10916 | PA      | $11213.27     | 0.00%             | 2036-12-01      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-47, Class ZA                                                            | CUSIP: 31397UEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174883 | PA      | $179300.20    | 0.00%             | 2038-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K54M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1833338 | PA      | $1718804.76   | 0.03%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DNAG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2605470 | PA      | $2263462.15   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                               | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58838 | PA      | $58207.41     | 0.00%             | 2033-11-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNF82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1176443 | PA      | $1097860.95   | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L7GA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1583229 | PA      | $1516680.86   | 0.03%             | 2034-08-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3179, Class OA                                                              | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29231 | PA      | $25332.60     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-1, Class 1A1       | CUSIP: 9393362D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22262 | PA      | $21967.16     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31336CNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9230 | PA      | $9375.45      | 0.00%             | 2036-03-01      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class E2                                                 | CUSIP: 33768NAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5235000 | PA      | $5153995.18   | 0.09%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                  | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81221 | PA      | $77152.19     | 0.00%             | 2028-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H10, Class IB                                                                  | CUSIP: 38380LVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194772 | PA      | $7.61         | 0.00%             | 2069-05-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MPCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7602123 | PA      | $6878316.15   | 0.12%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2004-1, Class II2A                                   | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7939 | PA      | $7771.35      | 0.00%             | 2044-03-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C                             | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13812500 | PA      | $12798372.90  | 0.22%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2022-179, Class WE                                                                  | CUSIP: 38383Y5K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4206307 | PA      | $4155921.58   | 0.07%             | 2052-10-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR15, Class 3A1                | CUSIP: 22541QCV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30032 | PA      | $30858.12     | 0.00%             | 2033-06-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                 | Westgate Resorts LLC, Series 2024-1A, Class B                                                    | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4707643 | PA      | $4775910.64   | 0.08%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-78, Class CB                                                            | CUSIP: 31396W5X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41948 | PA      | $44324.06     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617548 | PA      | $586579.46    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                  | Chase Funding Trust, Series 2003-6, Class 1A7                                                    | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115409 | PA      | $114489.38    | 0.00%             | 2034-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                           | RALI Trust, Series 2004-QA4, Class NB3                                                           | CUSIP: 76110HZL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63458 | PA      | $62636.55     | 0.00%             | 2034-09-25      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2036380 | PA      | $1853897.71   | 0.03%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-85                                                                             | CUSIP: 38374MHB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83810 | PA      | $2893.39      | 0.00%             | 2035-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NU3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3871000 | PA      | $3923115.20   | 0.07%             | 2031-11-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                          | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189924 | PA      | $188863.86    | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36290TED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4222 | PA      | $4213.85      | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31404UKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8783 | PA      | $8832.51      | 0.00%             | 2034-06-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPDP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    893159 | PA      | $758537.46    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140F4KN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325968 | PA      | $301060.18    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q0FY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3053519 | PA      | $2887877.48   | 0.05%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3498589 | PA      | $3508885.05   | 0.06%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11722931 | PA      | $11311327.52  | 0.19%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684000 | PA      | $702562.88    | 0.01%             | 2034-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-25, Class SA                                                            | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19581 | PA      | $21219.19     | 0.00%             | 2034-04-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2022-SFR1, Class E1                                           | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9588001.00   | 0.16%             | 2041-02-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                      | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89961 | PA      | $84695.99     | 0.00%             | 2034-06-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR1, Class D                                                            | CUSIP: 00182MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $4871588.93   | 0.08%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M4, Class A1                                                              | CUSIP: 3136BP3J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7336430 | PA      | $7295324.12   | 0.12%             | 2032-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Grene 2023-Senior                                                    | Grene 2023-Senior                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4295412 | PA      | $4322902.88   | 0.07%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class WA2                                    | CUSIP: 17307GCK2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       357 | PA      | $356.74       | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1069981 | PA      | $947763.13    | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LCDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6372608 | PA      | $6112150.58   | 0.10%             | 2030-11-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8835132.80   | 0.15%             | 2031-06-01      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-118, Class A2                                                           | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38997 | PA      | $38323.35     | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19812614 | PA      | $17189232.14  | 0.29%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2075, Class PH                                                              | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17099 | PA      | $17360.04     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       595 | NC      | $306184.55    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1874872 | PA      | $1816675.45   | 0.03%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3989278 | PA      | $3582540.91   | 0.06%             | 2050-07-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR1, Class C                                                            | CUSIP: 00182MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6095000 | PA      | $5741224.26   | 0.10%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                               | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23645 | PA      | $23830.62     | 0.00%             | 2037-10-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2007-W2, Class 1A1                                         | CUSIP: 31396VAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124242 | PA      | $122812.56    | 0.00%             | 2037-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACD31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17527897 | PA      | $15841135.52  | 0.27%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                          | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                                           | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4180000 | PA      | $3977869.41   | 0.07%             | 2039-07-10      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class C                                                            | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4740060.00   | 0.08%             | 2037-09-15      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3632, Class BS                                                              | CUSIP: 31398WRF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    255054 | PA      | $254110.60    | 0.00%             | 2040-02-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    861582 | PA      | $808312.95    | 0.01%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2023-M8, Class A1                                                              | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3013376 | PA      | $3055895.89   | 0.05%             | 2032-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4AG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915142 | PA      | $886728.15    | 0.02%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6544830 | PA      | $5533642.37   | 0.09%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140F5P31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145127 | PA      | $134755.33    | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JR5K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1420855 | PA      | $1413749.77   | 0.02%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12451284 | PA      | $10619914.22  | 0.18%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQXQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2133903 | PA      | $2026422.57   | 0.03%             | 2051-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR1, Class D                                                            | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3195818.10   | 0.05%             | 2038-06-17      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1320302 | PA      | $1319064.29   | 0.02%             | 2040-02-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                                    | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4852545.00   | 0.08%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19854337 | PA      | $16692779.13  | 0.28%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding III                                                     | HERO Funding III, Series 2017-1A, Class A                                                        | CUSIP: 42771BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    375848 | PA      | $337267.58    | 0.01%             | 2043-09-21      | Fixed         | 3.50%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WRC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5012692 | PA      | $4567474.51   | 0.08%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QNFK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22512199 | PA      | $18926369.16  | 0.32%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-137, Class WA                                                                  | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142573 | PA      | $147802.14    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WB                                                                  | CUSIP: 38378GPF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1463532 | PA      | $1403733.83   | 0.02%             | 2042-09-16      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1092495 | PA      | $1102504.78   | 0.02%             | 2050-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLC74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1293434 | PA      | $1344206.16   | 0.02%             | 2030-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-96, Class SL                                                                   | CUSIP: 38375PY88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68312 | PA      | $1536.40      | 0.00%             | 2038-12-20      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X8XB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6136594 | PA      | $5182954.46   | 0.09%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UG7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1102761 | PA      | $1073333.37   | 0.02%             | 2051-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF6H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5704887 | PA      | $5367803.08   | 0.09%             | 2031-10-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A2, Class 2A1                                          | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63244 | PA      | $62969.10     | 0.00%             | 2035-06-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80816 | PA      | $75249.13     | 0.00%             | 2041-02-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128E54X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251701 | PA      | $249417.16    | 0.00%             | 2032-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H05, Class FC                                                                  | CUSIP: 38376RU61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    509931 | PA      | $510810.83    | 0.01%             | 2067-02-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6490258 | PA      | $5749970.36   | 0.10%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20269156 | PA      | $16839767.38  | 0.29%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MYW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2595502 | PA      | $2423998.21   | 0.04%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-7, Class FD                                                             | CUSIP: 31392B3F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14782 | PA      | $14796.51     | 0.00%             | 2029-04-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K78, Class B                                                   | CUSIP: 30296XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3449000 | PA      | $3401983.92   | 0.06%             | 2051-06-25      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2657106 | PA      | $2421989.36   | 0.04%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364336 | PA      | $351824.14    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1159951 | PA      | $1027466.18   | 0.02%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2271, Class PC                                                              | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19979 | PA      | $20838.85     | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15573 | PA      | $15900.40     | 0.00%             | 2033-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-91, Class W                                                                    | CUSIP: 38379PU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485812 | PA      | $502736.75    | 0.01%             | 2040-05-20      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M11                                                                       | CUSIP: 3136B86Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  69162842 | PA      | $2999308.88   | 0.05%             | 2029-01-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Note                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1280 | NC      | $577555.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3237, Class AO                                                              | CUSIP: 31397CDK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39284 | PA      | $32690.56     | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-84, Class WS                                                            | CUSIP: 31398FHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41465 | PA      | $3207.02      | 0.00%             | 2039-10-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                  | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38485 | PA      | $19187.80     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36230LAK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    577753 | PA      | $528560.51    | 0.01%             | 2041-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y9A50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6445751 | PA      | $5895512.50   | 0.10%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1176677 | PA      | $1076692.37   | 0.02%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2021-1WA, Class C                                                                | CUSIP: 55389TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1373364 | PA      | $1317017.14   | 0.02%             | 2041-01-22      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-59, Class SD                                                                   | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39095 | PA      | $2519.82      | 0.00%             | 2036-10-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2020-AA, Class B                                            | CUSIP: 43285HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    795884 | PA      | $791228.80    | 0.01%             | 2039-02-25      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MASZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2251813 | PA      | $1984096.72   | 0.03%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                       | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                       | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49040 | PA      | $42102.91     | 0.00%             | 2036-01-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JYXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2202706 | PA      | $2060738.07   | 0.03%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DEY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1091197 | PA      | $1042938.97   | 0.02%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-92                                                                      | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646208 | PA      | $488278.95    | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXBQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    801308 | PA      | $815436.20    | 0.01%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31335ABG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2954928 | PA      | $2703092.59   | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    929065 | PA      | $849751.74    | 0.01%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K66, Class B                                                   | CUSIP: 35708QAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $986983.70    | 0.02%             | 2027-07-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-103, Class WA                                                                  | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144022 | PA      | $146958.15    | 0.00%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140AELH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9902356 | PA      | $9771642.33   | 0.17%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LHCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1536899 | PA      | $1514806.98   | 0.03%             | 2027-02-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXTU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7226065 | PA      | $6412644.74   | 0.11%             | 2061-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21385 | PA      | $21805.32     | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2271200 | PA      | $2084638.61   | 0.04%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5974783 | PA      | $6190491.79   | 0.10%             | 2030-02-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416RZH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199174 | PA      | $195556.49    | 0.00%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96506 | PA      | $101109.42    | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KNSE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3888067 | PA      | $3257486.23   | 0.06%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QBP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4619235 | PA      | $4396914.17   | 0.07%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RCF1, Class A1                                                             | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3615086 | PA      | $3558595.69   | 0.06%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7667852 | PA      | $6713326.08   | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                 | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58730 | PA      | $55301.81     | 0.00%             | 2034-12-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7285342 | PA      | $5941579.70   | 0.10%             | 2063-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402ER91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       538 | PA      | $532.81       | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bonds                                                                              | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17000000 | PA      | $13607304.73  | 0.23%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3966, Class NA                                                              | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549966 | PA      | $537775.68    | 0.01%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-35, Class SB                                                            | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73564 | PA      | $4959.12      | 0.00%             | 2040-04-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-16, Class JI                                                                   | CUSIP: 38382NAW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19627765 | PA      | $3080673.82   | 0.05%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19196 | PA      | $19887.98     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128DHG99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87091 | PA      | $88663.46     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4DP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246273 | PA      | $1134594.09   | 0.02%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31412QDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125845 | PA      | $129309.19    | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LFT CRE Ltd.                                                         | LFT CRE Ltd., Series 2021-FL1, Class C                                                           | CUSIP: 50203JAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $7958912.00   | 0.13%             | 2039-06-15      | Floating      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-76, Class SA                                                                   | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102556 | PA      | $548.73       | 0.00%             | 2037-11-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKQV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2518295 | PA      | $2500016.31   | 0.04%             | 2035-05-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                       | Long Beach Mortgage Loan Trust, Series 2004-1, Class M1                                          | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164963 | PA      | $163941.41    | 0.00%             | 2034-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                           | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203883 | PA      | $211512.17    | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-197, Class BN                                                                  | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17294484 | PA      | $16114544.05  | 0.27%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-119                                                                     | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26338 | PA      | $23251.04     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3531, Class SA                                                              | CUSIP: 31398CVT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124715 | PA      | $11199.52     | 0.00%             | 2039-05-15      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36230LXZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53870 | PA      | $56507.56     | 0.00%             | 2039-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                         | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94296 | PA      | $94615.69     | 0.00%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-86, Class OT                                                            | CUSIP: 31398FRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192698 | PA      | $164377.07    | 0.00%             | 2037-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KX6G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    932521 | PA      | $850708.69    | 0.01%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR1, Class B                                                            | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2463000 | PA      | $2312734.09   | 0.04%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QPN86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945880 | PA      | $911094.88    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2023-1A, Class A                                                               | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   5503058 | PA      | $5485114.55   | 0.09%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-11, Class LA                                                            | CUSIP: 3136B1DP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892539 | PA      | $874603.18    | 0.01%             | 2045-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-74, Class SL                                                                   | CUSIP: 38375LZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    374262 | PA      | $1782.80      | 0.00%             | 2037-11-16      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GKK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38257 | PA      | $40113.13     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1667856 | PA      | $1477562.22   | 0.03%             | 2044-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31386L4V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9232 | PA      | $9278.20      | 0.00%             | 2030-02-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust MLMI, Series 2005-A1, Class 3A                            | CUSIP: 59020UQE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11969 | PA      | $11975.05     | 0.00%             | 2034-12-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LCUP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $14849254.98  | 0.25%             | 2033-07-01      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A6DA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    566913 | PA      | $545432.13    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1514854 | PA      | $1341866.45   | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418M2N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261417 | PA      | $281789.12    | 0.00%             | 2039-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-95, Class DS                                                                   | CUSIP: 38375DYP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228193 | PA      | $2221.67      | 0.00%             | 2038-12-20      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A0UF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    894796 | PA      | $847182.51    | 0.01%             | 2049-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M4VW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11213 | PA      | $11500.01     | 0.00%             | 2029-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| P4 SFR                                                               | P4 SFR                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2465255 | PA      | $2428275.73   | 0.04%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DZ71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50805 | PA      | $48397.05     | 0.00%             | 2041-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403DQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14048 | PA      | $14212.53     | 0.00%             | 2035-06-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JMQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271928 | PA      | $272468.90    | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3714, Class IP                                                              | CUSIP: 3137A0WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152602 | PA      | $7009.57      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LAXX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    646938 | PA      | $656955.85    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2470, Class SL                                                              | CUSIP: 31392RJ36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       300 | PA      | $298.85       | 0.00%             | 2027-01-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-103, Class WA                                                                  | CUSIP: 38382T2D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2919956 | PA      | $2857604.89   | 0.05%             | 2045-06-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19298 | PA      | $19400.56     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-6, Class A                                                 | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1435749 | PA      | $15887.99     | 0.00%             | 2039-05-25      | Variable      | 0.68%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20889 | PA      | $21332.06     | 0.00%             | 2036-01-01      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LCDV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600288 | PA      | $572221.66    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7D69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676787 | PA      | $660472.15    | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36213E6A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11904 | PA      | $11983.71     | 0.00%             | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XEJA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3722426 | PA      | $3388853.05   | 0.06%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-157, Class OP                                                                  | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405958 | PA      | $348957.05    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-72, Class AZ                                                                   | CUSIP: 38374L7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153931 | PA      | $156484.25    | 0.00%             | 2035-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6415491 | PA      | $5319422.71   | 0.09%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-91, Class ES                                                            | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194155 | PA      | $21399.30     | 0.00%             | 2037-10-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130786 | PA      | $129649.86    | 0.00%             | 2045-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-121, Class B                                                                   | CUSIP: 38380PW75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11062373 | PA      | $8306285.94   | 0.14%             | 2060-08-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2824 | PA      | $2829.94      | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $4524550.89   | 0.08%             | 2034-04-01      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2433, Class SA                                                              | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22570 | PA      | $26943.70     | 0.00%             | 2032-02-15      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3852, Class QN                                                              | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34963 | PA      | $33535.10     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NRTQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    726254 | PA      | $700630.24    | 0.01%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class C                                             | CUSIP: 25273CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1427840 | PA      | $1425552.11   | 0.02%             | 2033-11-21      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128K7DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119918 | PA      | $126174.36    | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KPSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1398630 | PA      | $1222774.07   | 0.02%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3286500 | PA      | $3061279.02   | 0.05%             | 2064-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31412TXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21375 | PA      | $22560.52     | 0.00%             | 2038-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DTMD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9116051 | PA      | $8282496.25   | 0.14%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3232, Class ST                                                              | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76771 | PA      | $6040.30      | 0.00%             | 2036-10-15      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0AT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1767123 | PA      | $1617652.73   | 0.03%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-2A, Class C                                            | CUSIP: 43283GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1892273 | PA      | $1907705.46   | 0.03%             | 2037-01-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132G7CD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220743 | PA      | $216892.12    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36208F4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2147 | PA      | $2160.59      | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133BDS55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4466009 | PA      | $4556945.98   | 0.08%             | 2052-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-22T1, Class A2                                               | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245606 | PA      | $89277.68     | 0.00%             | 2035-06-25      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6042648 | PA      | $5115818.53   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1306919 | PA      | $1189904.96   | 0.02%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A1                                                  | CUSIP: 81744FDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185951 | PA      | $162412.07    | 0.00%             | 2034-09-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| HIN Timeshare Trust                                                  | HIN Timeshare Trust, Series 2020-A, Class B                                                      | CUSIP: 40439HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    742857 | PA      | $718688.08    | 0.01%             | 2039-10-09      | Fixed         | 2.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K36V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308741 | PA      | $289649.33    | 0.00%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-94, Class GI                                                            | CUSIP: 31396K4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23123 | PA      | $177.60       | 0.00%             | 2026-10-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36179UZJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357479 | PA      | $320601.22    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LET53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    320417 | PA      | $317974.93    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 15 Year                                                                               | CUSIP: 3138Y9NQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489994 | PA      | $481012.77    | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3604                                                                        | CUSIP: 31398KQQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60660 | PA      | $51356.98     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LESN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3695370 | PA      | $3260453.03   | 0.06%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418ATV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679670 | PA      | $637016.97    | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-22, Class AO                                                                   | CUSIP: 38374M2N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28424 | PA      | $23751.36     | 0.00%             | 2036-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2022-2A, Class C                                                                 | CUSIP: 55400VAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1796796 | PA      | $1846827.75   | 0.03%             | 2041-10-21      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-117, Class GS                                                           | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80932 | PA      | $8011.99      | 0.00%             | 2036-12-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-16, Class OP                                                                   | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40508 | PA      | $33849.46     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5068750 | PA      | $4706211.71   | 0.08%             | 2030-07-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JUYU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104989 | PA      | $107123.56    | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9PG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2098681 | PA      | $1858921.37   | 0.03%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                               | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    261071 | PA      | $268133.32    | 0.00%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                             | Ajax Mortgage Loan Trust, Series 2021-G, Class A                                                 | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1994574 | PA      | $1992748.97   | 0.03%             | 2061-06-25      | Variable      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2722, Class PF                                                              | CUSIP: 31394NG93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306692 | PA      | $307292.79    | 0.01%             | 2033-12-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3757459 | PA      | $3579339.15   | 0.06%             | 2048-06-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-12, Class CO                                                            | CUSIP: 31396YND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205928 | PA      | $181402.09    | 0.00%             | 2038-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LUSA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1005258 | PA      | $926068.41    | 0.02%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140K8HE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646311 | PA      | $615325.92    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1186287 | PA      | $1172218.74   | 0.02%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3698000 | PA      | $3649211.66   | 0.06%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WD3F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1245301 | PA      | $1153916.49   | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2110, Class PG                                                              | CUSIP: 3133THLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11119 | PA      | $11196.39     | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XQYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15007585 | PA      | $13176595.93  | 0.22%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust MLMI, Series 2003-A4, Class 2A                            | CUSIP: 589929W61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21896 | PA      | $21092.07     | 0.00%             | 2033-07-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-52, Class SX                                                            | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3308 | PA      | $3913.73      | 0.00%             | 2031-10-25      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-36, Class SH                                                                   | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120420 | PA      | $537.40       | 0.00%             | 2038-04-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 2X                          | CUSIP: 225458QZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296177 | PA      | $43843.31     | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 197                                                                        | CUSIP: 31351BWQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26844 | PA      | $25644.53     | 0.00%             | 2028-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                     | MortgageIT Trust, Series 2005-5, Class A1                                                        | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16075 | PA      | $15885.19     | 0.00%             | 2035-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                            | CFIN 2022-RTL1 Issuer LLC, Class A                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   8088722 | PA      | $8088721.87   | 0.14%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1326331 | PA      | $1214131.23   | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                                | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1394954 | PA      | $1406168.27   | 0.02%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                   | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3467 | PA      | $3473.67      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQCZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4795847 | PA      | $4628300.40   | 0.08%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UAU59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1086761 | PA      | $1032698.83   | 0.02%             | 2051-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40222 | PA      | $42054.12     | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59971 | PA      | $60600.15     | 0.00%             | 2033-11-01      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                               | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                 | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36695 | PA      | $34126.56     | 0.00%             | 2034-05-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659248 | PA      | $586416.04    | 0.01%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QL2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6432524 | PA      | $5627442.71   | 0.10%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class ZD                                                              | CUSIP: 3133TSTA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92911 | PA      | $97265.17     | 0.00%             | 2031-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS6H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1445809 | PA      | $1298390.64   | 0.02%             | 2050-10-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-36, Class SA                                                            | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44110 | PA      | $48990.55     | 0.00%             | 2034-05-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X0WY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2196924 | PA      | $2010916.96   | 0.03%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1584104 | PA      | $1422607.04   | 0.02%             | 2050-05-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31413HZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27105 | PA      | $28850.14     | 0.00%             | 2037-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFT58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    939175 | PA      | $914072.86    | 0.02%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2345, Class NE                                                              | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4022 | PA      | $4203.63      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1729947 | PA      | $1583601.22   | 0.03%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-31, Class TS                                                                   | CUSIP: 38381RYS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13804111 | PA      | $1367045.92   | 0.02%             | 2049-03-20      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9442 | PA      | $9581.06      | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617H0PS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1772590 | PA      | $1763556.23   | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                              | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15482484 | PA      | $13836078.09  | 0.23%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 7A1                                          | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3111 | PA      | $3127.36      | 0.00%             | 2037-02-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31371HHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19826 | PA      | $20210.91     | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LLF71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6760000 | PA      | $6691210.78   | 0.11%             | 2033-08-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                            | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                            | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418128 | PA      | $7751.97      | 0.00%             | 2035-09-25      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-29, Class LA                                                            | CUSIP: 3136BV2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12119348 | PA      | $10676709.14  | 0.18%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-69                                                                      | CUSIP: 31396Q5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49456 | PA      | $40415.48     | 0.00%             | 2039-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LGBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9070000 | PA      | $8425280.46   | 0.14%             | 2032-05-01      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31384VZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         9 | PA      | $9.34         | 0.00%             | 2030-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Grene Energy Senio                                                   | Grene Energy Senio                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    215033 | PA      | $176047.67    | 0.00%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                                 | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6200000 | PA      | $6244584.82   | 0.11%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XXY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1882582 | PA      | $1606881.57   | 0.03%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1511069 | PA      | $1383827.30   | 0.02%             | 2051-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2005-A1, Class 3A4                                               | CUSIP: 466247LS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36175 | PA      | $34733.00     | 0.00%             | 2035-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12176218 | PA      | $9677422.46   | 0.16%             | 2062-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3575000 | PA      | $3628308.76   | 0.06%             | 2031-01-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19508 | PA      | $20112.63     | 0.00%             | 2033-09-01      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                      | Diversified ABS Holdings LLC, Series 2024-2A, Class A                                            | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4624004 | PA      | $4660071.32   | 0.08%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1430576 | PA      | $1455802.67   | 0.02%             | 2053-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617VUE60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10658256 | PA      | $11138429.74  | 0.19%             | 2071-11-20      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2024-RPL1, Class A1                                                             | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8445728 | PA      | $8331096.23   | 0.14%             | 2064-12-25      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1483550 | PA      | $1390957.74   | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHTF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3841248 | PA      | $3818528.59   | 0.06%             | 2032-11-01      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H12, Class JI                                                                  | CUSIP: 38380LXF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2380966 | PA      | $10294.58     | 0.00%             | 2069-07-20      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust       | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2004-RA2, Class 2A        | CUSIP: 939336R54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86838 | PA      | $90292.17     | 0.00%             | 2033-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR3E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2814262 | PA      | $2631563.53   | 0.04%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21407000 | PA      | $20483368.44  | 0.35%             | 2032-08-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3481, Class SJ                                                              | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137043 | PA      | $12237.73     | 0.00%             | 2038-08-15      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-17, Class H                                                             | CUSIP: 31393XZV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138168 | PA      | $143748.23    | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138ETE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1857399 | PA      | $1698375.54   | 0.03%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                               | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192299 | PA      | $192701.96    | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                   | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36015 | PA      | $37268.03     | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class E                                              | CUSIP: 55348UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $4836300.00   | 0.08%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class A                                           | CUSIP: 43731QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3302881 | PA      | $3206811.01   | 0.05%             | 2039-09-17      | Fixed         | 2.91%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3290, Class SB                                                              | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129085 | PA      | $11054.17     | 0.00%             | 2037-03-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                 | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6594229 | PA      | $6417655.03   | 0.11%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  3 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                     | JPMorgan Prime Money Market Fund, Class IM                                                       | CUSIP: 46637K844<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        | 191989335 | NS      | $192046931.64 | 3.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4004515 | PA      | $3989626.46   | 0.07%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LG6F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1756701 | PA      | $1723930.99   | 0.03%             | 2032-08-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2523812 | PA      | $2681152.68   | 0.05%             | 2032-11-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FX3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15129509 | PA      | $12338923.77  | 0.21%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-20, Class SA                                                            | CUSIP: 31396YTV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76062 | PA      | $8155.63      | 0.00%             | 2038-03-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617K7QD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2375788 | PA      | $2371237.22   | 0.04%             | 2049-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0PB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1268731 | PA      | $1161419.68   | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140GWQR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1794884 | PA      | $1707994.49   | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-60, Class AX                                                            | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127567 | PA      | $17750.75     | 0.00%             | 2037-07-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36201SAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13132 | PA      | $13252.96     | 0.00%             | 2033-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132QUUJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1013428 | PA      | $941769.24    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13219 | PA      | $13695.52     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NXUT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723485 | PA      | $697270.99    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2692, Class SC                                                              | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33828 | PA      | $35773.79     | 0.00%             | 2033-07-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                        | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                         | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1019390 | PA      | $489436.87    | 0.01%             | 2035-05-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JJA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309125 | PA      | $301783.54    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MURZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1149790 | PA      | $1153478.51   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24980152 | PA      | $19853861.25  | 0.34%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31402RHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11777 | PA      | $12020.84     | 0.00%             | 2034-02-01      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31335PMN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84979 | PA      | $88124.11     | 0.00%             | 2038-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12298 | PA      | $12298.20     | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2132, Class SB                                                              | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1876 | PA      | $2096.69      | 0.00%             | 2029-03-15      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4       | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1381988 | PA      | $72168.82     | 0.00%             | 2035-04-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Repo Buyer RRI Trust                                                 | Repo Buyer RRI Trust                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2002140 | PA      | $1746867.43   | 0.03%             | 2055-04-14      | Fixed         | 3.06%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-68, Class DP                                                                   | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19777 | PA      | $21615.22     | 0.00%             | 2035-06-17      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-75, Class FA                                                            | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18359 | PA      | $18325.84     | 0.00%             | 2041-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                         | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-U, Class A1                            | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115773 | PA      | $114464.03    | 0.00%             | 2034-10-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                           | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3178 | PA      | $2501.80      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31417WCT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80968 | PA      | $86736.32     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-91, Class AC                                                            | CUSIP: 3136AQUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1015708 | PA      | $1072361.16   | 0.02%             | 2036-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31413HJP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35853 | PA      | $37767.76     | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2111, Class SB                                                              | CUSIP: 3133TJ3M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7487 | PA      | $178.21       | 0.00%             | 2029-01-15      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K128, Class XAM                 | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26300000 | PA      | $952246.73    | 0.02%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2344, Class ZJ                                                              | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6488 | PA      | $6779.76      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-87, Class F                                                             | CUSIP: 31394BNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62269 | PA      | $62658.35     | 0.00%             | 2034-01-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-14, Class TI                                                            | CUSIP: 31392JFP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29115 | PA      | $454.76       | 0.00%             | 2033-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKBW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1987000 | PA      | $1997831.75   | 0.03%             | 2033-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJ4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5595566 | PA      | $5650696.37   | 0.10%             | 2030-11-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19031055 | PA      | $15885873.38  | 0.27%             | 2033-01-01      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-27, Class TI                                                                   | CUSIP: 38382NKM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12707677 | PA      | $1933942.01   | 0.03%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LR2T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2202274 | PA      | $2063379.94   | 0.03%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-115, Class OK                                                           | CUSIP: 31396LU57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68378 | PA      | $55744.23     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3743936 | PA      | $3468842.06   | 0.06%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0BG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    541901 | PA      | $507832.00    | 0.01%             | 2051-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416B3M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14282 | PA      | $15043.42     | 0.00%             | 2038-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HF7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714858 | PA      | $652361.75    | 0.01%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2005-58, Class NI                                                                   | CUSIP: 38374LM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342570 | PA      | $33117.48     | 0.00%             | 2035-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 31413STL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237398 | PA      | $244386.24    | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                              | Jonah Energy ABS LLC, Series 2024-1A, Class A1                                                   | CUSIP: 479913AA3<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   7714238 | PA      | $7749723.18   | 0.13%             | 2039-08-10      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371MPM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5776 | PA      | $5977.41      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653654 | PA      | $637010.90    | 0.01%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                  | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |  11910000 | PA      | $11993243.75  | 0.20%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-A, Class 2A2                                 | CUSIP: 589929G36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10919 | PA      | $9677.47      | 0.00%             | 2028-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-33, Class ID                                                            | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9648 | PA      | $1015.89      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LRZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    581792 | PA      | $533643.48    | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4P34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437903 | PA      | $397683.93    | 0.01%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RVB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785350 | PA      | $760956.38    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                             | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                              | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2686000 | PA      | $2553825.16   | 0.04%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2763, Class ZA                                                              | CUSIP: 31394TMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1160676 | PA      | $1217282.87   | 0.02%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96473 | PA      | $92629.54     | 0.00%             | 2041-03-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140H26Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449044 | PA      | $439766.72    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX6B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2306672 | PA      | $2235041.68   | 0.04%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-81, Class PI                                                            | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       457 | PA      | $18.21        | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749217 | PA      | $739295.27    | 0.01%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-13, Class FL                                                            | CUSIP: 31394B7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32454 | PA      | $32249.10     | 0.00%             | 2035-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403VVR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33210 | PA      | $33731.35     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KMLZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8771086 | PA      | $7298773.37   | 0.12%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G9JQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    833522 | PA      | $832046.38    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604863 | PA      | $1469809.94   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K88, Class B                                                   | CUSIP: 302971AR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3974516.00   | 0.07%             | 2052-02-25      | Variable      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M3, Class A2                                                              | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18900000 | PA      | $16248392.37  | 0.28%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-H18, Class AI                                                                  | CUSIP: 38380LMQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44271262 | PA      | $2774607.76   | 0.05%             | 2068-09-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-147, Class SA                                                           | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925551 | PA      | $116505.71    | 0.00%             | 2041-01-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $7580789.33   | 0.13%             | 2032-05-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KRW67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5601985 | PA      | $5539857.48   | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-30, Class Z                                                             | CUSIP: 31392CH31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61679 | PA      | $63958.08     | 0.00%             | 2032-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3404, Class SC                                                              | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114951 | PA      | $10772.08     | 0.00%             | 2038-01-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617XSV98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10077806 | PA      | $10487771.28  | 0.18%             | 2071-11-20      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2368, Class AS                                                              | CUSIP: 31339GNQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2147 | PA      | $2212.61      | 0.00%             | 2031-10-15      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141887 | PA      | $145323.56    | 0.00%             | 2035-01-01      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2023-RCF2, Class A1                                                             | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2359873 | PA      | $2329769.16   | 0.04%             | 2053-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2006-34                                                                             | CUSIP: 38374DBJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22953 | PA      | $19122.49     | 0.00%             | 2036-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-27, Class OH                                                            | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28146 | PA      | $24734.24     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752427 | PA      | $666438.33    | 0.01%             | 2050-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UNTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    939004 | PA      | $843300.45    | 0.01%             | 2051-04-20      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36194GQD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    862916 | PA      | $816348.90    | 0.01%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2004-A3, Class 4A1                                               | CUSIP: 466247DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1338 | PA      | $1332.04      | 0.00%             | 2034-07-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133A6DB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4798227 | PA      | $4030404.02   | 0.07%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                  | Brean Asset-Backed Securities Trust, Series 2025-RM12, Class A1                                  | CUSIP: 10638KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9235000 | PA      | $8970820.82   | 0.15%             | 2065-07-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140EVL70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155191 | PA      | $143460.39    | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KGHP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3573062 | PA      | $3221043.62   | 0.05%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12985350 | PA      | $10398501.92  | 0.18%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MGSE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9616721 | PA      | $8014842.93   | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2021-R1, Class A2C                                             | CUSIP: 89179TAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10250000 | PA      | $8650395.25   | 0.15%             | 2060-11-30      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31412X5F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5873 | PA      | $6019.76      | 0.00%             | 2037-07-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                                           | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5501825 | PA      | $5499278.67   | 0.09%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XFGX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22322174 | PA      | $19528363.42  | 0.33%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9235045 | PA      | $8693491.89   | 0.15%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418AK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1263888 | PA      | $1185374.55   | 0.02%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T10                                                 | CUSIP: 3139216E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5523 | PA      | $4914.55      | 0.00%             | 2041-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-S2, Class 2A4                         | CUSIP: 92922FQK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200128 | PA      | $202255.86    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-1, Class BI                                                             | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107200 | PA      | $8914.06      | 0.00%             | 2038-02-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140NUPB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5240312 | PA      | $5369188.93   | 0.09%             | 2036-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-7, Class AX1                                           | CUSIP: 576434TR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52843 | PA      | $6207.41      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-189, Class JI                                                                  | CUSIP: 38382MBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11218802 | PA      | $2138290.20   | 0.04%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-22, Class WA                                                                   | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    446740 | PA      | $458080.89    | 0.01%             | 2037-02-20      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 2A                                          | CUSIP: 31396L7E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52834 | PA      | $54980.17     | 0.00%             | 2046-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                   | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362848 | PA      | $375847.98    | 0.01%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y86N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2573414 | PA      | $2365687.94   | 0.04%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                  | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                   | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     77284 | PA      | $68655.57     | 0.00%             | 2035-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class NI                                                                  | CUSIP: 38380QA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27781093 | PA      | $1419498.42   | 0.02%             | 2071-02-20      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2019-2A, Class A                                                               | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1279023 | PA      | $1101648.02   | 0.02%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31165 | PA      | $32229.87     | 0.00%             | 2036-11-01      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-3, Class A26                                        | CUSIP: 12669FQA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55061 | PA      | $55198.71     | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3649608 | PA      | $3687312.20   | 0.06%             | 2033-04-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                             | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                             | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4631000 | PA      | $4678239.90   | 0.08%             | 2029-11-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622ACVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18524370 | PA      | $17001655.14  | 0.29%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YDF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8567223 | PA      | $7822636.86   | 0.13%             | 2053-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3617MAS28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714585 | PA      | $648937.99    | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H05, Class IQ                                                                  | CUSIP: 38380QJ29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  75358927 | PA      | $3424611.10   | 0.06%             | 2071-02-20      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KAZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3080182 | PA      | $3006379.92   | 0.05%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31411JEH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219801 | PA      | $232166.75    | 0.00%             | 2038-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JKQS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1265621 | PA      | $1294152.47   | 0.02%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                               | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089794 | PA      | $444852.39    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-22, Class UD                                                            | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139105 | PA      | $137593.62    | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, 30 Year                                                                                    | CUSIP: 3140QCAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3661418 | PA      | $3371149.61   | 0.06%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9196441 | PA      | $7844452.69   | 0.13%             | 2053-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class C                                | CUSIP: 82650BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2708202 | PA      | $2804744.32   | 0.05%             | 2040-04-20      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XFRJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4458802 | PA      | $3912175.59   | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-44, Class GO                                                            | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67510 | PA      | $59736.65     | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-11, Class JW                                                            | CUSIP: 3136B8XD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3056000 | PA      | $2294571.62   | 0.04%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNUG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    840240 | PA      | $771224.48    | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31417FPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273333 | PA      | $247776.94    | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MJ5W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7960933 | PA      | $6636750.11   | 0.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DSQC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20424417 | PA      | $17187828.49  | 0.29%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Baring Frn                                                           | Baring Frn, Series 2021-EBO1, Class PA                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    890836 | PA      | $890836.06    | 0.02%             | 2027-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QQVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9932427 | PA      | $8639016.72   | 0.15%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2002-60, Class FA                                                            | CUSIP: 31392EUN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45438 | PA      | $45512.55     | 0.00%             | 2031-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140HNW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1174648 | PA      | $1073647.31   | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266300 | PA      | $250069.08    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-53, Class CI                                                            | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37819 | PA      | $3786.05      | 0.00%             | 2038-07-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-21, Class WA                                                            | CUSIP: 3136A35N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422335 | PA      | $444075.92    | 0.01%             | 2052-03-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2007-4, Class 1A52                                       | CUSIP: 12544RCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1328190 | PA      | $113855.60    | 0.00%             | 2037-05-25      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2178251 | PA      | $2032829.08   | 0.03%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-125, Class SA                                                           | CUSIP: 31398SES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243527 | PA      | $10674.27     | 0.00%             | 2040-11-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2631, Class SA                                                              | CUSIP: 31393RY20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7229 | PA      | $7600.49      | 0.00%             | 2033-06-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Y0N22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1913890 | PA      | $1695167.32   | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RU55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3015365 | PA      | $2870564.17   | 0.05%             | 2048-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR4, Class E2                                                           | CUSIP: 66982FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12965000 | PA      | $12484230.57  | 0.21%             | 2038-12-17      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410GKU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43903 | PA      | $46467.73     | 0.00%             | 2037-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-25, Class FN                                                                   | CUSIP: 38375J2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31088 | PA      | $30886.52     | 0.00%             | 2037-05-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-8, Class A2                                                  | CUSIP: 81744FDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129933 | PA      | $120772.04    | 0.00%             | 2034-09-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N8HA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6233510 | PA      | $6318660.84   | 0.11%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1513316 | PA      | $1340507.68   | 0.02%             | 2047-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418B5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2857164 | PA      | $2638909.42   | 0.04%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-113, Class FB                                                           | CUSIP: 31398GWG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98258 | PA      | $98025.56     | 0.00%             | 2040-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-79, Class OK                                                                   | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72480 | PA      | $60750.01     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, Other                                                                                    | CUSIP: 3617QCSG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2655110 | PA      | $2149380.98   | 0.04%             | 2041-09-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179X2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19517727 | PA      | $16644610.03  | 0.28%             | 2053-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12431029 | PA      | $11036241.82  | 0.19%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3194, Class SA                                                              | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22845 | PA      | $2437.27      | 0.00%             | 2036-07-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 351, Class 7                                                                | CUSIP: 3136FCHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49119 | PA      | $5311.14      | 0.00%             | 2034-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NFU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4573229 | PA      | $4163693.51   | 0.07%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2969571 | PA      | $2860886.34   | 0.05%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2431, Class F                                                               | CUSIP: 31339NQ74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50940 | PA      | $50925.64     | 0.00%             | 2032-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618NJDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3224578 | PA      | $3313866.27   | 0.06%             | 2055-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617M2KL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752742 | PA      | $666729.58    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617KJQM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671068 | PA      | $680782.67    | 0.01%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-64, Class SN                                                                   | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90935 | PA      | $5161.90      | 0.00%             | 2039-07-16      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4214591 | PA      | $4172849.69   | 0.07%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JNMB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1180554 | PA      | $1106140.72   | 0.02%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR2, Class D                                                            | CUSIP: 00179UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6550000 | PA      | $6256628.78   | 0.11%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2224, Class CB                                                              | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4068 | PA      | $4232.43      | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3704, Class ET                                                              | CUSIP: 3137A0YK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246599 | PA      | $271946.67    | 0.00%             | 2036-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-6, Class SA                                                                    | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71752 | PA      | $268.96       | 0.00%             | 2039-02-16      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFUF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029599 | PA      | $966585.15    | 0.02%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3128C6QN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41904 | PA      | $43264.47     | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31388PKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23687 | PA      | $24898.14     | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T12, Class A2                                       | CUSIP: 31392A5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85068 | PA      | $86077.68     | 0.00%             | 2041-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHXY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2058229.30   | 0.03%             | 2032-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C                                | CUSIP: 82652QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    721020 | PA      | $712868.32    | 0.01%             | 2037-11-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| E3                                                                   | E3, Series 2019-1, Class B                                                                       | CUSIP: 269330AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    985519 | PA      | $829604.36    | 0.01%             | 2055-09-20      | Fixed         | 4.15%                 | Yes           |                  3 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DN3W1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8560023 | PA      | $8528197.12   | 0.14%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-44, Class P                                                             | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177607 | PA      | $155451.90    | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MGQ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    942232 | PA      | $864832.10    | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       967 | PA      | $988.13       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-33, Class TI                                                                   | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65549 | PA      | $4857.85      | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-40, Class SD                                                                   | CUSIP: 38375KA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122000 | PA      | $5225.98      | 0.00%             | 2037-07-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-63, Class DA                                                            | CUSIP: 3136B23T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440517 | PA      | $408865.06    | 0.01%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class XA                                         | CUSIP: 21872NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1804358 | PA      | $4667.69      | 0.00%             | 2052-10-15      | Variable      | 2.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604356 | PA      | $1367044.84   | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4449638.39   | 0.08%             | 2033-06-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-P7, Class A6                                       | CUSIP: 57643MCH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31204 | PA      | $26782.89     | 0.00%             | 2033-12-27      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T16, Class A2                                       | CUSIP: 31392FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68336 | PA      | $71855.19     | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5V1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674080 | PA      | $598126.38    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACRE Commercial Mortgage Ltd.                                        | ACRE Commercial Mortgage Ltd., Series 2021-FL4, Class B                                          | CUSIP: 00489TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1434840 | PA      | $1421369.77   | 0.02%             | 2037-12-18      | Floating      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                               | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2155500 | PA      | $1918722.43   | 0.03%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FYEF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1281525 | PA      | $1262665.36   | 0.02%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                               | Cascade MH Asset Trust, Series 2019-MH1, Class A                                                 | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830055 | PA      | $796825.58    | 0.01%             | 2044-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-13, Class 1A4                                       | CUSIP: 12669FJ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113421 | PA      | $114084.00    | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        89 | PA      | $89.69        | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508535 | PA      | $492744.57    | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617F2Y92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5072055 | PA      | $4886210.62   | 0.08%             | 2052-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1316377 | PA      | $1166019.56   | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DDG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267969 | PA      | $256171.84    | 0.00%             | 2041-02-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176NBX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303926 | PA      | $293854.79    | 0.00%             | 2041-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133AWMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4017328 | PA      | $3511556.44   | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617B0XY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2126364 | PA      | $1984330.69   | 0.03%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                              | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7745333 | PA      | $6684654.28   | 0.11%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3025881 | PA      | $2567038.66   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                          | Ocwen Loan Investment Trust, Series 2024-HB1, Class M2                                           | CUSIP: 675952AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1390000 | PA      | $1337348.75   | 0.02%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-25, Class SE                                                                   | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57723 | PA      | $2042.17      | 0.00%             | 2038-09-20      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4280, Class EO                                                              | CUSIP: 3137B6HW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390075 | PA      | $298074.80    | 0.01%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22120932 | PA      | $20993916.08  | 0.36%             | 2029-05-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1353942 | PA      | $1239420.65   | 0.02%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NRZ FHT Excess LLC                                                   | NRZ FHT Excess LLC, Series 2020-FHT1, Class A                                                    | CUSIP: 62955MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800027 | PA      | $4780095.79   | 0.08%             | 2025-11-25      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2006-26CB, Class A9                                               | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291757 | PA      | $140695.20    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class B                                             | CUSIP: 25273CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    838451 | PA      | $836981.61    | 0.01%             | 2033-11-21      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617W0A93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1824366 | PA      | $1625182.49   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K94, Class C                                                   | CUSIP: 30310XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6750000 | PA      | $6383425.05   | 0.11%             | 2052-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4, Class 2A4                         | CUSIP: 22541SUD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56247 | PA      | $57292.27     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3549, Class FA                                                              | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8510 | PA      | $8614.79      | 0.00%             | 2039-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2019-3, Class XB                                         | CUSIP: 21872NAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  27000000 | PA      | $1251404.10   | 0.02%             | 2052-10-15      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2163548 | PA      | $1969658.53   | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-67, Class SA                                                                   | CUSIP: 38373AQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109537 | PA      | $9188.29      | 0.00%             | 2039-08-16      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G9K67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    804668 | PA      | $807434.31    | 0.01%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                   | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27190 | PA      | $27458.19     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2011-20, Class MW                                                            | CUSIP: 31397QS90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1674114 | PA      | $1666525.58   | 0.03%             | 2041-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR5K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1568333 | PA      | $1389179.98   | 0.02%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18995 | PA      | $19478.68     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                                | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3390000 | PA      | $3408147.01   | 0.06%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2040, Class PE                                                              | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5159 | PA      | $5246.36      | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class E1                                  | CUSIP: 64831KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6152000 | PA      | $5951045.54   | 0.10%             | 2039-02-17      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67590 | PA      | $69481.43     | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NXT83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    541713 | PA      | $505543.92    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3142GTTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18993400 | PA      | $18913379.16  | 0.32%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2004-1, Class 30                                        | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4019 | PA      | $3013.08      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                   | HERO Funding Trust, Series 2016-4A, Class A1                                                     | CUSIP: 40417QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933277 | PA      | $895296.60    | 0.02%             | 2047-09-20      | Fixed         | 3.57%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXRM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12529534 | PA      | $11601835.94  | 0.20%             | 2054-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14184885 | PA      | $11993160.29  | 0.20%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JSVK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018356 | PA      | $968559.09    | 0.02%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3622AAGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3016637 | PA      | $2990853.17   | 0.05%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-31, Class AO                                                                   | CUSIP: 38375JQ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222740 | PA      | $181344.05    | 0.00%             | 2037-05-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N8YM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2547582 | PA      | $2525599.69   | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-122, Class ZJ                                                           | CUSIP: 31393UKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448193 | PA      | $468742.76    | 0.01%             | 2033-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XPGT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12427665 | PA      | $10061441.13  | 0.17%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3171, Class MO                                                              | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22566 | PA      | $20510.00     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2010-41, Class WA                                                                   | CUSIP: 38377EAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    268835 | PA      | $275420.04    | 0.00%             | 2033-10-20      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-28, Class BO                                                                   | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5392 | PA      | $4415.40      | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LDHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9632000 | PA      | $7924718.08   | 0.13%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                               | Residential Asset Securitization Trust, Series 2005-A16, Class AX                                | CUSIP: 45660L2X6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461771 | PA      | $80291.15     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QBZ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974820 | PA      | $925171.79    | 0.02%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FYDB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1328778 | PA      | $1309223.21   | 0.02%             | 2063-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                                   | GAM Re-REMIC Trust, Series 2021-FRR1, Class 2A                                                   | CUSIP: 364614AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $2915830.50   | 0.05%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2802, Class ZY                                                              | CUSIP: 31394YRX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196248 | PA      | $205393.90    | 0.00%             | 2034-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31405YX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21936 | PA      | $22171.73     | 0.00%             | 2034-10-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617N9RB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3273261 | PA      | $2931597.06   | 0.05%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4659277 | PA      | $3934028.33   | 0.07%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55132 | PA      | $57177.80     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    926481 | PA      | $868032.58    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128QSPN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8896 | PA      | $9031.19      | 0.00%             | 2037-09-01      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-14, Class OP                                                            | CUSIP: 31396PE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41228 | PA      | $36087.20     | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fn                                                                   | Fn                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1397000 | PA      | $1373725.28   | 0.02%             | 2035-12-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-103, Class ME                                                           | CUSIP: 31398TX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283947 | PA      | $277918.11    | 0.00%             | 2040-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-101, Class S                                                                   | CUSIP: 38384CAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1734364 | PA      | $1580514.91   | 0.03%             | 2053-07-20      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-105, Class AZ                                                           | CUSIP: 31393E7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423010 | PA      | $439359.64    | 0.01%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class E1                                                 | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11712000 | PA      | $11584367.31  | 0.20%             | 2039-05-19      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class C                                | CUSIP: 826934AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1706701 | PA      | $1765084.12   | 0.03%             | 2039-07-20      | Fixed         | 7.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-126, Class AO                                                           | CUSIP: 31396L4Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122612 | PA      | $105860.64    | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XGAT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6912341 | PA      | $6291026.17   | 0.11%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2023-1A, Class B                                                               | CUSIP: 38217DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   5063864 | PA      | $4316141.12   | 0.07%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3134                                                                        | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6379 | PA      | $5277.52      | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-10, Class XI                                                            | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63022 | PA      | $5732.57      | 0.00%             | 2038-03-25      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M55D                             | CUSIP: 35563PJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2451489 | PA      | $2303524.56   | 0.04%             | 2058-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KC3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2865640 | PA      | $2622027.16   | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-44, Class IU                                                            | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196091 | PA      | $23382.44     | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 374, Class 5                                                                | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30255 | PA      | $4757.07      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31288ENG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29379 | PA      | $29672.07     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2004-90, Class SI                                                                   | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115708 | PA      | $6246.58      | 0.00%             | 2034-10-20      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-65, Class KI                                                            | CUSIP: 31396WLY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90318 | PA      | $9298.54      | 0.00%             | 2037-07-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-24, Class WA                                                                   | CUSIP: 38378C2Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1049322 | PA      | $1079709.32   | 0.02%             | 2041-07-20      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                                          | CSMC OA LLC, Series 2014-USA, Class A2                                                           | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  13600000 | PA      | $12478136.00  | 0.21%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138L8D35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855116 | PA      | $843928.30    | 0.01%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QW2Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    913393 | PA      | $836518.47    | 0.01%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 20 Year                                                                        | CUSIP: 3128P7JZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23052 | PA      | $23227.89     | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKHL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4907518 | PA      | $4973834.86   | 0.08%             | 2033-03-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3753                                                                        | CUSIP: 3137A3ML0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    543218 | PA      | $432288.73    | 0.01%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297580 | PA      | $263976.96    | 0.00%             | 2050-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Accelerated LLC                                                      | Accelerated LLC, Series 2021-1H, Class C                                                         | CUSIP: 00439KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2874850 | PA      | $2691910.80   | 0.05%             | 2040-10-20      | Fixed         | 2.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-111                                                                            | CUSIP: 38381YLH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4747532 | PA      | $725518.31    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR8, Class E2                                           | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5835801.00   | 0.10%             | 2038-10-17      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2006-W3, Class 1AF1                                        | CUSIP: 31396L5A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36164 | PA      | $35738.03     | 0.00%             | 2046-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13442 | PA      | $13607.30     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618AXCX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2221148 | PA      | $2260310.81   | 0.04%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EPS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    599091 | PA      | $610598.81    | 0.01%             | 2042-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LECK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5532968.10   | 0.09%             | 2029-06-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J77K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713884 | PA      | $688636.82    | 0.01%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                                | Vendee Mortgage Trust, Series 1996-1, Class 1Z                                                   | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23660 | PA      | $23684.32     | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5358, Class SB                                                              | CUSIP: 3137HAWG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4012842 | PA      | $4210373.01   | 0.07%             | 2053-11-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2383, Class FD                                                              | CUSIP: 31339GX63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1711 | PA      | $1710.89      | 0.00%             | 2031-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QDLM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12468854 | PA      | $10934071.58  | 0.19%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                             | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5134424 | PA      | $4831917.25   | 0.08%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        80 | PA      | $79.71        | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H03, Class IE                                                                  | CUSIP: 38380QYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7580096 | PA      | $308113.71    | 0.01%             | 2071-02-20      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-72, Class SX                                                            | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2132 | PA      | $2398.81      | 0.00%             | 2031-12-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2021-91, Class GB                                                            | CUSIP: 3136BK3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17803450 | PA      | $15038145.15  | 0.25%             | 2049-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                               | CUSIP: 31417G4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1801097 | PA      | $1764771.20   | 0.03%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-1                                                                              | CUSIP: 38375PCK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16670 | PA      | $13513.01     | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                   | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202663 | PA      | $209044.83    | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 19K-1511, Class B                                                   | CUSIP: 30309KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3123865.15   | 0.05%             | 2034-03-25      | Variable      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4075000 | PA      | $3803204.43   | 0.06%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFN59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3741418 | PA      | $3245379.81   | 0.05%             | 2034-04-01      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1394454 | PA      | $1185350.71   | 0.02%             | 2045-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                          | Legacy Mortgage Asset Trust, Series 2021-GS1, Class A1                                           | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3105406 | PA      | $3105176.05   | 0.05%             | 2066-10-25      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LHDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1232556 | PA      | $1193850.85   | 0.02%             | 2032-10-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617Q9QY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1212772 | PA      | $1030737.20   | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XKXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6690650 | PA      | $5599367.78   | 0.09%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36196RUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3214982 | PA      | $3056677.15   | 0.05%             | 2047-11-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UP4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3062141 | PA      | $2667013.12   | 0.05%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36176DMA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610980 | PA      | $583957.98    | 0.01%             | 2041-03-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 3618FUSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233154 | PA      | $229722.90    | 0.00%             | 2063-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617G85E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    317514 | PA      | $323143.40    | 0.01%             | 2048-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618HSC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4458191 | PA      | $4729736.80   | 0.08%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1517040 | PA      | $1413766.31   | 0.02%             | 2041-02-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                                  | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7300000 | PA      | $6935736.57   | 0.12%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-17, Class JO                                                                   | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32422 | PA      | $26690.90     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-15, Class EI                                                                   | CUSIP: 38382MY94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17300234 | PA      | $2448979.62   | 0.04%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 313637ZB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4825000 | PA      | $4624270.16   | 0.08%             | 2033-10-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617UATG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1101129 | PA      | $1046353.83   | 0.02%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFT68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    733108 | PA      | $687767.85    | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140E07B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316677 | PA      | $303550.54    | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410N6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16527 | PA      | $16851.63     | 0.00%             | 2036-07-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QNE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3326932 | PA      | $3104779.47   | 0.05%             | 2050-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LE4E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1565086 | PA      | $1470623.95   | 0.02%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-8, Class 30                                           | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26224 | PA      | $17197.04     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617VQYJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1100084 | PA      | $1005618.26   | 0.02%             | 2051-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140N15L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3648546 | PA      | $3613990.87   | 0.06%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2000-52                                                                      | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1485 | PA      | $180.72       | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                     | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12025 | PA      | $11914.54     | 0.00%             | 2043-09-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-84, Class XM                                                            | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31982 | PA      | $33040.82     | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140JAA81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1809316 | PA      | $1820436.59   | 0.03%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    655893 | PA      | $625903.54    | 0.01%             | 2042-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H14, Class KI                                                                  | CUSIP: 38380LYP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1509573 | PA      | $6811.65      | 0.00%             | 2069-07-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3138                                                                        | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28669 | PA      | $25020.22     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-97, Class WA                                                                   | CUSIP: 38376LK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378781 | PA      | $385091.18    | 0.01%             | 2038-11-20      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31416CBZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52761 | PA      | $55459.85     | 0.00%             | 2033-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 373, Class 1                                                                | CUSIP: 3136FCW44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531633 | PA      | $463949.49    | 0.01%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-7, Class 30                                           | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6063 | PA      | $6281.27      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H15, Class IJ                                                                  | CUSIP: 38380LD42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4179924 | PA      | $93072.29     | 0.00%             | 2069-08-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-90, Class LI                                                                   | CUSIP: 38379XR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1284515 | PA      | $230465.31    | 0.00%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                       | Banc of America Mortgage Trust, Series 2003-C, Class 3A1                                         | CUSIP: 0605067V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9368 | PA      | $8867.56      | 0.00%             | 2033-04-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8905471 | PA      | $8285260.74   | 0.14%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41385961 | PA      | $35293719.73  | 0.60%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-H25, Class HI                                                                  | CUSIP: 38375UZ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1907958 | PA      | $67785.33     | 0.00%             | 2067-10-20      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-99, Class WA                                                            | CUSIP: 31398F4W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115957 | PA      | $118428.09    | 0.00%             | 2039-12-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LNRT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5732019 | PA      | $5084136.65   | 0.09%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3036519 | PA      | $3170573.52   | 0.05%             | 2053-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23616 | PA      | $24079.77     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-164, Class LO                                                                  | CUSIP: 38384XSP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7239783 | PA      | $5807644.59   | 0.10%             | 2054-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K100, Class C                                                  | CUSIP: 30313PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7140000 | PA      | $6768393.69   | 0.11%             | 2052-11-25      | Variable      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-211, Class AC                                                                  | CUSIP: 38381EJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3693616 | PA      | $2740199.54   | 0.05%             | 2063-01-16      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132VNKA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546520 | PA      | $540550.70    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618LLXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4500000 | PA      | $4674033.23   | 0.08%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-72, Class IE                                                            | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84865 | PA      | $10205.01     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5934 | PA      | $6068.48      | 0.00%             | 2035-02-01      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LJBR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4161759.60   | 0.07%             | 2032-08-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32570 | PA      | $33469.22     | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H03, Class FA                                                                  | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       239 | PA      | $237.22       | 0.00%             | 2060-08-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2022-GT2, Class A                                                  | CUSIP: 30259RAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8127732.80   | 0.14%             | 2027-07-25      | Fixed         | 7.90%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class DX                          | CUSIP: 2254586J2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230318 | PA      | $33978.85     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury STRIPS Bonds                                                                       | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $123012.38    | 0.00%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4274, Class EM                                                              | CUSIP: 3137B5UH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $895198.40    | 0.02%             | 2043-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138WU4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514354 | PA      | $503972.64    | 0.01%             | 2033-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                               | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159447 | PA      | $18425.16     | 0.00%             | 2035-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3511, Class SA                                                              | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35430 | PA      | $2810.25      | 0.00%             | 2039-02-15      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75644 | PA      | $77978.03     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXGT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880526 | PA      | $820599.90    | 0.01%             | 2040-06-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 13                                                              | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116497 | PA      | $17102.46     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2007-A1, Class 9A1                                          | CUSIP: 161630AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59062 | PA      | $58565.49     | 0.00%             | 2037-02-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LNX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3340310.12   | 0.06%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                   | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103845 | PA      | $95801.93     | 0.00%             | 2032-07-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 1997-46, Class Z                                                             | CUSIP: 31359PD37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12986 | PA      | $13044.58     | 0.00%             | 2027-06-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 233, Class 11                                                              | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86698 | PA      | $14039.72     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132WEAY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423273 | PA      | $392299.19    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18200 | PA      | $18621.67     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5665 | PA      | $5960.78      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3451753 | PA      | $2946077.82   | 0.05%             | 2054-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2020-M50, Class A2                                                             | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109075 | PA      | $103868.26    | 0.00%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LEWS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865050 | PA      | $804933.33    | 0.01%             | 2031-08-01      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MJN24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2616368 | PA      | $2382079.63   | 0.04%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American General Mortgage Loan Trust                                 | American General Mortgage Loan Trust, Series 2006-1, Class A5                                    | CUSIP: 02639MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       592 | PA      | $657.28       | 0.00%             | 2035-12-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                     | SLG Office Trust, Series 2021-OVA, Class A                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $5776832.10   | 0.10%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617GRB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1867076 | PA      | $1903397.04   | 0.03%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR7, Class A7                         | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69911 | PA      | $69622.33     | 0.00%             | 2033-08-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46166 | PA      | $46404.73     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617V84J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1542004 | PA      | $1310581.39   | 0.02%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4213935 | PA      | $3776894.52   | 0.06%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16684 | PA      | $17045.02     | 0.00%             | 2036-08-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LEBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5497182 | PA      | $4797196.97   | 0.08%             | 2031-11-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LETV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9239701 | PA      | $7824710.86   | 0.13%             | 2034-01-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5190, Class PH                                                              | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3203722 | PA      | $2956970.58   | 0.05%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4908792 | PA      | $4125473.22   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H08, Class BF                                                                  | CUSIP: 38375BN99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218098 | PA      | $217148.33    | 0.00%             | 2063-03-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31410LQN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437817 | PA      | $460208.84    | 0.01%             | 2039-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                  | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68613 | PA      | $66942.43     | 0.00%             | 2028-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    794855 | PA      | $721442.65    | 0.01%             | 2040-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618JLHF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3522420 | PA      | $3765904.61   | 0.06%             | 2054-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132H3S79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    586740 | PA      | $575758.93    | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class C                                | CUSIP: 82653BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4302930 | PA      | $4325533.29   | 0.07%             | 2041-08-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2                                       | CUSIP: 31392GVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157573 | PA      | $167210.11    | 0.00%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1858529 | PA      | $1692096.73   | 0.03%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140W0MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10047917 | PA      | $8426662.24   | 0.14%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A2                                                           | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    494746 | PA      | $468001.84    | 0.01%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MG6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992934 | PA      | $868160.72    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31418BZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152616 | PA      | $140958.33    | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WHSS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2358681 | PA      | $2158736.34   | 0.04%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14681 | PA      | $14908.40     | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742465 | PA      | $680561.45    | 0.01%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1809278 | PA      | $1654115.04   | 0.03%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                     | MASTR Asset Securitization Trust, Series 2003-12, Class 6A1                                      | CUSIP: 55265K3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20995 | PA      | $18415.02     | 0.00%             | 2033-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C                             | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10126361 | PA      | $9397439.13   | 0.16%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H14, Class IY                                                                  | CUSIP: 38382YFL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  75326747 | PA      | $1982438.44   | 0.03%             | 2071-09-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2005-73, Class PS                                                            | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19996 | PA      | $20577.97     | 0.00%             | 2035-08-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617J76E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    687416 | PA      | $689372.12    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418DRS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  43531522 | PA      | $36533632.31  | 0.62%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617VAP39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1582562 | PA      | $1449289.70   | 0.02%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1429901 | PA      | $1437008.54   | 0.02%             | 2049-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2803105 | PA      | $2778026.09   | 0.05%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2631923 | PA      | $2428682.53   | 0.04%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNU34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    674015 | PA      | $631507.73    | 0.01%             | 2050-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M8, Class A1                                                              | CUSIP: 3136BMSS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577643 | PA      | $559530.71    | 0.01%             | 2031-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617F2Y84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    942867 | PA      | $911229.76    | 0.02%             | 2052-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2065, Class PX                                                              | CUSIP: 3133TEFM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4796 | PA      | $13.94        | 0.00%             | 2027-08-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2001-35, Class SA                                                                   | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14234 | PA      | $28.80        | 0.00%             | 2031-08-16      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-J3, Class 4A1                                                | CUSIP: 12667FGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7114 | PA      | $6963.21      | 0.00%             | 2019-04-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617BFSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    490198 | PA      | $486008.74    | 0.01%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC Gold Pools, Other                                                                          | CUSIP: 3132XFJZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3864863.84   | 0.07%             | 2032-09-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust     | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-11, Class A4       | CUSIP: 93934FHY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2194297 | PA      | $111752.28    | 0.00%             | 2036-01-25      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA                                                                                             | CUSIP: 31410QPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7066 | PA      | $7202.20      | 0.00%             | 2036-10-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3128M7VE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176154 | PA      | $182768.90    | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QPTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3351372 | PA      | $3234638.99   | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MTU                              | CUSIP: 35563PSE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11217969 | PA      | $9258222.22   | 0.16%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-9, Class A1                                                  | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325250 | PA      | $298043.97    | 0.01%             | 2034-10-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR2, Class E1                                                 | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4400748.00   | 0.07%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2017-76, Class B                                                                    | CUSIP: 38379RWA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4888085 | PA      | $3583738.91   | 0.06%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24259 | PA      | $24614.90     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKEL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1703985 | PA      | $1676185.32   | 0.03%             | 2033-05-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140X7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2877976 | PA      | $2530506.32   | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                              | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89878 | PA      | $80127.07     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2023-A, Class B                                               | CUSIP: 123919AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1851146 | PA      | $1890425.27   | 0.03%             | 2038-11-15      | Fixed         | 6.31%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR6D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1465251 | PA      | $1340203.04   | 0.02%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4281, Class OB                                                              | CUSIP: 3137B6QJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377250 | PA      | $290450.17    | 0.00%             | 2043-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-133, Class IH                                                                  | CUSIP: 38382JN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2975599 | PA      | $323138.79    | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617MW5G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3018344 | PA      | $2824439.06   | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  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        |   3550905 | PA      | $3484156.15   | 0.06%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31400AXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105867 | PA      | $108538.99    | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345446 | PA      | $347175.51    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32187 | PA      | $33029.44     | 0.00%             | 2037-05-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2209, Class TC                                                              | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17393 | PA      | $18105.83     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31403R4D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       622 | PA      | $623.01       | 0.00%             | 2027-12-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MVPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375956 | PA      | $1385378.36   | 0.02%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-33, Class IA                                                            | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146196 | PA      | $19670.81     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2005-1, Class 30                                           | CUSIP: 05946XQF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39981 | PA      | $5747.13      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QPE42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1259876 | PA      | $1157173.20   | 0.02%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multi-Class Certificates                                      | FHLMC, Multi-Class Certificates, Series 2021-P008, Class A1                                      | CUSIP: 3137F9ZH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14810936 | PA      | $12628602.48  | 0.21%             | 2033-01-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138LLET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7626135 | PA      | $6764019.49   | 0.11%             | 2037-11-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2021-M4, Class A1                                                              | CUSIP: 3136BDYY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5759085 | PA      | $5554200.53   | 0.09%             | 2031-02-25      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, 30 Year                                                                        | CUSIP: 3132VM3T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    639441 | PA      | $627025.18    | 0.01%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LFZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8960349 | PA      | $7903712.58   | 0.13%             | 2034-04-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617XVXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3291690 | PA      | $3013243.43   | 0.05%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-147, Class AK                                                                  | CUSIP: 38378B3P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3885557 | PA      | $3618043.23   | 0.06%             | 2054-04-16      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140KDQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4275250 | PA      | $3585050.29   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-36, Class SG                                                                   | CUSIP: 38375KKQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159172 | PA      | $2409.64      | 0.00%             | 2037-06-20      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                      | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4                                        | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134074 | PA      | $133003.35    | 0.00%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NYZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1072888 | PA      | $1044209.35   | 0.02%             | 2050-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2004-W11, Class 1A1                                        | CUSIP: 31394AB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225832 | PA      | $235254.53    | 0.00%             | 2044-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A3                                        | CUSIP: 17307GLA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     26926 | PA      | $26326.41     | 0.00%             | 2034-08-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                               | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                                | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2554312 | PA      | $2537957.32   | 0.04%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1466359 | PA      | $1306115.22   | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618B9M84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1134679 | PA      | $1145952.66   | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-40, Class FJ                                                            | CUSIP: 31398PQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12481 | PA      | $12481.24     | 0.00%             | 2040-04-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2779, Class ZC                                                              | CUSIP: 31394WGG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748657 | PA      | $787329.87    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3288, Class GS                                                              | CUSIP: 31397FV66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6371 | PA      | $6555.37      | 0.00%             | 2037-03-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10180 | PA      | $10497.71     | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.               | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |     24582 | PA      | $25252.30     | 0.00%             | 2033-09-25      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2450, Class GZ                                                              | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15393 | PA      | $16295.31     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                            | BXP Trust, Series 2017-GM, Class A                                                               | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4875771.00   | 0.08%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K37E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370284 | PA      | $372137.13    | 0.01%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NS4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2947013 | PA      | $2701278.74   | 0.05%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140QGZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5140634 | PA      | $4347306.30   | 0.07%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                        | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230066 | PA      | $228447.50    | 0.00%             | 2033-09-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617QQWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    913807 | PA      | $867781.02    | 0.01%             | 2050-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2303, Class ZN                                                              | CUSIP: 3133TSTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30199 | PA      | $31391.50     | 0.00%             | 2029-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2004-CL1, Class 1A1                                                 | CUSIP: 74160MDK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52313 | PA      | $52359.81     | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class IH                                                                  | CUSIP: 38380QXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16883354 | PA      | $889153.34    | 0.02%             | 2071-01-20      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K4UZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671427 | PA      | $683285.26    | 0.01%             | 2049-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR2, Class C                                                  | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3861443.60   | 0.07%             | 2038-09-17      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                             | KGS-Alpha SBA COOF Trust, Series 2012-3, Class A                                                 | CUSIP: 48248FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1919 | PA      | $0.00         | 0.00%             | 2026-09-25      | Variable      | 0.99%                 | Yes           |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                                 | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6100000 | PA      | $5935265.84   | 0.10%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M4, Class 2A2                                                             | CUSIP: 3136BLQ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  42100000 | PA      | $36335811.14  | 0.62%             | 2030-12-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1617105 | PA      | $1609018.81   | 0.03%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-141, Class WA                                                                  | CUSIP: 38378GPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1924359 | PA      | $1915306.20   | 0.03%             | 2041-11-16      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-5, Class 30X1                                          | CUSIP: 576434RS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18490 | PA      | $2503.72      | 0.00%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140XEB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8373173 | PA      | $7268242.74   | 0.12%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-122, Class HI                                                                  | CUSIP: 38382HNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18663230 | PA      | $2873368.44   | 0.05%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-33, Class CI                                                                   | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28097 | PA      | $1887.63      | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                           | FW Energy Asset Issuer LLC                                                                       | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   7684992 | PA      | $7830999.16   | 0.13%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2020-112, Class GI                                                                  | CUSIP: 38382HLF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9711665 | PA      | $2074496.15   | 0.04%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617LFTW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    490133 | PA      | $474915.06    | 0.01%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11840 | PA      | $12231.72     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617UQAF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1007472 | PA      | $967382.48    | 0.02%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2007-42, Class SB                                                                   | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120968 | PA      | $5246.01      | 0.00%             | 2037-07-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NLLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2161671 | PA      | $2147860.66   | 0.04%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-45, Class KG                                                            | CUSIP: 3136BA2P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3556893 | PA      | $2911907.53   | 0.05%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                 | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23682 | PA      | $23318.19     | 0.00%             | 2034-04-21      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-27, Class SN                                                            | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34386 | PA      | $3666.75      | 0.00%             | 2038-04-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2008-40, Class SA                                                                   | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350337 | PA      | $17441.70     | 0.00%             | 2038-05-16      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3299629 | PA      | $2928185.50   | 0.05%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617WR4Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1176195 | PA      | $1104053.72   | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA REMIC Trust, Series 2006-72, Class GO                                                       | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43391 | PA      | $38224.81     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K65, Class C                                                   | CUSIP: 30302XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3662000 | PA      | $3606669.38   | 0.06%             | 2050-07-25      | Variable      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II                                                                                          | CUSIP: 3617WT5T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4993971 | PA      | $5190662.39   | 0.09%             | 2071-09-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 2178, Class PB                                                              | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2623 | PA      | $2688.25      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617K1XV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    556361 | PA      | $537568.16    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617JSSQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525291 | PA      | $484774.75    | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-14, Class KI                                                                   | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83710 | PA      | $4868.64      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140NMHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9344986 | PA      | $9466047.76   | 0.16%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1657772 | PA      | $1411010.20   | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2022-M13, Class A2                                                             | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $13565742.00  | 0.23%             | 2032-06-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3620AXJX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3436625 | PA      | $3200586.67   | 0.05%             | 2040-11-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H02, Class JI                                                                  | CUSIP: 38380QXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26463572 | PA      | $1254651.71   | 0.02%             | 2071-01-20      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                               | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74037 | PA      | $75310.27     | 0.00%             | 2034-08-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                  | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1                   | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61489 | PA      | $60567.73     | 0.00%             | 2034-10-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-KBX1, Class B                                                  | CUSIP: 30307LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $2379289.20   | 0.04%             | 2026-01-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617U4NW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    986199 | PA      | $836688.49    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2009-52, Class PI                                                            | CUSIP: 31396QKF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112422 | PA      | $17104.81     | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S42W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2130 | PA      | $2175.44      | 0.00%             | 2038-05-01      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2001-38, Class FB                                                            | CUSIP: 313920QJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3902 | PA      | $3901.17      | 0.00%             | 2031-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2004-1                                                     | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21604 | PA      | $15338.42     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2020-61, Class SB                                                            | CUSIP: 3136BBF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5960960 | PA      | $225719.49    | 0.00%             | 2050-09-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2009-106, Class AS                                                                  | CUSIP: 38376JFB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278916 | PA      | $26782.68     | 0.00%             | 2039-11-16      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Whole Loan, Series 2003-7, Class A1                                                 | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115595 | PA      | $117469.73    | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                       | Diversified ABS Phase LLC, Series 2024-1A, Class A1                                              | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4397892 | PA      | $4445332.54   | 0.08%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2018-160, Class PA                                                                  | CUSIP: 38381AH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    709834 | PA      | $700308.54    | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC                                                                                            | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15608 | PA      | $15904.32     | 0.00%             | 2036-11-01      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-54, Class WA                                                                   | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    971465 | PA      | $995163.69    | 0.02%             | 2042-11-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                   | CUSIP: 36202EXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14305 | PA      | $14482.73     | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3138AFXH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83695 | PA      | $84763.40     | 0.00%             | 2031-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3814260 | PA      | $3229272.21   | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                            | Commercial Mortgage Trust, Series 2020-SBX, Class D                                              | CUSIP: 12598EAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3975320.00   | 0.07%             | 2038-01-10      | Variable      | 2.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3618BQNN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2130007 | PA      | $2224122.76   | 0.04%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-3F, Class 3A8                                               | CUSIP: 36228FJ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3086 | PA      | $3481.19      | 0.00%             | 2034-02-25      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                         | MASTR Alternative Loan Trust, Series 2004-6, Class 30X1                                          | CUSIP: 576434SS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27882 | PA      | $3621.15      | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QVZ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    712074 | PA      | $651656.98    | 0.01%             | 2044-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 36207T5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3393 | PA      | $3416.75      | 0.00%             | 2026-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL06, Class XFX                 | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  63036852 | PA      | $3041294.87   | 0.05%             | 2029-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-46, Class EP                                                            | CUSIP: 31393YQ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6584 | PA      | $6529.33      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617X4C68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1056943 | PA      | $967532.42    | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                                 | BAMLL Re-REMIC Trust, Series 2024-FRR2, Class A                                                  | CUSIP: 05493UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $13986337.50  | 0.24%             | 2050-07-27      | Variable      | 2.46%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HX4J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    806220 | PA      | $781186.26    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-226, Class ZH                                                                  | CUSIP: 38383FBM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1279431 | PA      | $742004.43    | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4914703.70   | 0.08%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2019-H18, Class CI                                                                  | CUSIP: 38380LK85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20593075 | PA      | $1119215.09   | 0.02%             | 2069-10-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-77, Class PC                                                            | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121265 | PA      | $125181.43    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Assets                                                        | Energy Assets                                                                                    | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   2431177 | PA      | $2484072.33   | 0.04%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140FAMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504621 | PA      | $467520.71    | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                | FMC GMSR Issuer Trust, Series 2021-GT2, Class B                                                  | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3417921.72   | 0.06%             | 2026-10-25      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NNVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2555398 | PA      | $2170312.73   | 0.04%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA ACES, Series 2019-M10, Class X                                                              | CUSIP: 3136B4D62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  48954555 | PA      | $1349466.58   | 0.02%             | 2049-05-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                                | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4862311 | PA      | $4510550.91   | 0.08%             | 2031-01-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2004-3, Class 1A1                                          | CUSIP: 05946XGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41660 | PA      | $41852.84     | 0.00%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2025-SFR1, Class D                                                          | CUSIP: 10807GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6890000 | PA      | $6388122.75   | 0.11%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-16, Class WB                                                            | CUSIP: 31398MRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550942 | PA      | $559348.70    | 0.01%             | 2040-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3137, Class XP                                                              | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289615 | PA      | $307401.10    | 0.01%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A2                                  | CUSIP: 59020UGG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41913 | PA      | $40856.50     | 0.00%             | 2029-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2003-2, Class F                                                              | CUSIP: 31392HZK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149834 | PA      | $150485.05    | 0.00%             | 2033-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617QV6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    418193 | PA      | $399078.09    | 0.01%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2005-W4, Class 1A1                                                | CUSIP: 31394VPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45371 | PA      | $46568.82     | 0.00%             | 2045-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617NYZH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2793078 | PA      | $2652401.96   | 0.04%             | 2050-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2008-16, Class IS                                                            | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76444 | PA      | $5888.53      | 0.00%             | 2038-03-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                      | CUSIP: 3140LF3Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5401000 | PA      | $4862176.47   | 0.08%             | 2034-09-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 3140MMWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1152169 | PA      | $1141545.25   | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-65, Class QO                                                            | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27180 | PA      | $23335.99     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                              | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12568053 | PA      | $10575353.52  | 0.18%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MBU                              | CUSIP: 35563P7G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10150000 | PA      | $7192009.86   | 0.12%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617HXV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    499445 | PA      | $500160.93    | 0.01%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31391JWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8877 | PA      | $9129.08      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                 | CUSIP: 3617NGHL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    563144 | PA      | $565446.98    | 0.01%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA I, 30 Year                                                                                  | CUSIP: 3617JSRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2379932 | PA      | $2358851.59   | 0.04%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3219, Class DI                                                              | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37297 | PA      | $6261.46      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3143, Class BC                                                              | CUSIP: 31396NG75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86307 | PA      | $90491.11     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3275, Class FL                                                              | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10659 | PA      | $10577.10     | 0.00%             | 2037-02-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                               | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8667303 | PA      | $7236420.14   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** J.P. Morgan Exchange-Traded Fund Trust

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer