# EDGAR Filing Document

**Accession Number:** 0001426439
**File Stem:** 0001752724-25-156086
**Filing Date:** 2025-6
**Character Count:** 186375
**Document Hash:** de12b761666e30c86f31104109c6cbd6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-156086.hdr.sgml**: 20250625

**ACCESSION NUMBER**: 0001752724-25-156086

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250625

**DATE AS OF CHANGE**: 20250625

**PERIOD START**: 20250430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** New York Life Investments Active ETF Trust
- **CENTRAL INDEX KEY:** 0001426439

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22739
- **FILM NUMBER:** 251073163

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** (212) 576-5018

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NYLI MacKay Core Plus Bond ETF
- **DATE OF NAME CHANGE:** 20241203

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** New York Life Investments Active ETF Trust
- **DATE OF NAME CHANGE:** 20240822

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** IndexIQ Active ETF Trust
- **DATE OF NAME CHANGE:** 20080207

## Series and Classes Contracts Data

### NYLI MacKay Securitized Income ETF (Series ID: S000084196)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000248469 | NYLI MacKay Securitized Income ETF | SECR            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** New York Life Investments Active ETF Trust

- **b. Investment Company Act file number:** 811-22739

- **c. CIK number of Registrant:** 0001426439

- **d. LEI of Registrant:** 549300VWZDQ61K9DOP39

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 888-474-7725

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

- **a. Name of Series:** NYLI MacKay Securitized Income ETF

- **b. EDGAR series identifier (if any):** S000084196

- **c. LEI of Series:** 529900V03XWJN0RHX644

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

- **a. Date of fiscal year-end:** 2025-04-30

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $155398972.41

**Total Liabilities:** $5622076.19

**Net Assets:** $149776896.22

**Cash Not Reported:** $539145.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 61.29062000 | **1-Year:** 5236.22787000 | **5-Year:** 36367.39894000 | **10-Year:** 19872.73552000 | **30-Year:** 1342.80479000

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

- **3-Month:** 14.26492000 | **1-Year:** 2970.79796000 | **5-Year:** 4361.29095000 | **10-Year:** 3154.11544000 | **30-Year:** 492.54547000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000248469 | 2.38%                | -0.06%               | 0.51%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $117111.62               | $2242658.92                                |
| Month 2  | $88447.73                | $-899207.66                                |
| Month 3  | $45916.17                | $-229393.61                                |

**Designated Index Information**

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

- **Index Identifier:** LHMN5582

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        73 | NC      | $174927.56    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383CFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4910270 | PA      | $98770.08     | 0.07%             | 2051-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                          | Seasoned Credit Risk Transfer Trust Series 2025-1                              | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1468184 | PA      | $1258993.79   | 0.84%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trus              | Carmax Select Receivables Trust 2024-A                                         | CUSIP: 14319FAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $368260.33    | 0.25%             | 2030-12-16      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38384BPQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2338906 | PA      | $94866.49     | 0.06%             | 2053-06-20      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137HAFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441342 | PA      | $289746.01    | 0.19%             | 2050-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383FAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1499161 | PA      | $2352.78      | 0.00%             | 2051-12-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BHQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85142 | PA      | $8860.86      | 0.01%             | 2047-09-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321517 | PA      | $45601.76     | 0.03%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DQXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39777 | PA      | $39989.70     | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382NZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198186 | PA      | $22380.01     | 0.01%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortga              | UBS-Barclays Commercial Mortgage Trust 2013-C5                                 | CUSIP: 90270YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490061 | PA      | $462157.76    | 0.31%             | 2046-03-10      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383GFG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1107453 | PA      | $126544.57    | 0.08%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137H3LQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    996163 | PA      | $173770.91    | 0.12%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| General Motors                              | GMF Floorplan Owner Revolving Trust                                            | CUSIP: 361886CW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102931.31    | 0.07%             | 2030-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2018-GS10                                         | CUSIP: 36250SAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $338405.45    | 0.23%             | 2051-07-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137F6XW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80503 | PA      | $64968.96     | 0.04%             | 2049-03-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R08                                   | CUSIP: 20755DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95000 | PA      | $101887.50    | 0.07%             | 2042-07-25      | Floating      | 9.95%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                     | Regatta 30 Funding Ltd                                                         | CUSIP: 75903UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $298285.20    | 0.20%             | 2038-01-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R05                                   | CUSIP: 20754XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $493128.45    | 0.33%             | 2044-07-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding              | Avis Budget Rental Car Funding AESOP LLC                                       | CUSIP: 05377RKJ2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $245835.62    | 0.16%             | 2028-04-20      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R03                                   | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $201581.25    | 0.13%             | 2041-12-25      | Floating      | 9.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | Comm 2014-UBS2 Mortgage Trust                                                  | CUSIP: 12591UAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203388 | PA      | $142737.45    | 0.10%             | 2047-03-10      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382PMU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    642508 | PA      | $101658.91    | 0.07%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XMHT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103925 | PA      | $106156.22    | 0.07%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust               | Citigroup Mortgage Loan Trust 2014-C                                           | CUSIP: 17323GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $533242.37    | 0.36%             | 2054-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137F6TN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721818 | PA      | $150562.56    | 0.10%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2021-3                                              | CUSIP: 33846QAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $598995.48    | 0.40%             | 2028-12-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| Fortress Credit Opportunities               | Fortress Credit Opportunities XXI CLO LLC                                      | CUSIP: 34964UAN6<br>LEI: 254900WDNXJI5BDB6170 | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $298749.00    | 0.20%             | 2037-01-21      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2023-R07                                   | CUSIP: 20753BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290000 | PA      | $300150.00    | 0.20%             | 2043-09-25      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C51                                 | CUSIP: 95001VAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116000 | PA      | $106591.74    | 0.07%             | 2052-06-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38384AQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163168 | PA      | $126757.96    | 0.08%             | 2052-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140X83H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22842 | PA      | $20691.73     | 0.01%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                | CUSIP: 466317AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361223 | PA      | $316134.01    | 0.21%             | 2037-04-15      | Floating      | 8.85%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2020-1                                              | CUSIP: 33843FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3380 | PA      | $3376.92      | 0.00%             | 2026-03-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382L2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91646 | PA      | $10074.73     | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22                    | CUSIP: 61690FAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $107305.42    | 0.07%             | 2048-04-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132E06G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668566 | PA      | $692451.98    | 0.46%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2005-IM1                                                | CUSIP: 12668A4B8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138824 | PA      | $122876.91    | 0.08%             | 2036-01-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust              | Long Beach Mortgage Loan Trust 2004-3                                          | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    103120 | PA      | $100422.47    | 0.07%             | 2034-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382NP76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    249087 | PA      | $2690.22      | 0.00%             | 2051-02-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140Q9JA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57596 | PA      | $56076.57     | 0.04%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust                 | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64422 | PA      | $57546.33     | 0.04%             | 2035-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA6                                        | CUSIP: 35564KLV9<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $153169.60    | 0.10%             | 2041-10-25      | Floating      | 11.85%                | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                 | OCP CLO 2017-14 Ltd                                                            | CUSIP: 67097QAN5<br>LEI: 25490025Q5WQX513IQ05 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249236.75    | 0.17%             | 2037-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2021-4                                                  | CUSIP: 81748WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4986520 | PA      | $49383.00     | 0.03%             | 2051-06-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383UVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1276043 | PA      | $179134.04    | 0.12%             | 2051-07-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Multifamily Structured Credit Risk                                 | CUSIP: 355917AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405000 | PA      | $404520.40    | 0.27%             | 2044-10-25      | Floating      | 10.35%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418EWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211676 | PA      | $218883.01    | 0.15%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2596835 | PA      | $2064957.39   | 1.38%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418ER77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2148949 | PA      | $2108285.90   | 1.41%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur              | Bridgecrest Lending Auto Securitization Trust 2024-1                           | CUSIP: 107933AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    780000 | PA      | $791855.14    | 0.53%             | 2029-11-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382ML56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71781 | PA      | $10977.49     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382WBD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1024102 | PA      | $139852.15    | 0.09%             | 2051-07-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                  | LAD Auto Receivables Trust 2024-3                                              | CUSIP: 505709AG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $561261.90    | 0.37%             | 2032-02-17      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137FUFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1498429 | PA      | $185187.49    | 0.12%             | 2050-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas              | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust | CUSIP: 93934FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33651 | PA      | $31428.67     | 0.02%             | 2035-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Bank                                        | Bank 2019-BNK19                                                                | CUSIP: 06540WBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $67151.26     | 0.04%             | 2061-08-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE              | Multifamily Connecticut Avenue Securities Trust 2020-01                        | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $119865.19    | 0.08%             | 2050-03-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2022-BNK39                                                                | CUSIP: 06539VAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $611376.42    | 0.41%             | 2055-02-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue              | Multifamily Connecticut Avenue Securities Trust 2024-01                        | CUSIP: 62548RAC3<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $426282.28    | 0.28%             | 2054-07-25      | Floating      | 11.10%                | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Secur              | Bridgecrest Lending Auto Securitization Trust 2024-1                           | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $252134.05    | 0.17%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA1                                        | CUSIP: 35564KBD0<br>LEI: 5493000IT1PBTE7DAT80 | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $601750.00    | 0.40%             | 2051-01-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                         | DT Auto Owner Trust 2021-2                                                     | CUSIP: 23345EAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1285105.38   | 0.86%             | 2028-07-17      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2018-C14 Commercial Mortgage Trust                                       | CUSIP: 12596GBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $238228.85    | 0.16%             | 2051-11-15      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Blackrock Rainier CLO Ltd                   | Blackrock Rainier CLO VI Ltd                                                   | CUSIP: 09261MAQ9<br>LEI: 549300HF4E86WXQDUX86 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248250.00    | 0.17%             | 2037-04-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137FAD21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52242 | PA      | $48120.96     | 0.03%             | 2047-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VIVA                                         | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $90477.68     | 0.06%             | 2044-03-11      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2021-3                                              | CUSIP: 33846QAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514000 | PA      | $489955.03    | 0.33%             | 2027-09-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2015-CCRE22 Mortgage Trust                                                | CUSIP: 12592XBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $461501.30    | 0.31%             | 2048-03-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382UG62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393521 | PA      | $353147.06    | 0.24%             | 2051-06-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Securitized Participation Interests Trust 2018-SPI3          | CUSIP: 3137G1DF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    698275 | PA      | $532962.14    | 0.36%             | 2048-08-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XBG46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136615 | PA      | $115181.97    | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DSQK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3690998 | PA      | $2938432.47   | 1.96%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                         | DT Auto Owner Trust 2021-4                                                     | CUSIP: 26253WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $441793.35    | 0.29%             | 2027-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2024-1                                              | CUSIP: 33843VAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $905156.64    | 0.60%             | 2030-04-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                     | CarMax Auto Owner Trust 2024-1                                                 | CUSIP: 14318WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80000 | PA      | $81107.98     | 0.05%             | 2029-08-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Dext ABS                                    | Dext ABS 2025-1 LLC                                                            | CUSIP: 252154AF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $296417.80    | 0.20%             | 2036-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2024-BRBK                                         | CUSIP: 05613NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345000 | PA      | $338091.06    | 0.23%             | 2041-10-15      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-RC1                                 | CUSIP: 95001FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505000 | PA      | $438101.39    | 0.29%             | 2060-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Iss              | New Economy Assets - Phase 1 Sponsor LLC                                       | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $477010.59    | 0.32%             | 2061-10-20      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383F6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1137500 | PA      | $15548.04     | 0.01%             | 2052-06-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2022-C16                                                  | CUSIP: 05552YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815000 | PA      | $499787.50    | 0.33%             | 2055-06-15      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382LQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64705 | PA      | $8224.47      | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3133B6BL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90983 | PA      | $72200.39     | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                              | Apidos CLO LI Ltd                                                              | CUSIP: 03771JAE9<br>LEI: 254900K0UHSUBZXUMR56 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $247250.25    | 0.17%             | 2038-01-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWKU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215798 | PA      | $211547.11    | 0.14%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Evergreen Credit Card Trust                 | Evergreen Credit Card Trust                                                    | CUSIP: 30023JCY2<br>LEI: 5493002G9KVV6J3CNU15 | Long             | ABS-O            | CORP              | CA        |    390000 | PA      | $392787.53    | 0.26%             | 2029-05-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur              | Banc of America Mortgage 2005-A Trust                                          | CUSIP: 05949AJ27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16595 | PA      | $15893.66     | 0.01%             | 2035-02-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382J4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127923 | PA      | $18455.23     | 0.01%             | 2050-10-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382LQC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329996 | PA      | $247539.93    | 0.17%             | 2050-11-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/F              | Ford Credit Auto Owner Trust 2021-REV2                                         | CUSIP: 345285AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $95802.84     | 0.06%             | 2034-05-15      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO LLC                 | Ares Direct Lending CLO 3 LLC                                                  | CUSIP: 039945AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $247677.75    | 0.17%             | 2037-01-20      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382DM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83493 | PA      | $11030.45     | 0.01%             | 2050-03-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LT              | Golub Capital Partners CLO 76 B Ltd                                            | CUSIP: 38180BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $249345.75    | 0.17%             | 2037-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382LZ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1049486 | PA      | $126584.10    | 0.08%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38384KVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4114611 | PA      | $193587.53    | 0.13%             | 2054-03-20      | Floating      | 0.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3133KN4F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    746345 | PA      | $678385.13    | 0.45%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-J1 Trust                                                              | CUSIP: 67116WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84734 | PA      | $68155.70     | 0.05%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R02                                   | CUSIP: 20754BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $534375.00    | 0.36%             | 2042-01-25      | Floating      | 12.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140X6PP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86673 | PA      | $76121.93     | 0.05%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BHWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130698 | PA      | $16800.75     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Iss              | New Economy Assets - Phase 1 Sponsor LLC                                       | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $464819.01    | 0.31%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2019-INV2 Trust                                                            | CUSIP: 67112VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34613 | PA      | $32398.41     | 0.02%             | 2049-05-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381KAF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265000 | PA      | $197770.03    | 0.13%             | 2064-08-16      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                            | Owl Rock CLO XX LLC                                                            | CUSIP: 69122LAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $243882.25    | 0.16%             | 2034-10-24      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140QAJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29141 | PA      | $28306.11     | 0.02%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust                 | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22438 | PA      | $21089.84     | 0.01%             | 2042-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382MCH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    127793 | PA      | $20612.59     | 0.01%             | 2050-12-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C38                                 | CUSIP: 95001MAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $287879.10    | 0.19%             | 2050-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381HVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880845 | PA      | $63945.06     | 0.04%             | 2065-10-16      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       262 | NC      | $689188.90    | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                | CUSIP: 95000KAJ4<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |    555000 | PA      | $487617.89    | 0.33%             | 2049-11-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1270151 | PA      | $1008593.97   | 0.67%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2016-UBS9                                       | CUSIP: 61766CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $447101.35    | 0.30%             | 2049-03-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-12                                               | CUSIP: 46592WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159286 | PA      | $944455.80    | 0.63%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382UF55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371839 | PA      | $285039.45    | 0.19%             | 2051-06-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CART                                        | CONE Trust 2024-DFW1                                                           | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $492521.25    | 0.33%             | 2041-08-15      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137F6PH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55496 | PA      | $10471.89     | 0.01%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136B4XC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53038 | PA      | $6378.58      | 0.00%             | 2049-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                              | Apidos CLO XVIII-R                                                             | CUSIP: 03767NBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    380000 | PA      | $377392.06    | 0.25%             | 2038-01-22      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2016-NXS5                                | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |    469000 | PA      | $409459.93    | 0.27%             | 2059-01-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2016-DC2 Mortgage Trust                                                   | CUSIP: 12594CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760000 | PA      | $704136.28    | 0.47%             | 2049-02-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-RISE                                                             | CUSIP: 12434EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84533 | PA      | $83634.75     | 0.06%             | 2036-11-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BFHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84259 | PA      | $76585.01     | 0.05%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137HADW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251076 | PA      | $170066.71    | 0.11%             | 2050-09-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Mscr Trust Mn10                                                    | CUSIP: 35563UAC2<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $436129.28    | 0.29%             | 2045-02-25      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                        | DBUBS 2011-LC3 Mortgage Trust                                                  | CUSIP: 23305YAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $457535.00    | 0.31%             | 2044-05-10      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor              | Banc of America Funding 2006-I Trust                                           | CUSIP: 05951VAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32319 | PA      | $28225.72     | 0.02%             | 2046-12-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-HQA1                                        | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $238411.87    | 0.16%             | 2042-03-25      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2022-2                                              | CUSIP: 33844XAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $577233.10    | 0.39%             | 2028-04-17      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                      | Sequoia Mortgage Trust 2023-2                                                  | CUSIP: 81744KCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427595 | PA      | $397723.03    | 0.27%             | 2053-03-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                             | Regatta XI Funding Ltd                                                         | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249993.75    | 0.17%             | 2037-07-17      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418ED64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2557587 | PA      | $2221189.15   | 1.48%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                  | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56481 | PA      | $56387.66     | 0.04%             | 2045-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382UVH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161381 | PA      | $21100.49     | 0.01%             | 2051-06-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2024-HQA1                                        | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $385480.60    | 0.26%             | 2044-03-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se              | Natixis Commercial Mortgage Securities Trust 2021-APPL                         | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96032.95     | 0.06%             | 2038-08-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2017-4                                               | CUSIP: 89173UAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249771 | PA      | $158316.75    | 0.11%             | 2057-06-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2018-C44                                 | CUSIP: 95001JAC1<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $549822.79    | 0.37%             | 2051-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R03                                   | CUSIP: 20753XAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $613250.00    | 0.41%             | 2042-03-25      | Floating      | 14.20%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3293537 | PA      | $3346286.86   | 2.23%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-H3                                         | CUSIP: 61767YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $112140.19    | 0.07%             | 2051-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206439 | PA      | $173538.23    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B15 Mortgage Trust                                              | CUSIP: 08160KAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $55005.37     | 0.04%             | 2072-12-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK7                                                                 | CUSIP: 06541XAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $388389.85    | 0.26%             | 2060-09-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382UVG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131907 | PA      | $19727.48     | 0.01%             | 2051-06-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140HJJS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23736 | PA      | $22358.58     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                | Drive Auto Receivables Trust 2024-1                                            | CUSIP: 26208WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $76118.34     | 0.05%             | 2031-11-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                        | Signal Peak CLO 12 Ltd                                                         | CUSIP: 82671XAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $249994.25    | 0.17%             | 2037-07-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382PS29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180439 | PA      | $20483.15     | 0.01%             | 2048-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B6 Mortgage Trust                                               | CUSIP: 08162CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $463994.65    | 0.31%             | 2051-10-10      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132E0FK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    539236 | PA      | $451199.30    | 0.30%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2465259 | PA      | $350250.00    | 0.23%             | 2051-03-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2021-2                                              | CUSIP: 33844WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    410000 | PA      | $391791.41    | 0.26%             | 2028-09-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2021-6INV                                              | CUSIP: 33851GAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146035 | PA      | $118151.70    | 0.08%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA5                                        | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |    185888 | PA      | $186459.94    | 0.12%             | 2034-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Tru              | First Investors Auto Owner Trust 2023-1                                        | CUSIP: 320986AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    285000 | PA      | $302101.23    | 0.20%             | 2031-01-15      | Fixed         | 7.74%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                | CD 2017-CD4 Mortgage Trust                                                     | CUSIP: 12515DAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495000 | PA      | $452799.07    | 0.30%             | 2050-05-10      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BKHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312860 | PA      | $53582.10     | 0.04%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DUT49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    768666 | PA      | $770483.07    | 0.51%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B14 Mortgage Trust                                              | CUSIP: 08162YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $447871.50    | 0.30%             | 2062-12-15      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Stifel SBA IO Trust                         | Stifel SBA IO Trust Series 2024-1                                              | CUSIP: 86063NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4289077 | PA      | $155479.04    | 0.10%             | 2050-06-25      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-A             | CUSIP: 16678RDC8<br>LEI: 549300VJ603C97L1MC67 | Long             | ABS-MBS          | CORP              | US        |     25847 | PA      | $24025.62     | 0.02%             | 2036-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2024-1                                              | CUSIP: 33843VAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345000 | PA      | $351969.76    | 0.23%             | 2030-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382AGG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28475 | PA      | $25680.98     | 0.02%             | 2049-10-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2015-GC29                                  | CUSIP: 17323VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22874 | PA      | $22474.16     | 0.02%             | 2048-04-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                      | CHL Mortgage Pass-Through Trust 2005-9                                         | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68570 | PA      | $58891.77     | 0.04%             | 2035-05-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383CYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1067056 | PA      | $155214.86    | 0.10%             | 2050-11-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK6                                                                 | CUSIP: 060352AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $380627.53    | 0.25%             | 2060-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383V7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    660890 | PA      | $87274.77     | 0.06%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-NQM2                                                                 | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128516 | PA      | $115948.86    | 0.08%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2810043 | PA      | $2343000.05   | 1.56%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2021-1                                              | CUSIP: 33843WAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179504 | PA      | $176477.39    | 0.12%             | 2027-03-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2023-HQA3                                        | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $402086.30    | 0.27%             | 2043-11-25      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Accepta              | Mello Mortgage Capital Acceptance 2021-MTG1                                    | CUSIP: 585495BN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110787 | PA      | $89633.94     | 0.06%             | 2051-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                          | Seasoned Loans Structured Transaction Series 2018-1                            | CUSIP: 35564CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48955 | PA      | $47618.97     | 0.03%             | 2028-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-HQA3                                              | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $817200.00    | 0.55%             | 2049-09-25      | Floating      | 11.97%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWJN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32932 | PA      | $33957.10     | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ginniemae Strip                             | Ginnie Mae Strip                                                               | CUSIP: 37610VAA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | CORP              | US        |     17456 | PA      | $14989.03     | 0.01%             | 2034-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                         | BWAY 2013-1515 Mortgage Trust                                                  | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $260986.19    | 0.17%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2019-8                                                | CUSIP: 46591KAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12070 | PA      | $11436.07     | 0.01%             | 2050-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                  | LAD Auto Receivables Trust 2024-2                                              | CUSIP: 505920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $443627.47    | 0.30%             | 2031-10-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383XYN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280578 | PA      | $218463.23    | 0.15%             | 2053-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383HFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79325 | PA      | $13386.95     | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust              | CAMB Commercial Mortgage Trust 2021-CX2                                        | CUSIP: 12477BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $466499.46    | 0.31%             | 2046-11-10      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWEQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2216344 | PA      | $2001392.56   | 1.34%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382MGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384659 | PA      | $59218.65     | 0.04%             | 2050-12-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    584213 | PA      | $584765.97    | 0.39%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435408 | PA      | $428319.55    | 0.29%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Texas Debt Capital CLO, Ltd                 | Texas Debt Capital CLO 2024-II Ltd                                             | CUSIP: 88238EAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249334.25    | 0.17%             | 2037-01-24      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382JXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166923 | PA      | $2176.22      | 0.00%             | 2050-09-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limit              | Bain Capital Credit CLO 2021-6 Ltd                                             | CUSIP: 05684PAU0<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250035.00    | 0.17%             | 2034-10-21      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | WP Glimcher Mall Trust 2015-WPG                                                | CUSIP: 92939VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $399538.76    | 0.27%             | 2035-06-05      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418EP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1582596 | PA      | $1551490.47   | 1.04%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BL3H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646510 | PA      | $78066.44     | 0.05%             | 2052-02-25      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382KWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135839 | PA      | $20139.19     | 0.01%             | 2050-10-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38380RHQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239322 | PA      | $14899.62     | 0.01%             | 2062-06-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note              | Toyota Auto Loan Extended Note Trust 2023-1                                    | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102025.17    | 0.07%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                       | Tricon American Homes 2020-SFR1                                                | CUSIP: 89613GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $446320.01    | 0.30%             | 2038-07-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1543024 | PA      | $1478480.27   | 0.99%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383TLA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5736477 | PA      | $105753.67    | 0.07%             | 2052-06-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                             | CUSIP: 31325URK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1250801 | PA      | $137521.91    | 0.09%             | 2043-08-15      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BSLE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2472881 | PA      | $201085.31    | 0.13%             | 2054-07-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2025-1                                       | CUSIP: 36271KAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $611107.70    | 0.41%             | 2030-11-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1398475 | PA      | $1398618.51   | 0.93%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2184039 | PA      | $2039243.34   | 1.36%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137FWMZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    930176 | PA      | $30494.22     | 0.02%             | 2050-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                          | Subway Funding LLC                                                             | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    354112 | PA      | $358143.93    | 0.24%             | 2054-07-30      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                             | CUSIP: 3128HXY25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155062 | PA      | $119641.53    | 0.08%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2019-C51                                 | CUSIP: 95001VAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $387172.61    | 0.26%             | 2052-06-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382NAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2198338 | PA      | $18268.41     | 0.01%             | 2051-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383LBB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328445 | PA      | $43770.87     | 0.03%             | 2050-02-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383C3B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139775 | PA      | $115074.67    | 0.08%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2025-NR1                                                             | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300441 | PA      | $291284.12    | 0.19%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-SBT1                                  | CUSIP: 20753VBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715000 | PA      | $756917.02    | 0.51%             | 2040-02-25      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Woodward Capital Management                 | RCKT Mortgage Trust 2021-5                                                     | CUSIP: 749384AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4477843 | PA      | $3645244.04   | 2.43%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru              | IndyMac INDX Mortgage Loan Trust 2005-AR12                                     | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73175 | PA      | $65581.94     | 0.04%             | 2035-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA1                                        | CUSIP: 35564KCP2<br>LEI: 5493000ISMYB8CLVZD05 | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $360645.03    | 0.24%             | 2033-08-25      | Floating      | 9.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381JN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1505648 | PA      | $98589.36     | 0.07%             | 2065-10-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81878 | PA      | $83199.11     | 0.06%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XKAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48817 | PA      | $49078.17     | 0.03%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-4610.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383CTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1222675 | PA      | $195251.08    | 0.13%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                      | CUSIP: 31424U8A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1368916 | PA      | $303618.73    | 0.20%             | 2053-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                | AGL CLO 35 Ltd                                                                 | CUSIP: 00852KAB0<br>LEI: 254900LDCU83O7QV9777 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $248867.00    | 0.17%             | 2038-01-21      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP1                                                          | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |    525955 | PA      | $627647.38    | 0.42%             | 2043-05-25      | Floating      | 16.22%                | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                             | Zayo Issuer LLC                                                                | CUSIP: 98919WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470000 | PA      | $471068.69    | 0.31%             | 2055-03-20      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2021-2                                              | CUSIP: 33844WAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $97108.24     | 0.06%             | 2027-06-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortgage-Backed Securities Corp Trust 2022-PJ4                              | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1641270 | PA      | $1334044.37   | 0.89%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38377NHJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286762 | PA      | $265043.23    | 0.18%             | 2037-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DSS52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67202 | PA      | $67383.33     | 0.04%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                      | CUSIP: 31422MZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178532 | PA      | $17122.01     | 0.01%             | 2052-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136ARD62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131636 | PA      | $11828.85     | 0.01%             | 2046-04-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137H5N86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70063 | PA      | $12988.30     | 0.01%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P              | Freddie Mac Multifamily Structured Pass Through Certificates                   | CUSIP: 3137HHJF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    945000 | PA      | $962352.85    | 0.64%             | 2031-10-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383VFN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181815 | PA      | $164706.04    | 0.11%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                     | Flagstar Mortgage Trust 2021-9INV                                              | CUSIP: 33851MAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1107202 | PA      | $986448.28    | 0.66%             | 2041-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co.,              | Galton Funding Mortgage Trust 2018-2                                           | CUSIP: 36418GBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34488 | PA      | $33259.04     | 0.02%             | 2058-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-HQA3                                        | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $709295.69    | 0.47%             | 2042-08-25      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust              | Bayview Commercial Asset Trust 2007-1                                          | CUSIP: 07325MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45996 | PA      | $43024.79     | 0.03%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2007-QO3 Trust                                                     | CUSIP: 74923TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86401 | PA      | $77661.30     | 0.05%             | 2047-03-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-A                               | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27377 | PA      | $25006.98     | 0.02%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                             | CUSIP: 3128HWPJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51685 | PA      | $43092.78     | 0.03%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XRQF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294556 | PA      | $282224.46    | 0.19%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140X7KB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28851 | PA      | $25347.65     | 0.02%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                             | CUSIP: 3133Q3C33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98345 | PA      | $81797.20     | 0.05%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                             | CUSIP: 3142G4PC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    640538 | PA      | $140709.01    | 0.09%             | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382LBS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466646 | PA      | $70587.69     | 0.05%             | 2050-11-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                    | Mill City Mortgage Loan Trust 2018-4                                           | CUSIP: 59980YAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414516 | PA      | $253494.31    | 0.17%             | 2066-04-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383RYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2265985 | PA      | $30973.52     | 0.02%             | 2052-05-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust              | MSWF Commercial Mortgage Trust 2023-2                                          | CUSIP: 55361AAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $79090.27     | 0.05%             | 2056-12-15      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383CFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101744 | PA      | $17267.93     | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2021-J3                                                              | CUSIP: 12565VBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117522 | PA      | $95150.55     | 0.06%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWHA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    953513 | PA      | $969223.40    | 0.65%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382XTS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460632 | PA      | $380974.79    | 0.25%             | 2051-08-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382RR75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85454 | PA      | $14748.48     | 0.01%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463645 | PA      | $402797.17    | 0.27%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-FTR3                                              | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $524794.20    | 0.35%             | 2047-09-25      | Floating      | 9.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2022-ONL                                 | CUSIP: 95003WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $303363.41    | 0.20%             | 2039-12-15      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2022-2                                     | CUSIP: 30166QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $654644.64    | 0.44%             | 2029-10-15      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                             | CUSIP: 3622AC5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1311756 | PA      | $1132204.43   | 0.76%             | 2053-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2020-BNK25                                                                | CUSIP: 06539WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $292932.95    | 0.20%             | 2063-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust              | SWCH Commercial Mortgage Trust 2025-DATA                                       | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $314396.70    | 0.21%             | 2042-03-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Aimco                                       | AIMCO CLO Series 2018-A                                                        | CUSIP: 00900GAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $298407.60    | 0.20%             | 2037-10-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137FU6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143645 | PA      | $19965.00     | 0.01%             | 2050-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38379XY20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610606 | PA      | $150539.11    | 0.10%             | 2044-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382AEQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28054 | PA      | $25157.83     | 0.02%             | 2049-10-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor              | Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10             | CUSIP: 06054MAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $611709.56    | 0.41%             | 2049-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                               | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    565000 | PA      | $569016.80    | 0.38%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38380RA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362850 | PA      | $25066.20     | 0.02%             | 2061-03-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2018-B2                                    | CUSIP: 17327FAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $798366.38    | 0.53%             | 2051-03-10      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun              | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                              | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62778 | PA      | $63983.78     | 0.04%             | 2047-06-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383XSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63514 | PA      | $61133.07     | 0.04%             | 2053-04-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381JZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1916669 | PA      | $144678.77    | 0.10%             | 2065-07-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418FKZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340000 | PA      | $341908.29    | 0.23%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137H3AM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88715 | PA      | $15138.17     | 0.01%             | 2050-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2022-1                                              | CUSIP: 33845VAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335000 | PA      | $323575.09    | 0.22%             | 2028-03-15      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora              | Chase Mortgage Finance Trust Series 2005-S3                                    | CUSIP: 16162WNQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49567 | PA      | $35285.70     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                        | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    521682 | PA      | $515246.58    | 0.34%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418ESJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751998 | PA      | $751269.14    | 0.50%             | 2043-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1629885 | PA      | $1630799.37   | 1.09%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trus              | CarMax Select Receivables Trust 2025-A                                         | CUSIP: 14319UAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $303045.41    | 0.20%             | 2031-07-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust              | Hyundai Auto Receivables Trust 2024-B                                          | CUSIP: 44934QAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $215134.27    | 0.14%             | 2031-10-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XPND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73616 | PA      | $73780.52     | 0.05%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381HGG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42330 | PA      | $20325.89     | 0.01%             | 2061-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2016-C6 Commercial Mortgage Trust                                        | CUSIP: 12636MAV0<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $85201.60     | 0.06%             | 2049-01-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137HHEW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3851726 | PA      | $173347.30    | 0.12%             | 2054-11-25      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-11                                               | CUSIP: 46654KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1427533 | PA      | $1160798.33   | 0.78%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                  | CUSIP: 46590RAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $714654.82    | 0.48%             | 2049-08-15      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382QAD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1739847 | PA      | $240489.62    | 0.16%             | 2051-03-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-HQA3                                        | CUSIP: 35564KE70<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $754568.55    | 0.50%             | 2042-08-25      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2020-SBT1                                  | CUSIP: 20753VCZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $643250.00    | 0.43%             | 2040-02-25      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R02                                   | CUSIP: 20754GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65000 | PA      | $65162.34     | 0.04%             | 2044-02-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor              | JPMCC Commercial Mortgage Securities Trust 2019-COR4                           | CUSIP: 48128YBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $105733.31    | 0.07%             | 2052-03-10      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382MV97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91133 | PA      | $15634.62     | 0.01%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                        | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395633 | PA      | $364189.34    | 0.24%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2018-2                                               | CUSIP: 89175VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1216969 | PA      | $517315.60    | 0.35%             | 2058-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Gold Pool                                                          | CUSIP: 3128MJ4R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11969 | PA      | $11292.71     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137FYEX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104910 | PA      | $90392.04     | 0.06%             | 2041-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382LTQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122354 | PA      | $15916.93     | 0.01%             | 2050-12-20      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382TM27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80072 | PA      | $14193.32     | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receiva              | AmeriCredit Automobile Receivables Trust 2021-1                                | CUSIP: 03063FAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5523 | PA      | $5506.21      | 0.00%             | 2026-10-19      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Series 2025-R01                                  | CUSIP: 20755JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    865000 | PA      | $844488.69    | 0.56%             | 2045-01-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381ECG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1520000 | PA      | $651664.58    | 0.44%             | 2063-08-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382UYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1170870 | PA      | $177694.67    | 0.12%             | 2051-06-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance P              | Grace Trust 2020-GRCE                                                          | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452000 | PA      | $394181.74    | 0.26%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BK4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106652 | PA      | $12526.06     | 0.01%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                        | CUSIP: 12530MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422742 | PA      | $416194.12    | 0.28%             | 2060-07-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38380REA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2104155 | PA      | $157534.73    | 0.11%             | 2062-12-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418E5P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224983 | PA      | $224587.68    | 0.15%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2016-DC2 Mortgage Trust                                                   | CUSIP: 12594CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $385000.02    | 0.26%             | 2049-02-10      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132E0W57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131571 | PA      | $134014.26    | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XKKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23357 | PA      | $22929.35     | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136B7L58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186916 | PA      | $163693.36    | 0.11%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BTSF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449110 | PA      | $453130.85    | 0.30%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-FTR1                                              | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $444018.46    | 0.30%             | 2048-01-25      | Floating      | 12.82%                | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue              | Multifamily Connecticut Avenue Securities Trust 2019-01                        | CUSIP: 62547NAC3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $433938.99    | 0.29%             | 2049-10-25      | Floating      | 9.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | J.P. Morgan Mortgage Trust 2022-1                                              | CUSIP: 46654WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    769605 | PA      | $626419.78    | 0.42%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                | AGL CLO 32 Ltd                                                                 | CUSIP: 00121BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249995.50    | 0.17%             | 2037-07-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137FYQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512352 | PA      | $83131.40     | 0.06%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136ATEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63817 | PA      | $7480.96      | 0.00%             | 2046-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2017-RPL1 Trust                                                           | CUSIP: 22945AAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945000 | PA      | $481070.02    | 0.32%             | 2057-07-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA4                                        | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    713000 | PA      | $751888.66    | 0.50%             | 2041-12-25      | Floating      | 11.35%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381WS33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27212 | PA      | $24338.47     | 0.02%             | 2049-07-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus              | LSTAR Commercial Mortgage Trust 2017-5                                         | CUSIP: 54910TAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $362011.45    | 0.24%             | 2050-03-10      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo              | Banc of America Alternative Loan Trust 2005-11                                 | CUSIP: 05948KU80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40227 | PA      | $36258.58     | 0.02%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                  | ROCK Trust 2024-CNTR                                                           | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790000 | PA      | $825870.19    | 0.55%             | 2041-11-13      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2024-INV1                                             | CUSIP: 46658PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693607 | PA      | $702326.15    | 0.47%             | 2055-04-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2017-BNK4                                                                 | CUSIP: 06541FBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $78596.96     | 0.05%             | 2050-05-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities               | GS Mortage-Backed Securities Trust 2020-PJ1                                    | CUSIP: 36258FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323350 | PA      | $290312.74    | 0.19%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                  | GLS Auto Receivables Issuer Trust 2024-2                                       | CUSIP: 37964VAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $715073.94    | 0.48%             | 2030-02-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3133KG6R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34345 | PA      | $33527.31     | 0.02%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -16 | NC      | $-21818.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA3                                        | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1104346.36   | 0.74%             | 2041-09-25      | Floating      | 10.60%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381JA72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2262623 | PA      | $218676.67    | 0.15%             | 2066-02-16      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                            | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                        | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $98125.00     | 0.07%             | 2037-05-15      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust              | HarborView Mortgage Loan Trust 2005-2                                          | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67089 | PA      | $63012.02     | 0.04%             | 2035-05-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137H67L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63313 | PA      | $6929.82      | 0.00%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1098834 | PA      | $179167.59    | 0.12%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382VAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113833 | PA      | $17930.45     | 0.01%             | 2051-06-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | BBCMS Mortgage Trust 2024-C24                                                  | CUSIP: 07336VAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $72370.80     | 0.05%             | 2057-02-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance               | Citibank Credit Card Issuance Trust                                            | CUSIP: 17305EGS8<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $297758.70    | 0.20%             | 2030-10-13      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2024-R03                                   | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $394999.45    | 0.26%             | 2044-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382GK68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236881 | PA      | $31284.06     | 0.02%             | 2049-08-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                    | JP Morgan Mortgage Trust 2021-4                                                | CUSIP: 46652VBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    960259 | PA      | $778424.80    | 0.52%             | 2051-08-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1080981 | PA      | $1101440.74   | 0.74%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                 | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-F                      | CUSIP: 59020UNF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62072 | PA      | $53356.15     | 0.04%             | 2029-12-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140M2SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102159 | PA      | $88907.05     | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                               | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    670000 | PA      | $671962.89    | 0.45%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWE58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546961 | PA      | $510640.79    | 0.34%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2020-3                                              | CUSIP: 33844TAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47498 | PA      | $47250.39     | 0.03%             | 2026-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    747300 | PA      | $596659.33    | 0.40%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383XXB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67289 | PA      | $74229.95     | 0.05%             | 2051-09-20      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 31334XTG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13917 | PA      | $12248.63     | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust               | Agate Bay Mortgage Trust 2015-5                                                | CUSIP: 00842BAV9<br>LEI: 549300RM62GNIVQ1WJ04 | Long             | ABS-MBS          | CORP              | US        |     34214 | PA      | $27975.62     | 0.02%             | 2045-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137F9Y54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64467 | PA      | $11251.98     | 0.01%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR Trust 2019-FTR4                                              | CUSIP: 35565GAE7<br>LEI: 549300K0XW5MBR2WNZ55 | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $430550.00    | 0.29%             | 2047-11-25      | Floating      | 9.47%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked N              | Ally Bank Auto Credit-Linked Notes Series 2024-B                               | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    644350 | PA      | $643322.02    | 0.43%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                  | Flagship Credit Auto Trust 2021-4                                              | CUSIP: 33845AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40000 | PA      | $39551.46     | 0.03%             | 2027-12-15      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue              | Multifamily Connecticut Avenue Securities Trust 2023-01                        | CUSIP: 62548NAB4<br>LEI: 254900JAK6X5OPMD5925 | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $626374.39    | 0.42%             | 2053-11-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2024-CES6                                            | CUSIP: 891947AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $269416.94    | 0.18%             | 2064-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| SILVER POINT SCF CLO LTD                    | Silver Point Scf Clo IV Ltd                                                    | CUSIP: 82809JAE9<br>LEI: 549300JT1NOSMVUW1B50 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251355.00    | 0.17%             | 2036-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382KAZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141658 | PA      | $20596.74     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Tru              | Provident Funding Mortgage Trust 2021-INV1                                     | CUSIP: 74387VAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607390 | PA      | $495962.23    | 0.33%             | 2051-08-25      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B9 Mortgage Trust                                               | CUSIP: 08160JAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $261840.27    | 0.17%             | 2052-03-15      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132DUQT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1252734 | PA      | $1250939.17   | 0.84%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                             | Fannie Mae Interest Strip                                                      | CUSIP: 31424UWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802031 | PA      | $192042.95    | 0.13%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2018-B1 Mortgage Trust                                               | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    649000 | PA      | $561492.21    | 0.37%             | 2051-01-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382CDW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124121 | PA      | $1134.40      | 0.00%             | 2050-01-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                  | LAD Auto Receivables Trust 2024-1                                              | CUSIP: 501689AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102441.83    | 0.07%             | 2031-06-16      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38384A3B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    740530 | PA      | $118348.32    | 0.08%             | 2050-09-20      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383GSL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246677 | PA      | $206206.08    | 0.14%             | 2052-01-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag              | Wells Fargo Commercial Mortgage Trust 2017-C40                                 | CUSIP: 95000YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $558165.41    | 0.37%             | 2050-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2004-AR8 Trust                  | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86027 | PA      | $83289.15     | 0.06%             | 2044-06-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                             | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    884385 | PA      | $783376.44    | 0.52%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136B9ET0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69923 | PA      | $9358.13      | 0.01%             | 2050-02-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                     | Carmax Auto Owner Trust 2024-3                                                 | CUSIP: 14319GAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485000 | PA      | $493869.68    | 0.33%             | 2030-03-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd                         | Great Lakes CLO 2019-1 Ltd                                                     | CUSIP: 390578AT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    340000 | PA      | $337343.58    | 0.23%             | 2037-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38384ABU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180205 | PA      | $165350.68    | 0.11%             | 2050-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2021-NQM4                                                                 | CUSIP: 12659PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83108 | PA      | $70757.81     | 0.05%             | 2066-05-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer              | WaMu Mortgage Pass-Through Certificates Series 2004-AR12 Trust                 | CUSIP: 92922FZV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55444 | PA      | $53352.07     | 0.04%             | 2044-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381JBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180000 | PA      | $135346.32    | 0.09%             | 2065-04-16      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382CGQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407777 | PA      | $367603.56    | 0.25%             | 2050-01-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38382VEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379666 | PA      | $2811.28      | 0.00%             | 2051-06-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-HQA4                                        | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $120675.60    | 0.08%             | 2041-12-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA1                                        | CUSIP: 35564KQY8<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | CORP              | US        |     70000 | PA      | $71482.61     | 0.05%             | 2042-01-25      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90512 | PA      | $18782.18     | 0.01%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137HKWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1488204.30   | 0.99%             | 2055-04-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                | GS Mortgage Securities Trust 2015-GC30                                         | CUSIP: 36250GAX3<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $309009.49    | 0.21%             | 2050-05-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd              | Golub Capital Partners CLO 78M                                                 | CUSIP: 381934AC2<br>LEI: 254900PSE4IZIZUH7U62 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $394847.20    | 0.26%             | 2039-04-21      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2017-C7                             | CUSIP: 46648KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $78443.24     | 0.05%             | 2050-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B16 Mortgage Trust                                              | CUSIP: 08161NAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $390860.54    | 0.26%             | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                   | CIM Trust 2021-J2                                                              | CUSIP: 12564ECM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1573729 | PA      | $20408.27     | 0.01%             | 2051-04-25      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus              | CSAIL 2015-C1 Commercial Mortgage Trust                                        | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    233000 | PA      | $211564.00    | 0.14%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                   | Towd Point Mortgage Trust 2019-1                                               | CUSIP: 89177BAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815000 | PA      | $618482.47    | 0.41%             | 2058-03-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                          | BX Trust 2019-OC11                                                             | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $463670.80    | 0.31%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                | Hilton Grand Vacations Trust 2019-A                                            | CUSIP: 43284HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28605 | PA      | $28052.64     | 0.02%             | 2033-07-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XM3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131022 | PA      | $133993.61    | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                        | Bank 2019-BNK19                                                                | CUSIP: 06540WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1215000 | PA      | $900715.71    | 0.60%             | 2061-08-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| NYT Mortgage Trust                          | BF 2019-NYT Mortgage Trust                                                     | CUSIP: 62954PAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465000 | PA      | $409619.06    | 0.27%             | 2035-12-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2019-BNK20                                                                | CUSIP: 06540AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $77781.69     | 0.05%             | 2062-09-15      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivable              | Westlake Automobile Receivables Trust 2024-3                                   | CUSIP: 96043CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $400233.04    | 0.27%             | 2030-04-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XQAF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5458594 | PA      | $4334556.72   | 2.89%             | 2052-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XQDL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565191 | PA      | $567689.14    | 0.38%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu              | JPMDB Commercial Mortgage Securities Trust 2017-C5                             | CUSIP: 46590TAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035000 | PA      | $833438.61    | 0.56%             | 2050-03-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132E0MH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292930 | PA      | $299017.29    | 0.20%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2023-R03                                   | CUSIP: 20753AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $369033.00    | 0.25%             | 2043-04-25      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                         | COMM 2014-UBS4 Mortgage Trust                                                  | CUSIP: 12591QAR3<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |      3315 | PA      | $3279.20      | 0.00%             | 2047-08-10      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38384KHH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826384 | PA      | $142569.82    | 0.10%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit               | Freddie Mac Mscr Trust Mn8                                                     | CUSIP: 35563RAB1<br>LEI: 529900XKEN78GROIG538 | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $445939.37    | 0.30%             | 2044-05-25      | Floating      | 8.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1505055 | PA      | $1476964.12   | 0.99%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140JGLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12895 | PA      | $12535.26     | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38381YHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    621613 | PA      | $551156.63    | 0.37%             | 2049-08-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137HHAB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2963620 | PA      | $125399.04    | 0.08%             | 2054-08-25      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2022-CSMO                                         | CUSIP: 05610MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100250.00    | 0.07%             | 2027-06-15      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| DREYFUS TRSY OBLIG CASH M                   | DREYFUS TRSY OBLIG CASH M                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1637958 | NS      | $1637958.20   | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables               | Exeter Automobile Receivables Trust 2022-5                                     | CUSIP: 30167FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $773268.14    | 0.52%             | 2030-04-15      | Fixed         | 10.45%                | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo              | Structured Asset Investment Loan Trust 2004-8                                  | CUSIP: 86358ELQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104024 | PA      | $99194.22     | 0.07%             | 2034-09-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust               | UBS Commercial Mortgage Trust 2018-C9                                          | CUSIP: 90291JBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $266960.66    | 0.18%             | 2051-03-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac Pool                                                               | CUSIP: 3132E0PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87319 | PA      | $89121.87     | 0.06%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                 | Freddie Mac REMICS                                                             | CUSIP: 3137HAYG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116540 | PA      | $98301.45     | 0.07%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2020-HQA1                                        | CUSIP: 35565JBE0<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | CORP              | US        |     85000 | PA      | $91210.07     | 0.06%             | 2050-01-25      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2005-QO3 Trust                                                     | CUSIP: 761118KU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92885 | PA      | $65711.96     | 0.04%             | 2045-10-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                | CUSIP: 3140XMMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55299 | PA      | $56484.01     | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                       | CUSIP: 38383P8S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136947 | PA      | $2863.55      | 0.00%             | 2052-04-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2019-B11 Mortgage Trust                                              | CUSIP: 08162BBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $213414.30    | 0.14%             | 2052-05-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                    | Benchmark 2020-B17 Mortgage Trust                                              | CUSIP: 08162MBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910000 | PA      | $691566.15    | 0.46%             | 2053-03-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2022-DNA3                                        | CUSIP: 35564KVE6<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |    225000 | PA      | $236455.47    | 0.16%             | 2042-04-25      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                            | Freddie Mac Strips                                                             | CUSIP: 3128HVP78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35484 | PA      | $31542.12     | 0.02%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae REMICS                                                              | CUSIP: 3136BBB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8514 | PA      | $6427.30      | 0.00%             | 2050-09-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                     | CF Hippolyta Issuer LLC                                                        | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    438238 | PA      | $412404.11    | 0.28%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                  | BMO 2022-C1 Mortgage Trust                                                     | CUSIP: 05609MCJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $491689.11    | 0.33%             | 2055-02-17      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2021-B                               | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56129 | PA      | $51270.09     | 0.03%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-23

**Name of Applicant:** New York Life Investments Active ETF Trust

**Signature:** Adefolahan Oyefeso

**Name of Signer:** Adefolahan Oyefeso

**Title:** Director and Vice President, IndexIQ