# EDGAR Filing Document

**Accession Number:** 0000917469
**File Stem:** 0001752724-25-139098
**Filing Date:** 2025-6
**Character Count:** 390584
**Document Hash:** 0f82f7745f93aefb5f31303980366097
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-139098.hdr.sgml**: 20250613

**ACCESSION NUMBER**: 0001752724-25-139098

**CONFORMED SUBMISSION TYPE**: NPORT-P/A

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20241231

**FILED AS OF DATE**: 20250613

**DATE AS OF CHANGE**: 20250613

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **CENTRAL INDEX KEY:** 0000917469

**ORGANIZATION NAME:**
- **EIN:** 043219179
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P/A
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08282
- **FILM NUMBER:** 251047633

**BUSINESS ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 617-449-2810

**MAIL ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS II
- **DATE OF NAME CHANGE:** 20031119

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 20031015

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LOOMIS SAYLES FUNDS I
- **DATE OF NAME CHANGE:** 20030718

## Series and Classes Contracts Data

### Loomis Sayles Securitized Asset Fund (Series ID: S000006639)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000018125 | Institutional Class | LSSAX           |

## Nport-Ex

**Portfolio of Investments – as of December 31, 2024 (Unaudited)**

Loomis Sayles Securitized Asset Fund

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Principal** <br>**Amount**<br>| **Description** | **Value (†)** |
| **Bonds and Notes — 89.7% of Net Assets** | **Bonds and Notes — 89.7% of Net Assets** | **Bonds and Notes — 89.7% of Net Assets** |
|  | **ABS Car Loan — 8.5%** | **ABS Car Loan — 8.5%** |
| $2890000 | &nbsp;&nbsp; American Credit Acceptance Receivables Trust, <br> Series 2022-4, Class D, 8.000%, 2/15/2029(a)<br>| &nbsp;&nbsp; $2953994 |
| 725000 | &nbsp;&nbsp; American Credit Acceptance Receivables Trust, <br> Series 2023-4, Class B, 6.630%, 2/14/2028(a)<br>| &nbsp;&nbsp; 730870 |
| 3185000 | &nbsp;&nbsp; AmeriCredit Automobile Receivables Trust, <br> Series 2022-2, Class B, 4.810%, 4/18/2028<br>| &nbsp;&nbsp; 3187003 |
| 3100000 | &nbsp;&nbsp; AmeriCredit Automobile Receivables Trust, <br> Series 2023-2, Class B, 5.840%, 7/18/2029<br>| &nbsp;&nbsp; 3158674 |
| 910000 | &nbsp;&nbsp; AmeriCredit Automobile Receivables Trust, <br> Series 2024-1, Class A3, 5.430%, 1/18/2029<br>| &nbsp;&nbsp; 920263 |
| 3860000 | &nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, <br> Series 2020-2A, Class A, 2.020%, 2/20/2027(a)<br>| &nbsp;&nbsp; 3767389 |
| 4318000 | &nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, <br> Series 2023-5A, Class A, 5.780%, 4/20/2028(a)<br>| &nbsp;&nbsp; 4409960 |
| 1255000 | &nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, <br> Series 2023-8A, Class A, 6.020%, 2/20/2030(a)<br>| &nbsp;&nbsp; 1301171 |
| 2215000 | &nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC, <br> Series 2024-1A, Class A, 5.360%, 6/20/2030(a)<br>| &nbsp;&nbsp; 2252666 |
| 445000 | &nbsp;&nbsp; BofA Auto Trust, Series 2024-1A, Class A3, <br> 5.350%, 11/15/2028(a)<br>| &nbsp;&nbsp; 450599 |
| 815000 | &nbsp;&nbsp; Bridgecrest Lending Auto Securitization Trust, <br> Series 2024-1, Class A3, 5.530%, 1/18/2028<br>| &nbsp;&nbsp; 818200 |
| 1270000 | &nbsp;&nbsp; Bridgecrest Lending Auto Securitization Trust, <br> Series 2024-3, Class A3, 5.340%, 4/17/2028<br>| &nbsp;&nbsp; 1280363 |
| 1485000 | &nbsp;&nbsp; CarMax Auto Owner Trust, Series 2021-1, <br> Class C, 0.940%, 12/15/2026<br>| &nbsp;&nbsp; 1472874 |
| 3030000 | &nbsp;&nbsp; CarMax Auto Owner Trust, Series 2022-3, <br> Class D, 6.200%, 1/16/2029<br>| &nbsp;&nbsp; 3066493 |
| 800000 | &nbsp;&nbsp; CarMax Auto Owner Trust, Series 2023-3, <br> Class C, 5.610%, 2/15/2029<br>| &nbsp;&nbsp; 810580 |
| 2325000 | &nbsp;&nbsp; CarMax Auto Owner Trust, Series 2024-2, <br> Class B, 5.690%, 11/15/2029<br>| &nbsp;&nbsp; 2363783 |
| 591269 | &nbsp;&nbsp; Carvana Auto Receivables Trust, <br> Series 2021-N1, Class C, 1.300%, 1/10/2028<br>| &nbsp;&nbsp; 573074 |
| 4455000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2021-P1, <br> Class C, 1.530%, 3/10/2027<br>| &nbsp;&nbsp; 4283078 |
| 5410000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2021-P2, <br> Class C, 1.600%, 6/10/2027<br>| &nbsp;&nbsp; 5115804 |
| 820000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2022-P3, <br> Class A4, 4.850%, 6/12/2028<br>| &nbsp;&nbsp; 822532 |
| 1991477 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2023-P1, <br> Class A3, 5.980%, 12/10/2027(a)<br>| &nbsp;&nbsp; 2005665 |
| 1605000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2023-P4, <br> Class A4, 6.160%, 9/10/2029(a)<br>| &nbsp;&nbsp; 1657135 |
| 442000 | &nbsp;&nbsp; Carvana Auto Receivables Trust, Series 2024-P1, <br> Class A4, 5.080%, 3/11/2030(a)<br>| &nbsp;&nbsp; 445000 |
| 2800000 | &nbsp;&nbsp; Chase Auto Owner Trust, Series 2024-2A, <br> Class A4, 5.480%, 11/26/2029(a)<br>| &nbsp;&nbsp; 2859224 |
| 2200000 | &nbsp;&nbsp; Chase Auto Owner Trust, Series 2024-4A, <br> Class C, 5.460%, 7/25/2030(a)<br>| &nbsp;&nbsp; 2200403 |
| 3025000 | &nbsp;&nbsp; Citizens Auto Receivables Trust, Series 2023-1, <br> Class A4, 5.780%, 10/15/2030(a)<br>| &nbsp;&nbsp; 3087500 |
| 4270000 | &nbsp;&nbsp; Credit Acceptance Auto Loan Trust, <br> Series 2023-1A, Class B, 7.020%, 5/16/2033(a)<br>| &nbsp;&nbsp; 4365887 |
| 380000 | &nbsp;&nbsp; Credit Acceptance Auto Loan Trust, <br> Series 2023-3A, Class A, 6.390%, 8/15/2033(a)<br>| &nbsp;&nbsp; 386929 |
| 1105000 | &nbsp;&nbsp; Credit Acceptance Auto Loan Trust, <br> Series 2024-1A, Class A, 5.680%, 3/15/2034(a)<br>| &nbsp;&nbsp; 1118997 |
| 790000 | &nbsp;&nbsp; Drive Auto Receivables Trust, Series 2024-2, <br> Class B, 4.520%, 7/16/2029<br>| &nbsp;&nbsp; 784211 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Car Loan — continued** | **ABS Car Loan — continued** |
| $822000 | &nbsp;&nbsp; DT Auto Owner Trust, Series 2023-2A, Class B, <br> 5.410%, 2/15/2029(a)<br>| &nbsp;&nbsp; $823941 |
| 2045000 | &nbsp;&nbsp; Flagship Credit Auto Trust, Series 2023-2, <br> Class B, 5.210%, 5/15/2028(a)<br>| &nbsp;&nbsp; 2048864 |
| 500000 | &nbsp;&nbsp; Ford Credit Auto Owner Trust, Series 2023-2, <br> Class C, 6.160%, 2/15/2036(a)<br>| &nbsp;&nbsp; 515750 |
| 330000 | &nbsp;&nbsp; Ford Credit Floorplan Master Owner Trust A, <br> Series 2023-1, Class C, 5.750%, 5/15/2028(a)<br>| &nbsp;&nbsp; 332304 |
| 1401457 | &nbsp;&nbsp; Foursight Capital Automobile Receivables Trust, <br> Series 2021-2, Class C, 1.570%, 7/15/2027(a)<br>| &nbsp;&nbsp; 1396773 |
| 1750000 | &nbsp;&nbsp; Foursight Capital Automobile Receivables Trust, <br> Series 2023-2, Class B, 6.110%, 11/15/2028(a)<br>| &nbsp;&nbsp; 1777007 |
| 130000 | &nbsp;&nbsp; Foursight Capital Automobile Receivables Trust, <br> Series 2024-1, Class C, 5.770%, 11/15/2029(a)<br>| &nbsp;&nbsp; 131343 |
| 2440000 | &nbsp;&nbsp; GECU Auto Receivables Trust, Series 2023-1A, <br> Class A4, 5.790%, 10/15/2029(a)<br>| &nbsp;&nbsp; 2475470 |
| 510000 | &nbsp;&nbsp; GLS Auto Receivables Issuer Trust, <br> Series 2024-1A, Class A3, 5.400%, 9/15/2027(a)<br>| &nbsp;&nbsp; 511894 |
| 651000 | &nbsp;&nbsp; GLS Auto Receivables Issuer Trust, <br> Series 2024-3A, Class C, 5.210%, 2/18/2031(a)<br>| &nbsp;&nbsp; 651666 |
| 985000 | &nbsp;&nbsp; GLS Auto Select Receivables Trust, <br> Series 2024-3A, Class B, 5.640%, 8/15/2030(a)<br>| &nbsp;&nbsp; 991915 |
| 1695000 | &nbsp;&nbsp; GM Financial Automobile Leasing Trust, <br> Series 2024-1, Class A3, 5.090%, 3/22/2027<br>| &nbsp;&nbsp; 1706992 |
| 1060000 | &nbsp;&nbsp; GM Financial Consumer Automobile <br> Receivables Trust, Series 2024-2, Class A3, <br> 5.100%, 3/16/2029<br>| &nbsp;&nbsp; 1070751 |
| 565000 | &nbsp;&nbsp; Hertz Vehicle Financing III LLC, Series 2023-3A, <br> Class A, 5.940%, 2/25/2028(a)<br>| &nbsp;&nbsp; 574928 |
| 2325000 | &nbsp;&nbsp; Hertz Vehicle Financing III LP, Series 2021-2A, <br> Class A, 1.680%, 12/27/2027(a)<br>| &nbsp;&nbsp; 2184779 |
| 375539 | &nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes, <br> Series 2024-1, Class B1, 6.153%, 5/20/2032(a)<br>| &nbsp;&nbsp; 380829 |
| 4230000 | &nbsp;&nbsp; Hyundai Auto Receivables Trust, Series 2021-C, <br> Class C, 1.660%, 6/15/2028<br>| &nbsp;&nbsp; 4078558 |
| 1635000 | &nbsp;&nbsp; LAD Auto Receivables Trust, Series 2021-1A, <br> Class C, 2.350%, 4/15/2027(a)<br>| &nbsp;&nbsp; 1622685 |
| 2655000 | &nbsp;&nbsp; LAD Auto Receivables Trust, Series 2023-2A, <br> Class A3, 5.420%, 2/15/2028(a)<br>| &nbsp;&nbsp; 2668617 |
| 1035000 | &nbsp;&nbsp; LAD Auto Receivables Trust, Series 2024-2A, <br> Class C, 5.660%, 10/15/2029(a)<br>| &nbsp;&nbsp; 1041993 |
| 340000 | &nbsp;&nbsp; LAD Auto Receivables Trust, Series 2024-3A, <br> Class C, 4.930%, 3/15/2030(a)<br>| &nbsp;&nbsp; 335623 |
| 1789507 | &nbsp;&nbsp; Merchants Fleet Funding LLC, Series 2023-1A, <br> Class A, 7.210%, 5/20/2036(a)<br>| &nbsp;&nbsp; 1811781 |
| 3295000 | &nbsp;&nbsp; NextGear Floorplan Master Owner Trust, <br> Series 2024-2A, Class A2, 4.420%, 9/15/2029(a)<br>| &nbsp;&nbsp; 3268238 |
| 2138370 | &nbsp;&nbsp; Onemain Direct Auto Receivables Trust, <br> Series 2022-1A, Class A2, 30 day USD SOFR <br> Average + 1.600%, 6.198%, 3/14/2029(a)(b)<br>| &nbsp;&nbsp; 2147307 |
| 650000 | &nbsp;&nbsp; Porsche Financial Auto Securitization Trust, <br> Series 2023-2A, Class A3, 5.790%, 1/22/2029(a)<br>| &nbsp;&nbsp; 655531 |
| 2985000 | &nbsp;&nbsp; Prestige Auto Receivables Trust, Series 2023-2A, <br> Class B, 6.640%, 12/15/2027(a)<br>| &nbsp;&nbsp; 3032808 |
| 254102 | &nbsp;&nbsp; Santander Bank Auto Credit-Linked Notes, <br> Series 2022-A, Class B, 5.281%, 5/15/2032(a)<br>| &nbsp;&nbsp; 254154 |
| 15624 | &nbsp;&nbsp; Santander Bank Auto Credit-Linked Notes, <br> Series 2022-B, Class B, 5.721%, 8/16/2032(a)<br>| &nbsp;&nbsp; 15628 |
| 3075000 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2023-2, Class C, 5.470%, 12/16/2030<br>| &nbsp;&nbsp; 3103262 |
| 500000 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2024-2, Class C, 5.840%, 6/17/2030<br>| &nbsp;&nbsp; 509843 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Car Loan — continued** | **ABS Car Loan — continued** |
| $1610000 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2024-3, Class A3, 5.630%, 1/16/2029<br>| &nbsp;&nbsp; $1629592 |
| 395000 | &nbsp;&nbsp; Santander Drive Auto Receivables Trust, <br> Series 2024-5, Class A3, 4.620%, 11/15/2028<br>| &nbsp;&nbsp; 395131 |
| 575000 | &nbsp;&nbsp; SBNA Auto Lease Trust, Series 2024-A, <br> Class A4, 5.240%, 1/22/2029(a)<br>| &nbsp;&nbsp; 579341 |
| 710000 | &nbsp;&nbsp; SBNA Auto Lease Trust, Series 2024-B, <br> Class A4, 5.550%, 12/20/2028(a)<br>| &nbsp;&nbsp; 721708 |
| 200000 | &nbsp;&nbsp; SBNA Auto Receivables Trust, Series 2024-A, <br> Class C, 5.590%, 1/15/2030(a)<br>| &nbsp;&nbsp; 202027 |
| 125000 | &nbsp;&nbsp; SFS Auto Receivables Securitization Trust, <br> Series 2023-1A, Class C, 5.970%, 2/20/2031(a)<br>| &nbsp;&nbsp; 127842 |
| 1630000 | &nbsp;&nbsp; Tesla Electric Vehicle Trust, Series 2023-1, <br> Class B, 5.820%, 5/20/2031(a)<br>| &nbsp;&nbsp; 1648175 |
| 3605000 | &nbsp;&nbsp; VStrong Auto Receivables Trust, Series 2023-A, <br> Class C, 8.040%, 2/15/2030(a)<br>| &nbsp;&nbsp; 3839884 |
| 105000 | &nbsp;&nbsp; VStrong Auto Receivables Trust, Series 2024-A, <br> Class B, 5.770%, 7/15/2030(a)<br>| &nbsp;&nbsp; 106284 |
| 3475000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2022-3A, Class B, 5.990%, 12/15/2027(a)<br>| &nbsp;&nbsp; 3484635 |
| 1640000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2024-1A, Class B, 5.550%, 11/15/2027(a)<br>| &nbsp;&nbsp; 1653707 |
| 1230000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2024-2A, Class B, 5.620%, 3/15/2030(a)<br>| &nbsp;&nbsp; 1243365 |
| 1520000 | &nbsp;&nbsp; Westlake Automobile Receivables Trust, <br> Series 2024-3A, Class A3, 4.710%, 4/17/2028(a)<br>| &nbsp;&nbsp; 1521826 |
| 1680112 | &nbsp;&nbsp; Wheels Fleet Lease Funding 1 LLC, <br> Series 2023-1A, Class A, 5.800%, 4/18/2038(a)<br>| &nbsp;&nbsp; 1689084 |
| 1170000 | &nbsp;&nbsp; Wheels Fleet Lease Funding 1 LLC, <br> Series 2024-2A, Class A1, 4.870%, 6/21/2039(a)<br>| &nbsp;&nbsp; 1174008 |
| 1980000 | &nbsp;&nbsp; World Omni Auto Receivables Trust, <br> Series 2021-A, Class C, 0.890%, 8/16/2027<br>| &nbsp;&nbsp; 1970029 |
| 2610000 | &nbsp;&nbsp; World Omni Auto Receivables Trust, <br> Series 2021-B, Class C, 1.290%, 12/15/2027<br>| &nbsp;&nbsp; 2560980 |
| 500000 | &nbsp;&nbsp; World Omni Automobile Lease Securitization <br> Trust, Series 2023-A, Class A4, 5.040%, 7/17/2028<br>| &nbsp;&nbsp; 501765 |
|  |  | &nbsp;&nbsp; 129820938 |
|  | **ABS Credit Card — 0.8%** | **ABS Credit Card — 0.8%** |
| 3700000 | &nbsp;&nbsp; Mercury Financial Credit Card Master Trust, <br> Series 2023-1A, Class A, 8.040%, 9/20/2027(a)<br>| &nbsp;&nbsp; 3699266 |
| 1370000 | &nbsp;&nbsp; Mercury Financial Credit Card Master Trust, <br> Series 2024-2A, Class A, 6.560%, 7/20/2029(a)<br>| &nbsp;&nbsp; 1387069 |
| 595000 | &nbsp;&nbsp; Mission Lane Credit Card Master Trust, <br> Series 2023-A, Class A, 7.230%, 7/17/2028(a)<br>| &nbsp;&nbsp; 598501 |
| 2815000 | &nbsp;&nbsp; Mission Lane Credit Card Master Trust, <br> Series 2024-A, Class A1, 6.200%, 8/15/2029(a)<br>| &nbsp;&nbsp; 2831168 |
| 1920000 | &nbsp;&nbsp; Mission Lane Credit Card Master Trust, <br> Series 2024-B, Class A, 5.880%, 1/15/2030(a)<br>| &nbsp;&nbsp; 1923049 |
| 1395000 | &nbsp;&nbsp; Synchrony Card Funding LLC, Series 2024-A1, <br> Class A, 5.040%, 3/15/2030<br>| &nbsp;&nbsp; 1405335 |
| 1040000 | &nbsp;&nbsp; World Financial Network Credit Card Master <br> Trust, Series 2024-A, Class A, 5.470%, 2/15/2031<br>| &nbsp;&nbsp; 1059824 |
|  |  | &nbsp;&nbsp; 12904212 |
|  | **ABS Home Equity — 5.1%** | **ABS Home Equity — 5.1%** |
| 1448850 | &nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc., <br> Series 2019-RP1, Class M2, <br> 4.000%, 1/25/2066(a)(b)<br>| &nbsp;&nbsp; 1300311 |
| 302957 | &nbsp;&nbsp; CoreVest American Finance Ltd., Series 2019-3, <br> Class A, 2.705%, 10/15/2052(a)<br>| &nbsp;&nbsp; 298983 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Home Equity — continued** | **ABS Home Equity — continued** |
| $1314107 | &nbsp;&nbsp; Credit Suisse Mortgage Trust, Series 2021-RPL1, <br> Class A1, 4.068%, 9/27/2060(a)(b)<br>| &nbsp;&nbsp; $1310936 |
| 910000 | &nbsp;&nbsp; FirstKey Homes Trust, Series 2020-SFR1, <br> Class B, 1.740%, 8/17/2037(a)<br>| &nbsp;&nbsp; 890544 |
| 3730000 | &nbsp;&nbsp; FirstKey Homes Trust, Series 2021-SFR1, <br> Class B, 1.788%, 8/17/2038(a)<br>| &nbsp;&nbsp; 3544719 |
| 2495000 | &nbsp;&nbsp; FirstKey Homes Trust, Series 2021-SFR1, Class C, <br> 1.888%, 8/17/2038(a)<br>| &nbsp;&nbsp; 2361856 |
| 5430000 | &nbsp;&nbsp; FirstKey Homes Trust, Series 2021-SFR2, Class C, <br> 1.707%, 9/17/2038(a)<br>| &nbsp;&nbsp; 5114253 |
| 649030 | &nbsp;&nbsp; HarborView Mortgage Loan Trust, Series 2004-3, <br> Class 1A, 5.885%, 5/19/2034(b)(c)<br>| &nbsp;&nbsp; 608680 |
| 1393652 | &nbsp;&nbsp; Home Partners of America Trust, Series 2021-1, <br> Class C, 2.078%, 9/17/2041(a)<br>| &nbsp;&nbsp; 1187274 |
| 8612717 | &nbsp;&nbsp; JP Morgan Mortgage Trust, Series 2017-4, <br> Class AX1, 0.372%, 11/25/2048(a)(b)(c)(d)<br>| &nbsp;&nbsp; 101563 |
| 4515000 | &nbsp;&nbsp; Legacy Mortgage Asset Trust, Series 2020-RPL1, <br> Class A2, 3.250%, 9/25/2059(a)(b)<br>| &nbsp;&nbsp; 4029122 |
| 728900 | &nbsp;&nbsp; Mill City Mortgage Loan Trust, Series 2018-2, <br> Class M1, 3.750%, 5/25/2058(a)(b)<br>| &nbsp;&nbsp; 709881 |
| 415263 | &nbsp;&nbsp; Mill City Mortgage Loan Trust, Series 2018-3, <br> Class A1, 3.500%, 8/25/2058(a)(b)<br>| &nbsp;&nbsp; 407041 |
| 1646967 | &nbsp;&nbsp; Mill City Mortgage Loan Trust, Series 2019-1, <br> Class M1, 3.500%, 10/25/2069(a)(b)<br>| &nbsp;&nbsp; 1536329 |
| 643453 | &nbsp;&nbsp; Mill City Mortgage Loan Trust, <br> Series 2021-NMR1, Class A1, <br> 1.125%, 11/25/2060(a)(b)<br>| &nbsp;&nbsp; 607434 |
| 4006000 | &nbsp;&nbsp; Mill City Mortgage Trust, Series 2015-2, <br> Class B1, 3.733%, 9/25/2057(a)(b)<br>| &nbsp;&nbsp; 3823358 |
| 16231 | &nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust, <br> Series 2005-3AR, Class 5A, <br> 6.310%, 7/25/2035(b)(c)<br>| &nbsp;&nbsp; 13959 |
| 1227598 | &nbsp;&nbsp; NLT Trust, Series 2023-1, Class A1, <br> 3.200%, 10/25/2062(a)(b)<br>| &nbsp;&nbsp; 1124697 |
| 1620000 | &nbsp;&nbsp; NYMT Loan Trust, Series 2024-BPL3, Class A1, <br> 5.268%, 9/25/2039(a)(b)<br>| &nbsp;&nbsp; 1599723 |
| 688497 | &nbsp;&nbsp; NYMT Loan Trust, Series 2024-CP1, Class A1, <br> 3.750%, 2/25/2068(a)(b)<br>| &nbsp;&nbsp; 631574 |
| 134155 | &nbsp;&nbsp; OBX Trust, Series 2018-EXP1, Class 1A3, <br> 4.000%, 4/25/2048(a)(b)<br>| &nbsp;&nbsp; 124349 |
| 41317 | &nbsp;&nbsp; OBX Trust, Series 2019-EXP1, Class 1A3, <br> 4.000%, 1/25/2059(a)(b)<br>| &nbsp;&nbsp; 40504 |
| 2670000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR2, <br> Class C, 1.997%, 4/19/2038(a)<br>| &nbsp;&nbsp; 2577379 |
| 1892000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR3, <br> Class B, 1.888%, 5/17/2026(a)<br>| &nbsp;&nbsp; 1826848 |
| 3450000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR4, <br> Class C, 2.039%, 5/17/2038(a)<br>| &nbsp;&nbsp; 3335693 |
| 830000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR5, <br> Class C, 1.808%, 7/17/2038(a)<br>| &nbsp;&nbsp; 792395 |
| 1715000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR6, <br> Class C, 1.855%, 7/17/2038(a)<br>| &nbsp;&nbsp; 1640795 |
| 5450000 | &nbsp;&nbsp; Progress Residential Trust, Series 2021-SFR9, <br> Class C, 2.362%, 11/17/2040(a)<br>| &nbsp;&nbsp; 4901472 |
| 249632 | &nbsp;&nbsp; PRPM LLC, Series 2023-RCF2, Class A1, <br> 4.000%, 11/25/2053(a)(b)<br>| &nbsp;&nbsp; 243782 |
| 384385 | &nbsp;&nbsp; PRPM LLC, Series 2024-RCF1, Class A1, <br> 4.000%, 1/25/2054(a)(b)<br>| &nbsp;&nbsp; 374529 |
| 1069923 | &nbsp;&nbsp; PRPM LLC, Series 2024-RCF2, Class A1, <br> 3.750%, 3/25/2054(a)(b)<br>| &nbsp;&nbsp; 1034557 |
| 692089 | &nbsp;&nbsp; Redwood Funding Trust, Series 2024-1, Class A, <br> 7.745%, 12/25/2054(a)(b)<br>| &nbsp;&nbsp; 693990 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Home Equity — continued** | **ABS Home Equity — continued** |
| $804 | &nbsp;&nbsp; Residential Accredit Loans, Inc. Trust, <br> Series 2006-QS13, Class 2A1, <br> 5.750%, 9/25/2021(c)<br>| &nbsp;&nbsp; $460 |
| 9312 | &nbsp;&nbsp; Residential Accredit Loans, Inc. Trust, <br> Series 2006-QS18, Class 3A3, <br> 5.750%, 12/25/2021(c)<br>| &nbsp;&nbsp; 4898 |
| 112 | &nbsp;&nbsp; Residential Accredit Loans, Inc. Trust, <br> Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021(c)<br>| &nbsp;&nbsp; — |
| 5570000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2017-3, <br> Class A2, 3.000%, 7/25/2057(a)(b)<br>| &nbsp;&nbsp; 5434319 |
| 4036054 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2017-4, <br> Class A2, 3.000%, 6/25/2057(a)(b)<br>| &nbsp;&nbsp; 3745851 |
| 512759 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2018-3, <br> Class A1, 3.750%, 5/25/2058(a)(b)<br>| &nbsp;&nbsp; 499368 |
| 2325000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2018-4, <br> Class A2, 3.000%, 6/25/2058(a)(b)<br>| &nbsp;&nbsp; 1937749 |
| 5530000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2019-2, <br> Class A2, 3.750%, 12/25/2058(a)(b)<br>| &nbsp;&nbsp; 4933525 |
| 5555000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2020-2, <br> Class A2B, 3.000%, 4/25/2060(a)(b)<br>| &nbsp;&nbsp; 4531027 |
| 5000000 | &nbsp;&nbsp; Towd Point Mortgage Trust, Series 2020-4, <br> Class A2, 2.500%, 10/25/2060(a)<br>| &nbsp;&nbsp; 4023970 |
| 1275000 | &nbsp;&nbsp; Tricon American Homes, Series 2020-SFR1, <br> Class C, 2.249%, 7/17/2038(a)<br>| &nbsp;&nbsp; 1218077 |
| 1673860 | &nbsp;&nbsp; Tricon American Homes Trust, Series 2019-SFR1, <br> Class A, 2.750%, 3/17/2038(a)<br>| &nbsp;&nbsp; 1638505 |
| 1305000 | &nbsp;&nbsp; Tricon American Homes Trust, Series 2020-SFR2, <br> Class B, 1.832%, 11/17/2039(a)<br>| &nbsp;&nbsp; 1196090 |
| 483195 | &nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates <br> Trust, Series 2007-HY2, Class 2A2, <br> 4.987%, 11/25/2036(b)(c)<br>| &nbsp;&nbsp; 409921 |
|  |  | &nbsp;&nbsp; 78362290 |
|  | **ABS Other — 7.0%** | **ABS Other — 7.0%** |
| 3238204 | &nbsp;&nbsp; AASET Ltd., Series 2024-2A, Class A, <br> 5.930%, 9/16/2049(a)<br>| &nbsp;&nbsp; 3219377 |
| 1547056 | &nbsp;&nbsp; AASET Trust, Series 2024-1A, Class A2, <br> 6.261%, 5/16/2049(a)<br>| &nbsp;&nbsp; 1552877 |
| 821403 | &nbsp;&nbsp; Accelerated Assets LLC, Series 2018-1, Class A, <br> 3.870%, 12/02/2033(a)<br>| &nbsp;&nbsp; 806397 |
| 409209 | &nbsp;&nbsp; ACHV ABS Trust, Series 2024-1PL, Class B, <br> 6.340%, 4/25/2031(a)<br>| &nbsp;&nbsp; 413491 |
| 1740000 | &nbsp;&nbsp; Affirm Asset Securitization Trust, Series 2023-B, <br> Class 1A, 6.820%, 9/15/2028(a)<br>| &nbsp;&nbsp; 1764380 |
| 63504 | &nbsp;&nbsp; Affirm Asset Securitization Trust, <br> Series 2023-X1, Class A, 7.110%, 11/15/2028(a)<br>| &nbsp;&nbsp; 63665 |
| 1780000 | &nbsp;&nbsp; Affirm Asset Securitization Trust, Series 2024-A, <br> Class 1A, 5.610%, 2/15/2029(a)<br>| &nbsp;&nbsp; 1795824 |
| 555000 | &nbsp;&nbsp; Affirm Asset Securitization Trust, Series 2024-A, <br> Class A, 5.610%, 2/15/2029(a)<br>| &nbsp;&nbsp; 559158 |
| 3725000 | &nbsp;&nbsp; American Tower Trust #1, 5.490%, 3/15/2053, <br> 144A(a)<br>| &nbsp;&nbsp; 3761253 |
| 3794865 | &nbsp;&nbsp; APL Finance DAC, Series 2023-1A, Class A, <br> 7.000%, 7/21/2031(a)<br>| &nbsp;&nbsp; 3838685 |
| 5151936 | &nbsp;&nbsp; Aqua Finance Trust, Series 2021-A, Class A, <br> 1.540%, 7/17/2046(a)<br>| &nbsp;&nbsp; 4720683 |
| 1866851 | &nbsp;&nbsp; Aqua Finance Trust, Series 2024-A, Class A, <br> 4.810%, 4/18/2050(a)<br>| &nbsp;&nbsp; 1840954 |
| 377927 | &nbsp;&nbsp; Auxilior Term Funding LLC, Series 2023-1A, <br> Class A2, 6.180%, 12/15/2028(a)<br>| &nbsp;&nbsp; 382151 |
| 12676 | &nbsp;&nbsp; BHG Securitization Trust, Series 2022-C, Class A, <br> 5.320%, 10/17/2035(a)<br>| &nbsp;&nbsp; 12676 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Other — continued** | **ABS Other — continued** |
| $1825000 | &nbsp;&nbsp; BHG Securitization Trust, Series 2023-A, Class B, <br> 6.350%, 4/17/2036(a)<br>| &nbsp;&nbsp; $1857397 |
| 369704 | &nbsp;&nbsp; BHG Securitization Trust, Series 2024-1CON, <br> Class A, 5.810%, 4/17/2035(a)<br>| &nbsp;&nbsp; 374778 |
| 2192580 | &nbsp;&nbsp; Business Jet Securities LLC, Series 2024-2A, <br> Class A, 5.364%, 9/15/2039(a)<br>| &nbsp;&nbsp; 2146939 |
| 2386588 | &nbsp;&nbsp; CAL Funding IV Ltd., Series 2020-1A, Class A, <br> 2.220%, 9/25/2045(a)<br>| &nbsp;&nbsp; 2213446 |
| 2309392 | &nbsp;&nbsp; Castlelake Aircraft Structured Trust, <br> Series 2019-1A, Class A, 3.967%, 4/15/2039(a)<br>| &nbsp;&nbsp; 2124792 |
| 149136 | &nbsp;&nbsp; Castlelake Aircraft Structured Trust, <br> Series 2021-1A, Class A, 3.474%, 1/15/2046(a)<br>| &nbsp;&nbsp; 143313 |
| 1657800 | &nbsp;&nbsp; CLI Funding VI LLC, Series 2020-3A, Class A, <br> 2.070%, 10/18/2045(a)<br>| &nbsp;&nbsp; 1523108 |
| 2927312 | &nbsp;&nbsp; Clsec Holdings 22t LLC, Series 2021-1, Class A, <br> 2.868%, 5/11/2037(a)<br>| &nbsp;&nbsp; 2604071 |
| 1765000 | &nbsp;&nbsp; Compass Datacenters Issuer II LLC, <br> Series 2024-2A, Class A1, 5.022%, 8/25/2049(a)<br>| &nbsp;&nbsp; 1733384 |
| 1649684 | &nbsp;&nbsp; Crockett Partners Equipment Co. IIA LLC, <br> Series 2024-1C, Class A, 6.050%, 1/20/2031(a)<br>| &nbsp;&nbsp; 1658652 |
| 1201434 | &nbsp;&nbsp; Elara HGV Timeshare Issuer LLC, Series 2023-A, <br> Class A, 6.160%, 2/25/2038(a)<br>| &nbsp;&nbsp; 1227667 |
| 792667 | &nbsp;&nbsp; EverBright Solar Trust, Series 2024-A, Class A, <br> 6.430%, 6/22/2054(a)<br>| &nbsp;&nbsp; 775461 |
| 435000 | &nbsp;&nbsp; Foundation Finance Trust, Series 2023-2A, <br> Class B, 6.970%, 6/15/2049(a)<br>| &nbsp;&nbsp; 444977 |
| 645000 | &nbsp;&nbsp; Foundation Finance Trust, Series 2024-1A, <br> Class B, 5.950%, 12/15/2049(a)<br>| &nbsp;&nbsp; 649610 |
| 2383000 | &nbsp;&nbsp; Frontier Issuer LLC, Series 2023-1, Class A2, <br> 6.600%, 8/20/2053(a)<br>| &nbsp;&nbsp; 2430698 |
| 1200000 | &nbsp;&nbsp; Frontier Issuer LLC, Series 2024-1, Class A2, <br> 6.190%, 6/20/2054(a)<br>| &nbsp;&nbsp; 1220531 |
| 365000 | &nbsp;&nbsp; GreenSky Home Improvement Issuer Trust, <br> Series 2024-2, Class A4, 5.150%, 10/27/2059(a)<br>| &nbsp;&nbsp; 365651 |
| 1485459 | &nbsp;&nbsp; Hilton Grand Vacations Trust, Series 2020-AA, <br> Class A, 2.740%, 2/25/2039(a)<br>| &nbsp;&nbsp; 1436781 |
| 2362839 | &nbsp;&nbsp; Hilton Grand Vacations Trust, Series 2023-1A, <br> Class A, 5.720%, 1/25/2038(a)<br>| &nbsp;&nbsp; 2388414 |
| 400071 | &nbsp;&nbsp; Hilton Grand Vacations Trust, Series 2024-1B, <br> Class A, 5.750%, 9/15/2039(a)<br>| &nbsp;&nbsp; 402264 |
| 2811258 | &nbsp;&nbsp; Hilton Grand Vacations Trust, Series 2024-2A, <br> Class A, 5.500%, 3/25/2038(a)<br>| &nbsp;&nbsp; 2833447 |
| 408840 | &nbsp;&nbsp; Horizon Aircraft Finance II Ltd., Series 2019-1, <br> Class A, 3.721%, 7/15/2039(a)<br>| &nbsp;&nbsp; 389017 |
| 1121788 | &nbsp;&nbsp; Kestrel Aircraft Funding Ltd., Series 2018-1A, <br> Class A, 4.250%, 12/15/2038(a)<br>| &nbsp;&nbsp; 1102841 |
| 1574535 | &nbsp;&nbsp; MACH 1 Cayman Ltd., Series 2019-1, Class A, <br> 3.474%, 10/15/2039(a)<br>| &nbsp;&nbsp; 1512404 |
| 238758 | &nbsp;&nbsp; MAPS Ltd., Series 2018-1A, Class A, <br> 4.212%, 5/15/2043(a)<br>| &nbsp;&nbsp; 237443 |
| 432455 | &nbsp;&nbsp; MAPS Trust, Series 2021-1A, Class A, <br> 2.521%, 6/15/2046(a)<br>| &nbsp;&nbsp; 398917 |
| 740000 | &nbsp;&nbsp; Mariner Finance Issuance Trust, <br> Series 2024-AA, Class B, 5.680%, 9/22/2036(a)<br>| &nbsp;&nbsp; 746617 |
| 215000 | &nbsp;&nbsp; Marlette Funding Trust, Series 2024-1A, Class B, <br> 6.070%, 7/17/2034(a)<br>| &nbsp;&nbsp; 217455 |
| 305000 | &nbsp;&nbsp; MMAF Equipment Finance LLC, Series 2020-A, <br> Class A5, 1.560%, 10/09/2042(a)<br>| &nbsp;&nbsp; 281518 |
| 418990 | &nbsp;&nbsp; Mosaic Solar Loan Trust, Series 2024-1A, <br> Class A, 5.500%, 9/20/2049(a)<br>| &nbsp;&nbsp; 407615 |
| 3079799 | &nbsp;&nbsp; Mosaic Solar Loan Trust, Series 2024-2A, Class <br> A, 5.600%, 4/22/2052(a)<br>| &nbsp;&nbsp; 2980725 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Other — continued** | **ABS Other — continued** |
| $208433 | &nbsp;&nbsp; MVW LLC, Series 2021-1WA, Class B, <br> 1.440%, 1/22/2041(a)<br>| &nbsp;&nbsp; $196730 |
| 1391351 | &nbsp;&nbsp; MVW LLC, Series 2024-2A, Class A, <br> 4.430%, 3/20/2042(a)<br>| &nbsp;&nbsp; 1362354 |
| 580000 | &nbsp;&nbsp; Octane Receivables Trust, Series 2024-2A, Class <br> C, 5.900%, 7/20/2032(a)<br>| &nbsp;&nbsp; 584980 |
| 5400000 | &nbsp;&nbsp; OneMain Financial Issuance Trust, <br> Series 2021-1A, Class B, 1.950%, 6/16/2036(a)<br>| &nbsp;&nbsp; 4913676 |
| 2625000 | &nbsp;&nbsp; OWN Equipment Fund I LLC, Series 2024-2M, <br> Class A, 5.700%, 12/20/2032(a)<br>| &nbsp;&nbsp; 2625935 |
| 690000 | &nbsp;&nbsp; Regional Management Issuance Trust, <br> Series 2024-1, Class A, 5.830%, 7/15/2036(a)<br>| &nbsp;&nbsp; 704166 |
| 400000 | &nbsp;&nbsp; Regional Management Issuance Trust, <br> Series 2024-2, Class C, 5.740%, 12/15/2033(a)<br>| &nbsp;&nbsp; 401200 |
| 2745000 | &nbsp;&nbsp; Republic Finance Issuance Trust, Series 2021-A, <br> Class B, 2.800%, 12/22/2031(a)<br>| &nbsp;&nbsp; 2643037 |
| 1055000 | &nbsp;&nbsp; Republic Finance Issuance Trust, Series 2024-A, <br> Class A, 5.910%, 8/20/2032(a)<br>| &nbsp;&nbsp; 1065342 |
| 585000 | &nbsp;&nbsp; SCF Equipment Leasing LLC, Series 2024-1A, <br> Class A2, 5.880%, 11/20/2029(a)<br>| &nbsp;&nbsp; 589764 |
| 2385000 | &nbsp;&nbsp; SEB Funding LLC, Series 2024-1A, Class A2, <br> 7.386%, 4/30/2054(a)<br>| &nbsp;&nbsp; 2446900 |
| 185059 | &nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, <br> Series 2020-2A, Class B, 2.320%, 7/20/2037(a)<br>| &nbsp;&nbsp; 183082 |
| 146082 | &nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, <br> Series 2021-1A, Class B, 1.340%, 11/20/2037(a)<br>| &nbsp;&nbsp; 141572 |
| 445877 | &nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, <br> Series 2023-1A, Class A, 5.200%, 1/20/2040(a)<br>| &nbsp;&nbsp; 443909 |
| 1116601 | &nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, <br> Series 2024-3A, Class A, 4.830%, 8/20/2041(a)<br>| &nbsp;&nbsp; 1104820 |
| 2503746 | &nbsp;&nbsp; Slam Ltd., Series 2021-1A, Class A, <br> 2.434%, 6/15/2046(a)<br>| &nbsp;&nbsp; 2281446 |
| 1810850 | &nbsp;&nbsp; Slam Ltd., Series 2024-1A, Class A, <br> 5.335%, 9/15/2049(a)<br>| &nbsp;&nbsp; 1771841 |
| 1449546 | &nbsp;&nbsp; SpringCastle America Funding LLC, <br> Series 2020-AA, Class A, 1.970%, 9/25/2037(a)<br>| &nbsp;&nbsp; 1331125 |
| 570114 | &nbsp;&nbsp; Sunbird Engine Finance LLC, Series 2020-1A, <br> Class A, 3.671%, 2/15/2045(a)<br>| &nbsp;&nbsp; 548653 |
| 1045134 | &nbsp;&nbsp; Sunnova Helios XIII Issuer LLC, Series 2024-A, <br> Class A, 5.300%, 2/20/2051(a)<br>| &nbsp;&nbsp; 984763 |
| 694569 | &nbsp;&nbsp; Textainer Marine Containers VII Ltd., <br> Series 2020-1A, Class A, 2.730%, 8/21/2045(a)<br>| &nbsp;&nbsp; 661042 |
| 502190 | &nbsp;&nbsp; TIC Home Improvement Trust, Series 2024-A, <br> Class A, 6.670%, 10/15/2046(a)<br>| &nbsp;&nbsp; 505387 |
| 1395667 | &nbsp;&nbsp; TIF Funding II LLC, Series 2020-1A, Class A, <br> 2.090%, 8/20/2045(a)<br>| &nbsp;&nbsp; 1290186 |
| 618156 | &nbsp;&nbsp; TIF Funding III LLC, Series 2024-1A, Class A, <br> 5.480%, 4/20/2049(a)<br>| &nbsp;&nbsp; 612403 |
| 3860329 | &nbsp;&nbsp; Triumph Rail Holdings LLC, Series 2021-2, <br> Class A, 2.150%, 6/19/2051(a)<br>| &nbsp;&nbsp; 3605142 |
| 1773821 | &nbsp;&nbsp; Volofin Finance DAC, Series 2024-1A, Class A, <br> 5.935%, 6/15/2037(a)<br>| &nbsp;&nbsp; 1775924 |
| 2340994 | &nbsp;&nbsp; WAVE Trust, Series 2017-1A, Class A, <br> 3.844%, 11/15/2042(a)<br>| &nbsp;&nbsp; 2171247 |
| 435440 | &nbsp;&nbsp; Welk Resorts LLC, Series 2019-AA, Class A, <br> 2.800%, 6/15/2038(a)<br>| &nbsp;&nbsp; 434772 |
| 2755308 | &nbsp;&nbsp; Willis Engine Structured Trust V, Series 2020-A, <br> Class A, 3.228%, 3/15/2045(a)<br>| &nbsp;&nbsp; 2536713 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Other — continued** | **ABS Other — continued** |
| $2115592 | &nbsp;&nbsp; Willis Engine Structured Trust VI, Series 2021-A, <br> Class A, 3.104%, 5/15/2046(a)<br>| &nbsp;&nbsp; $1882291 |
| 1795000 | &nbsp;&nbsp; Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, <br> 6.640%, 4/20/2054(a)<br>| &nbsp;&nbsp; 1839516 |
|  |  | &nbsp;&nbsp; 107201422 |
|  | **ABS Residential Mortgage — 0.1%** | **ABS Residential Mortgage — 0.1%** |
| 8980 | &nbsp;&nbsp; Countrywide Asset-Backed Certificates, <br> Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)(c)<br>| &nbsp;&nbsp; 8821 |
| 867125 | &nbsp;&nbsp; GITSIT Mortgage Loan Trust, Series 2024-NPL1, <br> Class A1, 7.466%, 6/25/2054(a)(b)<br>| &nbsp;&nbsp; 872820 |
|  |  | &nbsp;&nbsp; 881641 |
|  | **ABS Student Loan — 2.2%** | **ABS Student Loan — 2.2%** |
| 1826113 | &nbsp;&nbsp; College Ave Student Loans LLC, Series 2024-B, <br> Class A1A, 5.690%, 8/25/2054(a)<br>| &nbsp;&nbsp; 1849597 |
| 388456 | &nbsp;&nbsp; College Avenue Student Loans LLC, <br> Series 2021-A, Class A2, 1.600%, 7/25/2051(a)<br>| &nbsp;&nbsp; 348729 |
| 523154 | &nbsp;&nbsp; Commonbond Student Loan Trust, <br> Series 2020-AGS, Class A, 1.980%, 8/25/2050(a)<br>| &nbsp;&nbsp; 449483 |
| 911066 | &nbsp;&nbsp; Education Funding Trust, Series 2020-A, Class A, <br> 2.790%, 7/25/2041(a)<br>| &nbsp;&nbsp; 838877 |
| 1189028 | &nbsp;&nbsp; Massachusetts Educational Financing Authority, <br> Series 2018-A, Class A, 3.850%, 5/25/2033<br>| &nbsp;&nbsp; 1147640 |
| 648043 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2019-CA, Class A2, 3.130%, 2/15/2068(a)<br>| &nbsp;&nbsp; 632208 |
| 568806 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2019-GA, Class A, 2.400%, 10/15/2068(a)<br>| &nbsp;&nbsp; 544024 |
| 527705 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-BA, Class A2, 2.120%, 1/15/2069(a)<br>| &nbsp;&nbsp; 497005 |
| 894563 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-DA, Class A, 1.690%, 5/15/2069(a)<br>| &nbsp;&nbsp; 827255 |
| 1565000 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-DA, Class B, 3.330%, 5/15/2069(a)<br>| &nbsp;&nbsp; 1317907 |
| 902920 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-GA, Class A, 1.170%, 9/16/2069(a)<br>| &nbsp;&nbsp; 827512 |
| 945000 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2020-HA, Class B, 2.780%, 1/15/2069(a)<br>| &nbsp;&nbsp; 779242 |
| 1080312 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2021-A, Class A, 0.840%, 5/15/2069(a)<br>| &nbsp;&nbsp; 973502 |
| 890201 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2021-BA, Class A, 0.940%, 7/15/2069(a)<br>| &nbsp;&nbsp; 800855 |
| 1324384 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2021-GA, Class A, 1.580%, 4/15/2070(a)<br>| &nbsp;&nbsp; 1169142 |
| 1373661 | &nbsp;&nbsp; Navient Private Education Refi Loan Trust, <br> Series 2023-A, Class A, 5.510%, 10/15/2071(a)<br>| &nbsp;&nbsp; 1377348 |
| 1630000 | &nbsp;&nbsp; Nelnet Student Loan Trust, Series 2021-A, <br> Class B1, 2.850%, 4/20/2062(a)<br>| &nbsp;&nbsp; 1375252 |
| 293000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-A, Class A3, 28 day Auction Rate <br> Security, 7.940%, 6/15/2032(b)<br>| &nbsp;&nbsp; 287797 |
| 54000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-A, Class A4, 28 day Auction Rate <br> Security, 7.890%, 6/15/2032(b)<br>| &nbsp;&nbsp; 53041 |
| 107000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-B, Class A3, 28 day Auction Rate <br> Security, 7.940%, 3/15/2033(b)<br>| &nbsp;&nbsp; 103128 |
| 1598000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-B, Class A4, 28 day Auction Rate <br> Security, 7.940%, 3/15/2033(b)<br>| &nbsp;&nbsp; 1540178 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **ABS Student Loan — continued** | **ABS Student Loan — continued** |
| $160000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-C, Class A3, 28 day Auction Rate <br> Security, 7.952%, 9/15/2032(b)<br>| &nbsp;&nbsp; $160274 |
| 129000 | &nbsp;&nbsp; SLM Private Credit Student Loan Trust, <br> Series 2003-C, Class A4, 28 day Auction Rate <br> Security, 8.060%, 9/15/2032(b)<br>| &nbsp;&nbsp; 129221 |
| 22332 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2016-C, Class A2A, 2.340%, 9/15/2034(a)<br>| &nbsp;&nbsp; 22269 |
| 1297010 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2018-A, Class A2B, 1 mo. USD SOFR + <br> 0.914%, 5.312%, 2/15/2036(a)(b)<br>| &nbsp;&nbsp; 1293847 |
| 115000 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2018-A, Class B, 3.960%, 7/15/2042(a)<br>| &nbsp;&nbsp; 109865 |
| 639543 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2018-B, Class A2A, 3.600%, 1/15/2037(a)<br>| &nbsp;&nbsp; 629196 |
| 1869123 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2018-C, Class A2A, 3.630%, 11/15/2035(a)<br>| &nbsp;&nbsp; 1837883 |
| 5485000 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2019-B, Class B, 3.560%, 6/15/2043(a)<br>| &nbsp;&nbsp; 5115029 |
| 560734 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2021-A, Class APT2, 1.070%, 1/15/2053(a)<br>| &nbsp;&nbsp; 497456 |
| 728647 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2021-D, Class A1A, 1.340%, 3/17/2053(a)<br>| &nbsp;&nbsp; 672938 |
| 1255000 | &nbsp;&nbsp; SMB Private Education Loan Trust, <br> Series 2024-A, Class B, 5.880%, 3/15/2056(a)<br>| &nbsp;&nbsp; 1261486 |
| 150967 | &nbsp;&nbsp; SoFi Professional Loan Program LLC, <br> Series 2017-F, Class A2FX, 2.840%, 1/25/2041(a)<br>| &nbsp;&nbsp; 149254 |
| 2453981 | &nbsp;&nbsp; SoFi Professional Loan Program LLC, <br> Series 2020-A, Class A2FX, 2.540%, 5/15/2046(a)<br>| &nbsp;&nbsp; 2335209 |
| 1397594 | &nbsp;&nbsp; SoFi Professional Loan Program LLC, <br> Series 2021-B, Class AFX, 1.140%, 2/15/2047(a)<br>| &nbsp;&nbsp; 1202925 |
|  |  | &nbsp;&nbsp; 33156574 |
|  | **ABS Whole Business — 0.6%** | **ABS Whole Business — 0.6%** |
| 4801875 | &nbsp;&nbsp; EWC Master Issuer LLC, Series 2022-1A, <br> Class A2, 5.500%, 3/15/2052(a)<br>| &nbsp;&nbsp; 4673324 |
| 476400 | &nbsp;&nbsp; Hardee's Funding LLC, Series 2024-1A, Class A2, <br> 7.253%, 3/20/2054(a)<br>| &nbsp;&nbsp; 486587 |
| 3830400 | &nbsp;&nbsp; Planet Fitness Master Issuer LLC, <br> Series 2019-1A, Class A2, 3.858%, 12/05/2049(a)<br>| &nbsp;&nbsp; 3523116 |
|  |  | &nbsp;&nbsp; 8683027 |
|  | **Agency Commercial Mortgage-Backed Securities — 8.3%** | **Agency Commercial Mortgage-Backed Securities — 8.3%** |
| 4420399 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 3.450%, 5/01/2037<br>| &nbsp;&nbsp; 3845086 |
| 1621383 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 3.700%, 5/01/2037<br>| &nbsp;&nbsp; 1434626 |
| 61253539 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K047, Class X1, 0.086%, 5/25/2025(b)(c)(d)<br>| &nbsp;&nbsp; 13767 |
| 34004440 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K051, Class X1, 0.478%, 9/25/2025(b)(c)(d)<br>| &nbsp;&nbsp; 98573 |
| 15356564 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K052, Class X1, <br> 0.615%, 11/25/2025(b)(c)(d)<br>| &nbsp;&nbsp; 64570 |
| 8972117 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K053, Class X1, <br> 0.862%, 12/25/2025(b)(c)(d)<br>| &nbsp;&nbsp; 55723 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $15060926 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K054, Class X1, 1.138%, 1/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; $140926 |
| 6720256 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K055, Class X1, 1.326%, 3/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 87448 |
| 25398266 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K057, Class X1, 1.149%, 7/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 339920 |
| 7891511 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K058, Class X1, 0.901%, 8/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 93833 |
| 23678602 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K059, Class X1, 0.292%, 9/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 82307 |
| 85909529 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K060, Class X1, <br> 0.054%, 10/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 101516 |
| 18192337 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K103, Class X1, 0.637%, 11/25/2029(b)(d)<br>| &nbsp;&nbsp; 464942 |
| 17394998 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K105, Class X1, 1.520%, 1/25/2030(b)(d)<br>| &nbsp;&nbsp; 1069166 |
| 11410674 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K107, Class X1, 1.589%, 1/25/2030(b)(d)<br>| &nbsp;&nbsp; 737061 |
| 13696565 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K108, Class X1, 1.691%, 3/25/2030(b)(d)<br>| &nbsp;&nbsp; 957650 |
| 14346201 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K117, Class X1, 1.226%, 8/25/2030(b)(d)<br>| &nbsp;&nbsp; 777989 |
| 254280659 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K138, Class X1, 0.148%, 1/25/2032(b)(d)<br>| &nbsp;&nbsp; 2446689 |
| 32659378 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K141, Class X1, 0.305%, 2/25/2032(b)(d)<br>| &nbsp;&nbsp; 621247 |
| 79101481 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K142, Class X1, 0.297%, 3/25/2032(b)(d)<br>| &nbsp;&nbsp; 1452540 |
| 35827176 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K143, Class X1, 0.342%, 4/25/2055(b)(d)<br>| &nbsp;&nbsp; 785740 |
| 45967609 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K144, Class X1, 0.326%, 4/25/2032(b)(d)<br>| &nbsp;&nbsp; 996693 |
| 19746127 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K145, Class X1, 0.316%, 6/25/2055(b)(d)<br>| &nbsp;&nbsp; 415119 |
| 66500323 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K146, Class X1, 0.230%, 6/25/2032(b)(d)<br>| &nbsp;&nbsp; 1085684 |
| 51443605 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K147, Class X1, 0.359%, 6/25/2032(b)(d)<br>| &nbsp;&nbsp; 1245141 |
| 82165684 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K149, Class X1, 0.265%, 8/25/2032(b)(d)<br>| &nbsp;&nbsp; 1583168 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $102970153 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-150, Class X1, 0.310%, 9/25/2032(b)(d)<br>| &nbsp;&nbsp; $2302783 |
| 100000000 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-151, Class XAM, <br> 0.181%, 11/25/2032(b)(d)<br>| &nbsp;&nbsp; 1493340 |
| 3349530 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1513, Class X1, <br> 0.855%, 8/25/2034(b)(c)(d)<br>| &nbsp;&nbsp; 177450 |
| 20562231 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1514, Class X1, 0.576%, 10/25/2034(b)(d)<br>| &nbsp;&nbsp; 806780 |
| 51936490 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1516, Class X1, 1.509%, 5/25/2035(b)(d)<br>| &nbsp;&nbsp; 5720062 |
| 53730865 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1517, Class X1, 1.323%, 7/25/2035(b)(d)<br>| &nbsp;&nbsp; 5051830 |
| 13806871 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K152, Class X1, 0.952%, 1/25/2031(b)(d)<br>| &nbsp;&nbsp; 583859 |
| 95432982 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K-1521, Class X1, 0.979%, 8/25/2036(b)(d)<br>| &nbsp;&nbsp; 7348025 |
| 122257035 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series K157, Class X1, 0.009%, 8/25/2033(b)(d)<br>| &nbsp;&nbsp; 469076 |
| 37653 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KF57, Class A, 30 day USD SOFR Average <br> + 0.654%, 5.320%, 12/25/2028(b)<br>| &nbsp;&nbsp; 37762 |
| 15849 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KF66, Class A, 30 day USD SOFR Average <br> + 0.634%, 5.300%, 7/25/2029(b)<br>| &nbsp;&nbsp; 15881 |
| 18991995 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KS03, Class X, 0.195%, 8/25/2025(b)(c)(d)<br>| &nbsp;&nbsp; 31 |
| 21697547 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily <br> Structured Pass-Through Certificates, <br> Series KW02, Class X1, <br> 0.115%, 12/25/2026(b)(c)(d)<br>| &nbsp;&nbsp; 38111 |
| 5678075 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 4.030%, 10/01/2033<br>| &nbsp;&nbsp; 5276620 |
| 1665000 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 4.090%, 7/01/2034<br>| &nbsp;&nbsp; 1552026 |
| 22945489 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2019-M17, Class X, <br> 0.319%, 8/25/2034(b)(c)(d)<br>| &nbsp;&nbsp; 297594 |
| 13607836 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-M33, Class X, <br> 1.998%, 6/25/2028(b)(d)<br>| &nbsp;&nbsp; 462415 |
| 15985025 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-M37, Class X, <br> 1.021%, 4/25/2032(b)(d)<br>| &nbsp;&nbsp; 631504 |
| 15400908 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-M43, Class X1, <br> 1.897%, 8/25/2034(b)(d)<br>| &nbsp;&nbsp; 951548 |
| 323096372 | &nbsp;&nbsp; FREMF Mortgage Trust, Series 2018-K156, <br> Class X2A, 0.100%, 7/25/2036(a)(d)<br>| &nbsp;&nbsp; 1732055 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $14624936 | &nbsp;&nbsp; FRESB Mortgage Trust, Series 2021-SB90, <br> Class X1, 0.625%, 6/25/2041(b)(c)(d)<br>| &nbsp;&nbsp; $296539 |
| 22852560 | &nbsp;&nbsp; FRESB Mortgage Trust, Series 2021-SB91, <br> Class X1, 0.565%, 8/25/2041(b)(d)<br>| &nbsp;&nbsp; 617188 |
| 88655420 | &nbsp;&nbsp; FRESB Mortgage Trust, Series 2022-SB95, <br> Class X1, 0.002%, 11/25/2041(b)(d)<br>| &nbsp;&nbsp; 1096898 |
| 2803961 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2006-46, 0.489%, 4/16/2046(b)(c)(d)<br>| &nbsp;&nbsp; 27862 |
| 1290853 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2006-51, 0.942%, 8/16/2046(b)(c)(d)<br>| &nbsp;&nbsp; 24645 |
| 3865689 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2008-52, Class E, 6.041%, 8/16/2042(b)<br>| &nbsp;&nbsp; 3916337 |
| 3702488 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2009-114, 0.000%, 10/16/2049(b)(c)(d)<br>| &nbsp;&nbsp; 291 |
| 1577910 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-124, 1.015%, 12/16/2052(b)(c)(d)<br>| &nbsp;&nbsp; 23613 |
| 219635 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-49, Class IA, <br> 1.450%, 10/16/2052(b)(c)(d)<br>| &nbsp;&nbsp; 8516 |
| 1417151 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-119, 0.153%, 8/16/2051(b)(c)(d)<br>| &nbsp;&nbsp; 1762 |
| 3021866 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-121, Class ZA, 6.500%, 8/16/2051<br>| &nbsp;&nbsp; 3063786 |
| 489862 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-38, 0.530%, 4/16/2053(b)(c)(d)<br>| &nbsp;&nbsp; 3313 |
| 16842126 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-142, 0.172%, 4/16/2054(b)(c)(d)<br>| &nbsp;&nbsp; 42276 |
| 3515914 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-23, 0.239%, 6/16/2053(b)(c)(d)<br>| &nbsp;&nbsp; 22852 |
| 3624904 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-55, 0.000%, 4/16/2052(b)(c)(d)<br>| &nbsp;&nbsp; 35 |
| 4825871 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-79, 0.351%, 3/16/2053(b)(c)(d)<br>| &nbsp;&nbsp; 42526 |
| 18597697 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-85, 0.330%, 9/16/2052(b)(c)(d)<br>| &nbsp;&nbsp; 145066 |
| 738084 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-175, 0.150%, 5/16/2055(b)(c)(d)<br>| &nbsp;&nbsp; 1282 |
| 2062615 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-101, 0.554%, 4/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 29785 |
| 9243597 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-130, Class IB, <br> 0.194%, 8/16/2054(b)(c)(d)<br>| &nbsp;&nbsp; 53135 |
| 6763883 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-24, Class IX, <br> 0.131%, 1/16/2054(b)(c)(d)<br>| &nbsp;&nbsp; 20779 |
| 4557708 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-70, 0.476%, 3/16/2049(b)(c)(d)<br>| &nbsp;&nbsp; 63032 |
| 3231247 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-86, 0.421%, 4/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 36088 |
| 13101536 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-120, 0.602%, 3/16/2057(b)(c)(d)<br>| &nbsp;&nbsp; 256087 |
| 8877435 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-146, Class IB, <br> 0.140%, 7/16/2055(b)(c)(d)<br>| &nbsp;&nbsp; 33683 |
| 5274386 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-171, 0.832%, 11/16/2055(b)(c)(d)<br>| &nbsp;&nbsp; 157134 |
| 5039732 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-189, Class IG, <br> 0.604%, 1/16/2057(b)(c)(d)<br>| &nbsp;&nbsp; 122523 |
| 3218275 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-21, 0.682%, 7/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 87250 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $10589174 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-32, 0.573%, 9/16/2049(b)(c)(d)<br>| &nbsp;&nbsp; $220336 |
| 6732124 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-6, 0.458%, 2/16/2051(b)(c)(d)<br>| &nbsp;&nbsp; 93040 |
| 2579190 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-68, 0.326%, 7/16/2057(b)(c)(d)<br>| &nbsp;&nbsp; 34506 |
| 10640892 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-70, 0.562%, 12/16/2049(b)(c)(d)<br>| &nbsp;&nbsp; 203598 |
| 4575231 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-73, 0.407%, 11/16/2055(b)(c)(d)<br>| &nbsp;&nbsp; 55429 |
| 16089765 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-132, 0.616%, 7/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 345542 |
| 6383372 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-143, 0.947%, 10/16/2056(c)(d)<br>| &nbsp;&nbsp; 309076 |
| 4178676 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-128, 0.977%, 12/16/2056(b)(c)(d)<br>| &nbsp;&nbsp; 218649 |
| 20651883 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-168, 0.553%, 12/16/2059(b)(d)<br>| &nbsp;&nbsp; 734127 |
| 23539648 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-90, 0.723%, 1/16/2059(b)(d)<br>| &nbsp;&nbsp; 954662 |
| 7253529 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-110, 0.602%, 1/16/2060(b)(c)(d)<br>| &nbsp;&nbsp; 280098 |
| 11637256 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-129, 0.619%, 7/16/2060(b)(d)<br>| &nbsp;&nbsp; 453086 |
| 4231663 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-133, 1.101%, 6/16/2058(b)(d)<br>| &nbsp;&nbsp; 267691 |
| 11390870 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-143, 0.499%, 10/16/2060(b)(d)<br>| &nbsp;&nbsp; 558688 |
| 10521267 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-2, 0.705%, 12/16/2059(b)(d)<br>| &nbsp;&nbsp; 450801 |
| 28835257 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-82, 0.463%, 5/16/2058(b)(d)<br>| &nbsp;&nbsp; 859931 |
| 18779884 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-96, 0.461%, 8/16/2060(b)(d)<br>| &nbsp;&nbsp; 588994 |
| 17114143 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-116, 0.622%, 12/16/2061(b)(d)<br>| &nbsp;&nbsp; 766217 |
| 9362024 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-75, 0.854%, 12/16/2060(b)(d)<br>| &nbsp;&nbsp; 554544 |
| 6909404 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-94, 0.955%, 8/16/2061(b)(c)(d)<br>| &nbsp;&nbsp; 418408 |
| 44683039 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-108, 0.847%, 6/16/2062(b)(d)<br>| &nbsp;&nbsp; 2574882 |
| 18700167 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-128, 0.915%, 10/16/2062(b)(d)<br>| &nbsp;&nbsp; 1236089 |
| 31395027 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-130, 1.008%, 8/16/2060(b)(d)<br>| &nbsp;&nbsp; 2177688 |
| 39472447 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-136, 1.015%, 8/16/2062(b)(d)<br>| &nbsp;&nbsp; 2840954 |
| 36515606 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-172, 1.153%, 9/16/2062(b)(d)<br>| &nbsp;&nbsp; 2841195 |
| 15593483 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-174, 0.846%, 1/16/2063(b)(d)<br>| &nbsp;&nbsp; 981271 |
| 35813356 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-179, 1.010%, 9/16/2062(b)(d)<br>| &nbsp;&nbsp; 2347959 |
| 41768712 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-197, 0.949%, 10/16/2062(b)(d)<br>| &nbsp;&nbsp; 2807116 |
| 33874136 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-26, 0.704%, 10/15/2061(b)(d)<br>| &nbsp;&nbsp; 1568312 |
| 8985887 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-10, 0.987%, 5/16/2063(b)(d)<br>| &nbsp;&nbsp; 612110 |
| 40448401 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-106, 0.860%, 4/16/2063(b)(d)<br>| &nbsp;&nbsp; 2585866 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $39744533 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-12, 0.956%, 3/16/2063(b)(d)<br>| &nbsp;&nbsp; $2451642 |
| 43766530 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-128, 0.999%, 6/16/2061(b)(d)<br>| &nbsp;&nbsp; 2837988 |
| 53234108 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-132, Class BI, 0.917%, 4/16/2063(b)(d)<br>| &nbsp;&nbsp; 3608655 |
| 51684347 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-133, 0.881%, 7/16/2063(b)(d)<br>| &nbsp;&nbsp; 3310124 |
| 10972721 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-145, 0.771%, 7/16/2061(b)(d)<br>| &nbsp;&nbsp; 624622 |
| 46914068 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-151, 0.918%, 4/16/2063(b)(d)<br>| &nbsp;&nbsp; 3041814 |
| 49757606 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-163, 0.802%, 3/16/2064(b)(d)<br>| &nbsp;&nbsp; 2878940 |
| 19965043 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-180, 0.914%, 11/16/2063(b)(d)<br>| &nbsp;&nbsp; 1373675 |
| 36590696 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-20, 1.149%, 8/16/2062(b)(d)<br>| &nbsp;&nbsp; 2821911 |
| 33611301 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-33, 0.842%, 10/16/2062(b)(d)<br>| &nbsp;&nbsp; 2136516 |
| 29258384 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-40, 0.822%, 2/16/2063(b)(d)<br>| &nbsp;&nbsp; 1745731 |
| 44841261 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-52, 0.721%, 4/16/2063(b)(d)<br>| &nbsp;&nbsp; 2321024 |
| 27492858 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2022-17, 0.802%, 6/16/2064(b)(d)<br>| &nbsp;&nbsp; 1578060 |
|  |  | &nbsp;&nbsp; 127811726 |
|  | **Collateralized Mortgage Obligations — 13.5%** | **Collateralized Mortgage Obligations — 13.5%** |
| 1261994 | &nbsp;&nbsp; Ajax Mortgage Loan Trust, Series 2019-D, <br> Class A1, 2.956%, 9/25/2065(a)(b)<br>| &nbsp;&nbsp; 1192907 |
| 137365 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., Series 224, <br> 6.000%, 3/01/2033(c)(d)<br>| &nbsp;&nbsp; 17955 |
| 43853 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 2649, Class IM, REMICS, <br> 7.000%, 7/15/2033(c)(d)<br>| &nbsp;&nbsp; 6468 |
| 194064 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3013, Class AS, REMICS, <br> 5.604%, 5/15/2035(b)(c)<br>| &nbsp;&nbsp; 194694 |
| 2038865 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3149, Class LS, REMICS, <br> 2.488%, 5/15/2036(b)(c)(d)<br>| &nbsp;&nbsp; 204859 |
| 601408 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3229, Class BI, REMICS, <br> 1.908%, 10/15/2036(b)(c)(d)<br>| &nbsp;&nbsp; 49591 |
| 682217 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3416, Class BI, REMICS, <br> 1.538%, 2/15/2038(b)(c)(d)<br>| &nbsp;&nbsp; 52719 |
| 215549 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3417, Class VS, REMICS, <br> 4.426%, 2/15/2038(b)(c)<br>| &nbsp;&nbsp; 221626 |
| 202447 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3417, Class WS, REMICS, <br> 5.213%, 2/15/2038(b)(c)<br>| &nbsp;&nbsp; 196153 |
| 748591 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3561, Class W, REMICS, <br> 2.509%, 6/15/2048(b)(d)<br>| &nbsp;&nbsp; 678470 |
| 245151 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3620, Class AT, REMICS, <br> 4.135%, 12/15/2036(b)(c)(d)<br>| &nbsp;&nbsp; 242382 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $821145 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3747, Class CS, REMICS, <br> 1.788%, 10/15/2040(b)(c)(d)<br>| &nbsp;&nbsp; $63057 |
| 183907 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3808, Class SH, REMICS, <br> 0.000%, 2/15/2041(b)(c)<br>| &nbsp;&nbsp; 108975 |
| 794099 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 3922, Class SH, REMICS, <br> 1.188%, 9/15/2041(b)(c)(d)<br>| &nbsp;&nbsp; 57715 |
| 1074614 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4041, Class ES, REMICS, <br> 0.440%, 8/15/2040(b)<br>| &nbsp;&nbsp; 998464 |
| 717137 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4097, Class US, REMICS, <br> 1.438%, 8/15/2032(b)(c)(d)<br>| &nbsp;&nbsp; 37913 |
| 4073736 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4136, Class SG, REMICS, <br> 1.438%, 11/15/2042(b)(c)(d)<br>| &nbsp;&nbsp; 442277 |
| 2105972 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4321, Class BS, REMICS, <br> 1.482%, 6/15/2039(b)(c)(d)<br>| &nbsp;&nbsp; 179829 |
| 1005926 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4512, Class IE, REMICS, <br> 4.500%, 3/15/2044(c)(d)<br>| &nbsp;&nbsp; 178065 |
| 3152837 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4672, Class SP, REMICS, <br> 1.388%, 4/15/2047(b)(c)(d)<br>| &nbsp;&nbsp; 241443 |
| 1208051 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 4749, REMICS, 4.000%, 12/15/2047(c)(d)<br>| &nbsp;&nbsp; 222359 |
| 2600040 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5048, Class HI, REMICS, <br> 4.500%, 1/15/2042(d)<br>| &nbsp;&nbsp; 508143 |
| 6547661 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5065, Class HI, REMICS, <br> 4.793%, 4/15/2042(b)(d)<br>| &nbsp;&nbsp; 1052674 |
| 132054 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5065, Class EI, REMICS, <br> 5.372%, 11/25/2044(b)(d)<br>| &nbsp;&nbsp; 25563 |
| 1166239 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5078, Class MI, REMICS, <br> 4.000%, 9/25/2043(c)(d)<br>| &nbsp;&nbsp; 272361 |
| 14544826 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5094, REMICS, 1.442%, 12/15/2048(b)(d)<br>| &nbsp;&nbsp; 1001187 |
| 275687 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5214, Class BI, REMICS, <br> 0.891%, 4/25/2052(b)(d)<br>| &nbsp;&nbsp; 10560 |
| 22478725 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5407, Class LA, REMICS, <br> 6.000%, 8/25/2050<br>| &nbsp;&nbsp; 22645545 |
| 62368367 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> Series 5457, Class GA, REMICS, <br> 4.500%, 11/25/2050<br>| &nbsp;&nbsp; 61268613 |
| 42280515 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. REMICS, <br> Series 5471, Class DA, REMICS, <br> 5.000%, 8/25/2051<br>| &nbsp;&nbsp; 41825653 |
| 1010252 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured <br> Pass-Through Certificates, Series T-61, <br> Class 1A1, 1 yr. MTA + 1.400%, <br> 6.225%, 7/25/2044(b)<br>| &nbsp;&nbsp; 969463 |
| 549745 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2005-22, Class DG, REMICS, <br> 6.810%, 4/25/2035(b)(c)<br>| &nbsp;&nbsp; 520525 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $699913 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2005-45, Class DA, REMICS, <br> 7.248%, 6/25/2035(b)(c)<br>| &nbsp;&nbsp; $776397 |
| 622998 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2006-46, Class SK, REMICS, <br> 7.028%, 6/25/2036(b)(c)<br>| &nbsp;&nbsp; 700621 |
| 27206 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2006-69, Class KI, REMICS, <br> 2.617%, 8/25/2036(b)(c)(d)<br>| &nbsp;&nbsp; 2623 |
| 178410 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2008-15, Class AS, REMICS, <br> 9.584%, 8/25/2036(b)(c)<br>| &nbsp;&nbsp; 221292 |
| 488039 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2008-86, Class LA, REMICS, <br> 3.489%, 8/25/2038(b)<br>| &nbsp;&nbsp; 467069 |
| 132843 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2008-87, Class LD, REMICS, <br> 3.868%, 11/25/2038(b)(c)<br>| &nbsp;&nbsp; 127032 |
| 505747 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2009-11, Class VP, REMICS, <br> 2.531%, 3/25/2039(b)(c)<br>| &nbsp;&nbsp; 458979 |
| 64158 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2010-75, Class MT, REMICS, <br> 1.429%, 12/25/2039(b)(c)<br>| &nbsp;&nbsp; 56408 |
| 282244 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2011-100, Class SH, REMICS, <br> 3.000%, 11/25/2040(b)<br>| &nbsp;&nbsp; 234851 |
| 2029220 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2011-51, Class SM, REMICS, <br> 1.167%, 6/25/2041(b)(c)(d)<br>| &nbsp;&nbsp; 141951 |
| 1013622 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-14, Class MS, REMICS, <br> 1.817%, 3/25/2042(b)(c)(d)<br>| &nbsp;&nbsp; 112031 |
| 692194 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-21, Class SB, REMICS, <br> 1.267%, 3/25/2042(b)(c)(d)<br>| &nbsp;&nbsp; 49107 |
| 2518191 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2012-97, Class SB, REMICS, <br> 1.317%, 9/25/2042(b)(c)(d)<br>| &nbsp;&nbsp; 204970 |
| 396352 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-109, Class US, REMICS, <br> 0.769%, 7/25/2043(b)(c)<br>| &nbsp;&nbsp; 296074 |
| 1203010 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-117, Class S, REMICS, <br> 1.917%, 11/25/2043(b)(c)(d)<br>| &nbsp;&nbsp; 117877 |
| 1223434 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-34, Class PS, REMICS, <br> 1.467%, 8/25/2042(b)(c)(d)<br>| &nbsp;&nbsp; 87752 |
| 3380947 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2013-66, Class LI, REMICS, <br> 7.000%, 7/25/2043(c)(d)<br>| &nbsp;&nbsp; 434106 |
| 9075483 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2014-15, Class SA, REMICS, <br> 1.367%, 4/25/2044(b)(c)(d)<br>| &nbsp;&nbsp; 704645 |
| 597819 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2014-28, Class SD, REMICS, <br> 1.367%, 5/25/2044(b)(c)(d)<br>| &nbsp;&nbsp; 43994 |
| 295302 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2015-55, Class KT, REMICS, <br> 0.000%, 5/25/2041(b)(c)<br>| &nbsp;&nbsp; 273214 |
| 5664419 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-22, Class ST, REMICS, <br> 1.417%, 4/25/2046(b)(c)(d)<br>| &nbsp;&nbsp; 372988 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $1238832 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-26, Class KL, REMICS, <br> 0.000%, 11/25/2042(b)<br>| &nbsp;&nbsp; $851924 |
| 6008637 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-32, Class SA, REMICS, <br> 1.417%, 10/25/2034(b)(d)<br>| &nbsp;&nbsp; 310869 |
| 7529797 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-60, Class ES, REMICS, <br> 1.417%, 9/25/2046(b)(d)<br>| &nbsp;&nbsp; 382747 |
| 4799964 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-60, Class QS, REMICS, <br> 1.417%, 9/25/2046(b)(d)<br>| &nbsp;&nbsp; 254945 |
| 3046871 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-82, Class SC, REMICS, <br> 1.417%, 11/25/2046(b)(c)(d)<br>| &nbsp;&nbsp; 240526 |
| 3137056 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-82, Class SG, REMICS, <br> 1.417%, 11/25/2046(b)(c)(d)<br>| &nbsp;&nbsp; 196860 |
| 3450498 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2016-93, Class SL, REMICS, <br> 1.967%, 12/25/2046(b)(c)(d)<br>| &nbsp;&nbsp; 231900 |
| 4963975 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2017-26, Class SA, REMICS, <br> 1.467%, 4/25/2047(b)(c)(d)<br>| &nbsp;&nbsp; 251323 |
| 33092944 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2017-57, Class SD, REMICS, <br> 0.000%, 8/25/2047(b)(d)<br>| &nbsp;&nbsp; 934479 |
| 9239537 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-37, Class QI, REMICS, <br> 4.500%, 6/25/2050(d)<br>| &nbsp;&nbsp; 1729909 |
| 2624395 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2020-72, Class LI, REMICS, <br> 5.000%, 12/25/2040(d)<br>| &nbsp;&nbsp; 529513 |
| 13128611 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2021-24, REMICS, 1.105%, 3/25/2059(b)(d)<br>| &nbsp;&nbsp; 765490 |
| 19704737 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 2024-86, Class CA, REMICS, <br> 5.000%, 9/25/2051<br>| &nbsp;&nbsp; 19407570 |
| 182887 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 334, Class 11, 6.000%, 3/25/2033(c)(d)<br>| &nbsp;&nbsp; 22764 |
| 45555 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 334, Class 19, 7.000%, 2/25/2033(b)(c)(d)<br>| &nbsp;&nbsp; 7058 |
| 193461 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 339, Class 13, 6.000%, 6/25/2033(c)(d)<br>| &nbsp;&nbsp; 26535 |
| 124500 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 339, Class 7, 5.500%, 11/25/2033(c)(d)<br>| &nbsp;&nbsp; 16761 |
| 470658 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 356, Class 13, 5.500%, 6/25/2035(c)(d)<br>| &nbsp;&nbsp; 80052 |
| 192334 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 359, Class 17, 6.000%, 7/25/2035(c)(d)<br>| &nbsp;&nbsp; 32745 |
| 108495 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 18, 6.500%, 8/25/2036(c)(d)<br>| &nbsp;&nbsp; 19054 |
| 256214 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 20, 6.500%, 9/25/2036(c)(d)<br>| &nbsp;&nbsp; 46404 |
| 105565 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 22, 7.000%, 10/25/2036(c)(d)<br>| &nbsp;&nbsp; 20989 |
| 117368 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 23, 7.000%, 10/25/2036(c)(d)<br>| &nbsp;&nbsp; 19605 |
| 164658 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 374, Class 24, 7.000%, 6/25/2037(c)(d)<br>| &nbsp;&nbsp; 32545 |
| 143135 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 381, Class 12, 6.000%, 11/25/2035(c)(d)<br>| &nbsp;&nbsp; 22396 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $70892 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 381, Class 13, 6.000%, 11/25/2035(b)(c)(d)<br>| &nbsp;&nbsp; $11265 |
| 95987 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 381, Class 18, 7.000%, 3/25/2037(c)(d)<br>| &nbsp;&nbsp; 16495 |
| 56847 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 381, Class 19, 7.000%, 3/25/2037(b)(c)(d)<br>| &nbsp;&nbsp; 10422 |
| 16709 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 383, Class 32, 6.000%, 1/25/2038(c)(d)<br>| &nbsp;&nbsp; 3014 |
| 509031 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 384, Class 20, 5.500%, 5/25/2036(b)(c)(d)<br>| &nbsp;&nbsp; 82244 |
| 177851 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 384, Class 31, 6.500%, 7/25/2037(c)(d)<br>| &nbsp;&nbsp; 33454 |
| 87441 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 384, Class 36, 7.000%, 7/25/2037(b)(c)(d)<br>| &nbsp;&nbsp; 9920 |
| 115195 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 384, Class 4, 4.500%, 9/25/2036(b)(c)(d)<br>| &nbsp;&nbsp; 7248 |
| 81867 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 385, Class 23, 7.000%, 7/25/2037(c)(d)<br>| &nbsp;&nbsp; 14811 |
| 12689 | &nbsp;&nbsp; Federal National Mortgage Association, <br> Series 386, Class 25, 7.000%, 3/25/2038(b)(c)(d)<br>| &nbsp;&nbsp; 2753 |
| 381544 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2009-65, Class NZ, 5.500%, 8/20/2039(c)<br>| &nbsp;&nbsp; 381710 |
| 48441 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H02, Class FA, 1 mo. USD SOFR + <br> 0.794%, 5.380%, 2/20/2060(b)(c)<br>| &nbsp;&nbsp; 47859 |
| 29669 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H22, Class FE, 1 mo. USD SOFR + <br> 0.464%, 5.117%, 5/20/2059(b)(c)<br>| &nbsp;&nbsp; 29185 |
| 41650 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2010-H24, Class FA, 1 mo. USD SOFR + <br> 0.464%, 5.117%, 10/20/2060(b)(c)<br>| &nbsp;&nbsp; 41104 |
| 57996 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H05, Class FB, 1 mo. USD SOFR + <br> 0.614%, 5.267%, 12/20/2060(b)(c)<br>| &nbsp;&nbsp; 57344 |
| 18678 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H11, Class FA, 1 mo. USD SOFR + <br> 0.614%, 5.267%, 3/20/2061(b)(c)<br>| &nbsp;&nbsp; 18469 |
| 17888 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H21, Class FA, 1 mo. USD SOFR + <br> 0.714%, 5.367%, 10/20/2061(b)(c)<br>| &nbsp;&nbsp; 17709 |
| 34147 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2011-H21, Class FT, 1 yr. CMT + 0.700%, <br> 4.980%, 10/20/2061(b)(c)<br>| &nbsp;&nbsp; 33015 |
| 4124 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H11, Class BA, 2.000%, 5/20/2062(c)<br>| &nbsp;&nbsp; 3665 |
| 301409 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H22, Class HD, <br> 5.310%, 1/20/2061(b)(c)<br>| &nbsp;&nbsp; 297469 |
| 1832 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H24, Class FE, 1 mo. USD SOFR + <br> 0.714%, 4.600%, 10/20/2062(b)(c)<br>| &nbsp;&nbsp; 1808 |
| 108111 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2012-H24, Class HI, <br> 1.232%, 10/20/2062(b)(c)(d)<br>| &nbsp;&nbsp; 7683 |
| 84772 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H01, Class JA, 1 mo. USD SOFR + <br> 0.434%, 5.087%, 1/20/2063(b)(c)<br>| &nbsp;&nbsp; 81832 |
| 27033 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H11, Class JA, 3.500%, 4/20/2063(c)<br>| &nbsp;&nbsp; 25821 |
| 705514 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H13, Class SI, <br> 1.273%, 6/20/2063(b)(c)(d)<br>| &nbsp;&nbsp; 26154 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $1702511 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H16, Class AI, <br> 1.462%, 7/20/2063(b)(c)(d)<br>| &nbsp;&nbsp; $38687 |
| 269977 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H18, Class EI, <br> 2.015%, 7/20/2063(b)(c)(d)<br>| &nbsp;&nbsp; 21717 |
| 228210 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H18, Class JI, <br> 1.305%, 8/20/2063(b)(c)(d)<br>| &nbsp;&nbsp; 4638 |
| 60780 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2013-H20, Class FA, 1 mo. USD SOFR + <br> 0.714%, 5.367%, 8/20/2063(b)(c)<br>| &nbsp;&nbsp; 60170 |
| 1420811 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2014-H24, Class HI, <br> 0.792%, 9/20/2064(b)(c)(d)<br>| &nbsp;&nbsp; 28453 |
| 2636440 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-152, Class PI, <br> 4.000%, 10/20/2045(c)(d)<br>| &nbsp;&nbsp; 418669 |
| 2114017 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H01, Class XZ, 4.388%, 10/20/2064(b)<br>| &nbsp;&nbsp; 2094019 |
| 119468 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H04, Class HA, <br> 3.500%, 11/20/2064(b)(c)<br>| &nbsp;&nbsp; 115712 |
| 549171 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H10, Class JA, 2.250%, 4/20/2065<br>| &nbsp;&nbsp; 535348 |
| 8053 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H13, Class FL, 1 mo. USD SOFR + <br> 0.394%, 5.047%, 5/20/2063(b)(c)<br>| &nbsp;&nbsp; 7669 |
| 6569 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H19, Class FA, 1 mo. USD SOFR + <br> 0.314%, 4.967%, 4/20/2063(b)(c)<br>| &nbsp;&nbsp; 6314 |
| 267685 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H28, Class JZ, <br> 4.808%, 3/20/2065(b)(c)<br>| &nbsp;&nbsp; 258303 |
| 649 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H29, Class FA, 1 mo. USD SOFR + <br> 0.814%, 5.467%, 10/20/2065(b)(c)<br>| &nbsp;&nbsp; 629 |
| 150431 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H29, Class HZ, <br> 4.580%, 9/20/2065(b)(c)<br>| &nbsp;&nbsp; 141346 |
| 2572 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2015-H30, Class FA, 1 mo. USD SOFR + <br> 0.794%, 5.447%, 8/20/2061(b)(c)<br>| &nbsp;&nbsp; 2496 |
| 1444312 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-17, Class GT, 0.000%, 8/20/2045(b)<br>| &nbsp;&nbsp; 1169265 |
| 363460 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-23, Class PA, 5.551%, 7/20/2037(b)(c)<br>| &nbsp;&nbsp; 355269 |
| 7420269 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H01, Class AI, <br> 1.202%, 1/20/2066(b)(c)(d)<br>| &nbsp;&nbsp; 213616 |
| 9584123 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H09, Class JI, <br> 1.793%, 4/20/2066(b)(c)(d)<br>| &nbsp;&nbsp; 336635 |
| 92068 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H14, Class JZ, <br> 4.413%, 8/20/2063(b)(c)<br>| &nbsp;&nbsp; 87314 |
| 28459 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H19, Class CZ, <br> 4.517%, 8/20/2066(b)(c)<br>| &nbsp;&nbsp; 27051 |
| 12801 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2016-H19, Class EZ, <br> 4.900%, 6/20/2061(b)(c)<br>| &nbsp;&nbsp; 11580 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| $3410550 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-26, Class IM, 6.500%, 2/20/2047(c)(d)<br>| &nbsp;&nbsp; $390844 |
| 1294023 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2017-H05, Class AI, <br> 1.634%, 1/20/2067(b)(c)(d)<br>| &nbsp;&nbsp; 53050 |
| 132807 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-H12, Class HZ, <br> 4.646%, 8/20/2068(b)(c)<br>| &nbsp;&nbsp; 122669 |
| 8592852 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2018-H16, Class CZ, 4.265%, 5/20/2068(b)<br>| &nbsp;&nbsp; 7739613 |
| 280000 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-111, Class LP, 3.500%, 9/20/2049(c)<br>| &nbsp;&nbsp; 207327 |
| 324000 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-132, Class LP, 3.500%, 10/20/2049(c)<br>| &nbsp;&nbsp; 238676 |
| 8447001 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-152, Class LI, <br> 1.065%, 2/20/2044(b)(c)(d)<br>| &nbsp;&nbsp; 874382 |
| 1913327 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-44, Class BS, <br> 1.565%, 4/20/2049(b)(c)(d)<br>| &nbsp;&nbsp; 151396 |
| 8116619 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-45, Class FL, 1 mo. USD SOFR + <br> 0.814%, 4.500%, 4/20/2049(b)<br>| &nbsp;&nbsp; 7633297 |
| 8100124 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-70, Class SK, 1.515%, 8/20/2043(b)(d)<br>| &nbsp;&nbsp; 679066 |
| 2254814 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-H02, Class BZ, 4.234%, 1/20/2069(b)<br>| &nbsp;&nbsp; 2022649 |
| 2449527 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2019-H02, Class JA, 3.500%, 12/20/2068<br>| &nbsp;&nbsp; 2299044 |
| 2105149 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-138, Class IL, 3.500%, 9/20/2050, <br> IO(c)(d)<br>| &nbsp;&nbsp; 352310 |
| 9563379 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-148, Class EI, 3.000%, 11/20/2049(d)<br>| &nbsp;&nbsp; 1932002 |
| 4075853 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-148, Class IJ, 3.000%, 6/20/2049(c)(d)<br>| &nbsp;&nbsp; 863551 |
| 19817402 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-34, 5.000%, 12/20/2039(d)<br>| &nbsp;&nbsp; 3709623 |
| 11096300 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2020-47, Class IQ, 3.500%, 3/20/2050(d)<br>| &nbsp;&nbsp; 2440344 |
| 32891391 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-H03, 0.000%, 4/20/2070(b)(c)(d)<br>| &nbsp;&nbsp; 46434 |
| 6191163 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-H08, Class IA, <br> 0.008%, 1/20/2068(b)(c)(d)<br>| &nbsp;&nbsp; 21241 |
| 1246731 | &nbsp;&nbsp; Government National Mortgage Association, <br> Series 2021-H17, 0.058%, 3/20/2070(b)(c)(d)<br>| &nbsp;&nbsp; 16498 |
|  |  | &nbsp;&nbsp; 206998521 |
|  | **Mortgage Related — 35.2%** |  |
| 6982069 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 2.500%, 9/01/2050<br>| &nbsp;&nbsp; 5595555 |
| 1457410 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 2.500%, 10/01/2050<br>| &nbsp;&nbsp; 1167974 |
| 6183295 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 2.500%, 2/01/2052<br>| &nbsp;&nbsp; 5034798 |
| 7710054 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 2.500%, 4/01/2052<br>| &nbsp;&nbsp; 6275560 |
| 7299808 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 3.500%, 6/01/2052<br>| &nbsp;&nbsp; 6461980 |
| 16916601 | &nbsp;&nbsp; Federal Home Loan Mortgage Corp., <br> 4.000%, 9/01/2052<br>| &nbsp;&nbsp; 15495608 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Mortgage Related — continued** |  |
| $1134361 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.000%, 10/01/2050<br>| &nbsp;&nbsp; $862599 |
| 297919 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.000%, 12/01/2050<br>| &nbsp;&nbsp; 226538 |
| 3889022 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 6/01/2050<br>| &nbsp;&nbsp; 3206871 |
| 3715930 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 6/01/2050<br>| &nbsp;&nbsp; 3036175 |
| 3473630 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 6/01/2050<br>| &nbsp;&nbsp; 2852312 |
| 4895932 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 9/01/2050<br>| &nbsp;&nbsp; 4000319 |
| 3784529 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 10/01/2050<br>| &nbsp;&nbsp; 3104051 |
| 9019812 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 1/01/2052<br>| &nbsp;&nbsp; 7364180 |
| 80291997 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 2/01/2052<br>| &nbsp;&nbsp; 65378401 |
| 5074309 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 2/01/2052<br>| &nbsp;&nbsp; 4144483 |
| 1971890 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 7/01/2053<br>| &nbsp;&nbsp; 1607591 |
| 8951901 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 12/01/2061<br>| &nbsp;&nbsp; 7127010 |
| 109168026 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 3/01/2062<br>| &nbsp;&nbsp; 86905549 |
| 41081048 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 3/01/2062<br>| &nbsp;&nbsp; 32701534 |
| 20429249 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 3/01/2062<br>| &nbsp;&nbsp; 16263710 |
| 81255278 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 5/01/2062<br>| &nbsp;&nbsp; 64678208 |
| 13322839 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 2.500%, 12/01/2063<br>| &nbsp;&nbsp; 10544008 |
| 1585871 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 10/01/2047<br>| &nbsp;&nbsp; 1375314 |
| 1927043 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 7/01/2049<br>| &nbsp;&nbsp; 1653569 |
| 32974317 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 2/01/2052<br>| &nbsp;&nbsp; 28304113 |
| 32669711 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 2/01/2052<br>| &nbsp;&nbsp; 28042680 |
| 27413261 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 6/01/2052<br>| &nbsp;&nbsp; 23349962 |
| 3180709 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 6/01/2063<br>| &nbsp;&nbsp; 2649335 |
| 16003817 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.000%, 12/01/2063<br>| &nbsp;&nbsp; 13332551 |
| 35871783 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.500%, 9/01/2062<br>| &nbsp;&nbsp; 31157601 |
| 16971074 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 3.500%, 12/01/2063<br>| &nbsp;&nbsp; 14663453 |
| 451338 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 4.000%, 1/01/2052<br>| &nbsp;&nbsp; 410267 |
| 9768388 | &nbsp;&nbsp; Federal National Mortgage Association, <br> 5.500%, 10/01/2054<br>| &nbsp;&nbsp; 9642970 |
| 8 | &nbsp;&nbsp; Government National Mortgage Association, <br> 5.470%, 11/20/2059(b)<br>| &nbsp;&nbsp; 9 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | **Mortgage Related — continued** |  |
| $10000000 | &nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA, <br> 5.500%, 1/01/2055(e)<br>| &nbsp;&nbsp; $9867485 |
| 21000000 | &nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA, <br> 6.500%, 1/01/2055(e)<br>| &nbsp;&nbsp; 21433125 |
|  |  | &nbsp;&nbsp; 539917448 |
|  | **Non-Agency Commercial Mortgage-Backed** <br> **Securities — 8.4%** | **Non-Agency Commercial Mortgage-Backed** <br> **Securities — 8.4%** |
| 3720000 | &nbsp;&nbsp; Bank, Series 2019-BN20, Class A3, <br> 3.011%, 9/15/2062<br>| &nbsp;&nbsp; 3341215 |
| 3525000 | &nbsp;&nbsp; Bank, Series 2019-BN22, Class A4, <br> 2.978%, 11/15/2062<br>| &nbsp;&nbsp; 3180030 |
| 1770000 | &nbsp;&nbsp; Bank, Series 2020-BN25, Class A5, <br> 2.649%, 1/15/2063<br>| &nbsp;&nbsp; 1564410 |
| 3649000 | &nbsp;&nbsp; Bank, Series 2020-BN26, Class A4, <br> 2.403%, 3/15/2063<br>| &nbsp;&nbsp; 3180003 |
| 785000 | &nbsp;&nbsp; Bank, Series 2020-BN28, Class AS, <br> 2.140%, 3/15/2063<br>| &nbsp;&nbsp; 654033 |
| 5300000 | &nbsp;&nbsp; Bank, Series 2022-BNK39, Class A4, <br> 2.928%, 2/15/2055(b)<br>| &nbsp;&nbsp; 4571170 |
| 1830000 | &nbsp;&nbsp; Bank, Series 2022-BNK42, Class A5, <br> 4.493%, 6/15/2055(b)<br>| &nbsp;&nbsp; 1734726 |
| 1000000 | &nbsp;&nbsp; Bank of America Merrill Lynch Commercial <br> Mortgage Trust, Series 2016-UB10, Class A4, <br> 3.170%, 7/15/2049<br>| &nbsp;&nbsp; 976553 |
| 2140000 | &nbsp;&nbsp; Bank5 Trust, Series 2024-5YR6, Class AS, <br> 6.790%, 5/15/2057(b)<br>| &nbsp;&nbsp; 2240482 |
| 3330000 | &nbsp;&nbsp; Benchmark Mortgage Trust, Series 2019-B10, <br> Class A4, 3.717%, 3/15/2062<br>| &nbsp;&nbsp; 3149538 |
| 5185000 | &nbsp;&nbsp; Benchmark Mortgage Trust, Series 2019-B13, <br> Class A4, 2.952%, 8/15/2057<br>| &nbsp;&nbsp; 4705633 |
| 4970000 | &nbsp;&nbsp; BMO Mortgage Trust, Series 2022-C1, Class A5, <br> 3.374%, 2/15/2055(b)<br>| &nbsp;&nbsp; 4365161 |
| 2235000 | &nbsp;&nbsp; BPR Trust, Series 2022-OANA, Class A, 1 mo. <br> USD SOFR + 1.898%, 6.295%, 4/15/2037(a)(b)<br>| &nbsp;&nbsp; 2243381 |
| 2770000 | &nbsp;&nbsp; BX Commercial Mortgage Trust, <br> Series 2022-AHP, Class B, 1 mo. USD SOFR + <br> 1.840%, 6.237%, 1/17/2039(a)(b)<br>| &nbsp;&nbsp; 2735051 |
| 1485000 | &nbsp;&nbsp; BX Commercial Mortgage Trust, <br> Series 2024-VLT5, Class A, <br> 5.410%, 11/13/2046(a)(b)<br>| &nbsp;&nbsp; 1480742 |
| 510000 | &nbsp;&nbsp; CALI Mortgage Trust, Series 2019-101C, Class A, <br> 3.957%, 3/10/2039(a)<br>| &nbsp;&nbsp; 457571 |
| 1649424 | &nbsp;&nbsp; Commercial Mortgage Pass-Through <br> Certificates, Series 2012-LTRT, Class A2, <br> 3.400%, 10/05/2030(a)<br>| &nbsp;&nbsp; 1558637 |
| 2143262 | &nbsp;&nbsp; Commercial Mortgage Trust, Series 2015-DC1, <br> Class A5, 3.350%, 2/10/2048<br>| &nbsp;&nbsp; 2139893 |
| 199474 | &nbsp;&nbsp; Commercial Mortgage Trust, Series 2016-DC2, <br> Class ASB, 3.550%, 2/10/2049<br>| &nbsp;&nbsp; 198475 |
| 6160000 | &nbsp;&nbsp; Credit Suisse Mortgage Trust, Series 2014-USA, <br> Class A2, 3.953%, 9/15/2037(a)<br>| &nbsp;&nbsp; 5554204 |
| 2110000 | &nbsp;&nbsp; Credit Suisse Mortgage Trust, Series 2014-USA, <br> Class B, 4.185%, 9/15/2037(a)<br>| &nbsp;&nbsp; 1821595 |
| 3600000 | &nbsp;&nbsp; Credit Suisse Mortgage Trust, Series 2014-USA, <br> Class C, 4.336%, 9/15/2037(a)<br>| &nbsp;&nbsp; 2954935 |
| 2405000 | &nbsp;&nbsp; CSAIL Commercial Mortgage Trust, <br> Series 2019-C18, Class A4, 2.968%, 12/15/2052<br>| &nbsp;&nbsp; 2169711 |
| 2520000 | &nbsp;&nbsp; DC Commercial Mortgage Trust, Series 2023-DC, <br> Class A, 6.314%, 9/12/2040(a)<br>| &nbsp;&nbsp; 2583772 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Non-Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Non-Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $5365000 | &nbsp;&nbsp; DROP Mortgage Trust, Series 2021-FILE, Class A, <br> 1 mo. USD SOFR + 1.264%, <br> 5.662%, 10/15/2043(a)(b)<br>| &nbsp;&nbsp; $5090044 |
| 3153231 | &nbsp;&nbsp; Extended Stay America Trust, Series 2021-ESH, <br> Class A, 1 mo. USD SOFR + 1.194%, <br> 5.592%, 7/15/2038(a)(b)<br>| &nbsp;&nbsp; 3155202 |
| 3214886 | &nbsp;&nbsp; Extended Stay America Trust, Series 2021-ESH, <br> Class C, 1 mo. USD SOFR + 1.814%, <br> 6.212%, 7/15/2038(a)(b)<br>| &nbsp;&nbsp; 3218905 |
| 3676207 | &nbsp;&nbsp; GS Mortgage Securities Corp. Trust, <br> Series 2012-BWTR, Class A, <br> 2.954%, 11/05/2034(a)<br>| &nbsp;&nbsp; 2953046 |
| 5775000 | &nbsp;&nbsp; GS Mortgage Securities Corp. Trust, <br> Series 2013-PEMB, Class A, <br> 3.550%, 3/05/2033(a)(b)<br>| &nbsp;&nbsp; 4764571 |
| 520000 | &nbsp;&nbsp; GS Mortgage Securities Corp. Trust, <br> Series 2023-SHIP, Class A, <br> 4.322%, 9/10/2038(a)(b)<br>| &nbsp;&nbsp; 512588 |
| 2000000 | &nbsp;&nbsp; GS Mortgage Securities Trust, <br> Series 2014-GC22, Class AS, 4.113%, 6/10/2047<br>| &nbsp;&nbsp; 1841517 |
| 2373000 | &nbsp;&nbsp; GS Mortgage Securities Trust, <br> Series 2014-GC22, Class C, 4.573%, 6/10/2047(b)<br>| &nbsp;&nbsp; 1429729 |
| 5000000 | &nbsp;&nbsp; GS Mortgage Securities Trust, <br> Series 2019-GSA1, Class A4, 3.048%, 11/10/2052<br>| &nbsp;&nbsp; 4569887 |
| 2555000 | &nbsp;&nbsp; GS Mortgage Securities Trust, <br> Series 2020-GC45, Class A5, 2.911%, 2/13/2053<br>| &nbsp;&nbsp; 2292124 |
| 5885000 | &nbsp;&nbsp; Hudsons Bay Simon JV Trust, Series 2015-HB10, <br> Class A10, 4.155%, 8/05/2034(a)<br>| &nbsp;&nbsp; 5715477 |
| 792510 | &nbsp;&nbsp; JP Morgan Chase Commercial Mortgage <br> Securities Trust, Series 2012-LC9, Class C, <br> 3.567%, 12/15/2047(a)(b)<br>| &nbsp;&nbsp; 737042 |
| 2969000 | &nbsp;&nbsp; JP Morgan Chase Commercial Mortgage <br> Securities Trust, Series 2015-JP1, Class AS, <br> 4.119%, 1/15/2049(b)<br>| &nbsp;&nbsp; 2872726 |
| 730000 | &nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust, <br> Series 2014-C25, Class AS, 4.065%, 11/15/2047<br>| &nbsp;&nbsp; 693493 |
| 450000 | &nbsp;&nbsp; LEX Mortgage Trust, Series 2024-BBG, Class A, <br> 4.874%, 10/13/2033(a)(b)<br>| &nbsp;&nbsp; 442797 |
| 187555 | &nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch <br> Trust, Series 2014-C16, Class B, <br> 4.274%, 6/15/2047(b)<br>| &nbsp;&nbsp; 180052 |
| 413677 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2011-C2, <br> Class D, 5.211%, 6/15/2044(a)(b)<br>| &nbsp;&nbsp; 408714 |
| 3285000 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, <br> Series 2013-ALTM, Class A2, <br> 3.705%, 2/05/2035(a)(b)<br>| &nbsp;&nbsp; 3267494 |
| 5780000 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2019-L3, <br> Class A4, 3.127%, 11/15/2052<br>| &nbsp;&nbsp; 5288485 |
| 2085000 | &nbsp;&nbsp; Morgan Stanley Capital I Trust, Series 2021-L5, <br> Class A4, 2.728%, 5/15/2054<br>| &nbsp;&nbsp; 1807202 |
| 1101373 | &nbsp;&nbsp; MSBAM Commercial Mortgage Securities Trust, <br> Series 2012-CKSV, Class A2, <br> 3.277%, 10/15/2030(a)<br>| &nbsp;&nbsp; 1013263 |
| 495000 | &nbsp;&nbsp; SCOTT Trust, Series 2023-SFS, Class A, <br> 5.910%, 3/10/2040(a)<br>| &nbsp;&nbsp; 502593 |
| 1700120 | &nbsp;&nbsp; Starwood Retail Property Trust, <br> Series 2014-STAR, Class A, Prime + 0.000%, <br> 7.750%, 11/15/2027(a)(b)<br>| &nbsp;&nbsp; 1070120 |
| 6500000 | &nbsp;&nbsp; Starwood Retail Property Trust, <br> Series 2014-STAR, Class B, Prime + 0.000%, <br> 7.750%, 11/15/2027(a)(b)(c)(f)<br>| &nbsp;&nbsp; 3771300 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
|  | &nbsp;&nbsp; **Non-Agency Commercial Mortgage-Backed** <br> **Securities — continued** | &nbsp;&nbsp; **Non-Agency Commercial Mortgage-Backed** <br> **Securities — continued** |
| $540000 | &nbsp;&nbsp; TCO Commercial Mortgage Trust, <br> Series 2024-DPM, Class A, 1 mo. USD SOFR + <br> 1.243%, 5.743%, 12/15/2039(a)(b)<br>| &nbsp;&nbsp; $540089 |
| 1350000 | &nbsp;&nbsp; UBS Commercial Mortgage Trust, <br> Series 2019-C16, Class A4, 3.605%, 4/15/2052<br>| &nbsp;&nbsp; 1255547 |
| 30 | &nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, <br> Series 2015-C29, Class ASB, 3.400%, 6/15/2048<br>| &nbsp;&nbsp; 30 |
| 5000000 | &nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, <br> Series 2018-C48, Class A5, 4.302%, 1/15/2052<br>| &nbsp;&nbsp; 4861775 |
| 5012000 | &nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, <br> Series 2019-C54, Class A4, 3.146%, 12/15/2052<br>| &nbsp;&nbsp; 4562756 |
| 600455 | &nbsp;&nbsp; WFRBS Commercial Mortgage Trust, <br> Series 2013-C15, Class AS, 4.358%, 8/15/2046(b)<br>| &nbsp;&nbsp; 564428 |
|  |  | &nbsp;&nbsp; 128943917 |
|  | &nbsp;&nbsp; Total Bonds and Notes <br>(Identified Cost $1,489,558,956)<br>| &nbsp;&nbsp; 1374681716 |
| **Collateralized Loan Obligations — 5.2%** | **Collateralized Loan Obligations — 5.2%** | **Collateralized Loan Obligations — 5.2%** |
| 2225000 | &nbsp;&nbsp; AGL CLO 12 Ltd., Series 2021-12A, Class B, 3 mo. <br> USD SOFR + 1.862%, 6.479%, 7/20/2034(a)(b)<br>| &nbsp;&nbsp; 2229165 |
| 3000000 | &nbsp;&nbsp; AGL CLO 3 Ltd., Series 2020-3A, Class A, 3 mo. <br> USD SOFR + 1.562%, 6.218%, 1/15/2033(a)(b)<br>| &nbsp;&nbsp; 3003024 |
| 5255000 | &nbsp;&nbsp; Alinea CLO Ltd., Series 2018-1A, Class B, 3 mo. <br> USD SOFR + 1.912%, 6.529%, 7/20/2031(a)(b)<br>| &nbsp;&nbsp; 5264764 |
| 3835000 | &nbsp;&nbsp; Dryden 53 CLO Ltd., Series 2017-53A, Class B, <br> 3 mo. USD SOFR + 1.662%, <br> 6.318%, 1/15/2031(a)(b)<br>| &nbsp;&nbsp; 3845289 |
| 1385000 | &nbsp;&nbsp; Galaxy XXVI CLO Ltd., Series 2018-26A, <br> Class BR, 3 mo. USD SOFR + 1.600%, <br> 6.114%, 11/22/2031(a)(b)<br>| &nbsp;&nbsp; 1387672 |
| 2675000 | &nbsp;&nbsp; Greystone CRE Notes Ltd., Series 2021-HC2, <br> Class A, 1 mo. USD SOFR + 1.914%, <br> 6.312%, 12/15/2039(a)(b)<br>| &nbsp;&nbsp; 2675572 |
| 3005000 | &nbsp;&nbsp; LCM 30 Ltd., Series 30A, Class BR, 3 mo. USD <br> SOFR + 1.762%, 6.379%, 4/20/2031(a)(b)<br>| &nbsp;&nbsp; 3009511 |
| 2075000 | &nbsp;&nbsp; Neuberger Berman CLO XX Ltd., <br> Series 2015-20A, Class BRR, 3 mo. USD SOFR + <br> 1.912%, 6.568%, 7/15/2034(a)(b)<br>| &nbsp;&nbsp; 2077320 |
| 2560000 | &nbsp;&nbsp; Neuberger Berman Loan Advisers CLO 40 Ltd., <br> Series 2021-40A, Class B, 3 mo. USD SOFR + <br> 1.662%, 6.309%, 4/16/2033(a)(b)<br>| &nbsp;&nbsp; 2563692 |
| 5145000 | &nbsp;&nbsp; OCP CLO Ltd., Series 2020-8RA, Class BR, 3 mo. <br> USD SOFR + 1.650%, 6.173%, 10/17/2036(a)(b)<br>| &nbsp;&nbsp; 5145391 |
| 2040000 | &nbsp;&nbsp; Octagon Investment Partners 18-R Ltd., <br> Series 2018-18A, Class A2, 3 mo. USD SOFR + <br> 1.732%, 6.379%, 4/16/2031(a)(b)<br>| &nbsp;&nbsp; 2040940 |
| 4045000 | &nbsp;&nbsp; OHA Credit Funding 2 Ltd., Series 2019-2A, <br> Class BR, 3 mo. USD SOFR + 1.862%, <br> 6.479%, 4/21/2034(a)(b)<br>| &nbsp;&nbsp; 4067644 |
| 3755000 | &nbsp;&nbsp; OHA Credit Funding 2 Ltd., Series 2019-2A, <br> Class B1R2, 3 mo. USD SOFR + <br> 1.550%, 1/21/2038(a)(b)(g)<br>| &nbsp;&nbsp; 3755000 |
| 4205000 | &nbsp;&nbsp; OHA Credit Funding 3 Ltd., Series 2019-3A, <br> Class B1R2, 3 mo. USD SOFR + 1.600%, <br> 6.111%, 1/20/2038(a)(b)<br>| &nbsp;&nbsp; 4223216 |
| 5300000 | &nbsp;&nbsp; OHA Credit Funding 8 Ltd., Series 2021-8A, <br> Class B1, 3 mo. USD SOFR + 1.762%, <br> 6.394%, 1/18/2034(a)(b)<br>| &nbsp;&nbsp; 5328515 |

---

------

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
| $5300000 | &nbsp;&nbsp; OHA Credit Funding 8 Ltd., Series 2021-8A, <br> Class B1R, 3 mo. USD SOFR + <br> 1.550%, 1/20/2038(a)(b)(g)<br>| &nbsp;&nbsp; $5300000 |
| 575000 | &nbsp;&nbsp; Palmer Square CLO Ltd., Series 2015-1A, <br> Class A2R4, 3 mo. USD SOFR + 1.962%, <br> 6.482%, 5/21/2034(a)(b)<br>| &nbsp;&nbsp; 575386 |
| 3800000 | &nbsp;&nbsp; Post CLO Ltd., Series 2022-1A, Class A, 3 mo. <br> USD SOFR + 1.380%, 5.997%, 4/20/2035(a)(b)<br>| &nbsp;&nbsp; 3804780 |
| 1035000 | &nbsp;&nbsp; Recette CLO Ltd., Series 2015-1A, Class BRR, <br> 3 mo. USD SOFR + 1.662%, <br> 6.279%, 4/20/2034(a)(b)<br>| &nbsp;&nbsp; 1035157 |
| 4255000 | &nbsp;&nbsp; Rockford Tower Ltd., Series 2024-2A, Class B, <br> 3 mo. USD SOFR + 1.850%, <br> 6.409%, 10/20/2037(a)(b)<br>| &nbsp;&nbsp; 4270501 |
| 7650000 | &nbsp;&nbsp; Rockland Park CLO Ltd., Series 2021-1A, Class B, <br> 3 mo. USD SOFR + 1.912%, <br> 6.529%, 4/20/2034(a)(b)<br>| &nbsp;&nbsp; 7660978 |
| 5900000 | &nbsp;&nbsp; TICP CLO VII Ltd., Series 2017-7A, Class BR2, <br> 3 mo. USD SOFR + 1.900%, <br> 6.547%, 4/15/2033(a)(b)<br>| &nbsp;&nbsp; 5915747 |
| 1315000 | &nbsp;&nbsp; Voya CLO Ltd., Series 2013-3A, Class A2RR, 3 mo. <br> USD SOFR + 1.961%, 6.594%, 10/18/2031(a)(b)<br>| &nbsp;&nbsp; 1318830 |
|  | &nbsp;&nbsp; Total Collateralized Loan Obligations <br>(Identified Cost $80,170,372)<br>| &nbsp;&nbsp; 80498094 |
| **Loan Participations — 0.1%** | **Loan Participations — 0.1%** | **Loan Participations — 0.1%** |
|  | **ABS Other — 0.1%** | **ABS Other — 0.1%** |
| 1075713 | &nbsp;&nbsp; Harbour Aircraft Investments Ltd., <br> 6.000%, 11/15/2037<br>| &nbsp;&nbsp; 1054159 |
|  | &nbsp;&nbsp; Total Loan Participations <br>(Identified Cost $1,069,840)<br>| &nbsp;&nbsp; 1054159 |

---

---

| | | |
|:---|:---|:---|
| **Principal**<br> **Amount**<br>| **Description** | **Value (†)** |
| **Short-Term Investments — 7.3%** | **Short-Term Investments — 7.3%** | **Short-Term Investments — 7.3%** |
| $96558287 | &nbsp;&nbsp; Tri-Party Repurchase Agreement with Fixed <br> Income Clearing Corporation, dated 12/31/2024 <br> at 2.500% to be repurchased at $96,571,698 on <br> 1/02/2025 collateralized by $77,659,200 <br> U.S. Treasury Inflation Indexed Note, 0.375% due <br> 1/15/2027 valued at $98,489,552 including <br> accrued interest(h)<br>| &nbsp;&nbsp; $96558287 |
| 15000000 | U.S. Treasury Bills, 4.510%, 1/23/2025(i)(j) | &nbsp;&nbsp; 14962858 |
|  | &nbsp;&nbsp; Total Short-Term Investments <br>(Identified Cost $111,516,941)<br>| &nbsp;&nbsp; 111521145 |
|  | &nbsp;&nbsp; Total Investments — 102.3% <br>(Identified Cost $1,682,316,109)<br>| &nbsp;&nbsp; 1567755114 |
|  | Other assets less liabilities — (2.3)% | &nbsp;&nbsp; (35049596)<br>|
|  | Net Assets — 100.0% | &nbsp;&nbsp; $1532705518 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

---

| | |
|:---|:---|
| (†) | &nbsp;&nbsp;&nbsp; Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains <br> readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available <br> are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the <br> Board's oversight. <br>Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment <br> companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures <br> contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most <br> extensively. Shares of open-end investment companies are valued at net asset value ("NAV") per share. <br>Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an <br> independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the <br> market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent <br> pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids <br> furnished by an independent pricing service, if available. <br>Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service <br> or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent <br> pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations <br> where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the <br> investment. <br>The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior <br> to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting <br> of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market <br> disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation designee may, <br> among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related <br> market activity and/or information that occurred after the close of the foreign market but before the time the Fund's NAV is calculated. Fair valuation by <br> the Fund's valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund's NAV <br> may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing <br> may not always result in adjustments to the prices of investments held by a Fund. <br>The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in <br> currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. <br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of these securities are exempt from registration under Rule 144A
 of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
 At December 31, 2024, the value of Rule 144A holdings amounted to $459,869,281 or 30.0% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Variable rate security. Rate as of December 31, 2024 is disclosed. Issuers comprised
 of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted
 average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent
 and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Level 3 security. Value has been determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Interest only security. Security represents right to receive monthly interest payments
 on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) When-issued/delayed delivery. The Fund may enter into when-issued or delayed delivery
 transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed
 delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued
 and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated.
 The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market
 fluctuations during the time before the Fund take delivery of the security. No interest accrues to the Fund until the transaction settles. Delayed delivery
 transactions include those designated as To Be Announced ("TBAs") in the Portfolios of Investments. For TBAs, the actual security that will
 be delivered to fulfill the transaction is not designated at the time of the trade. The security is "to be announced" 48 hours prior to the established trade settlement
 date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the
 other party. The Fund covers its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities.Purchases
 of when-issued or delayed delivery securities may have a similar effect on the Fund's NAV as if the Fund's had created a degree of leverage
 in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the
 transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) New issue unsettled as of December 31, 2024. Coupon rate does not take effect until
 settlement date.

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase
 Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed
 upon price. It is the Fund's policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price,
 including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit
 of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the
 counterparty, including possible delays or restrictions upon the Fund's ability to dispose of the underlying securities. As of December 31, 2024, the
 Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) Security (or a portion thereof) has been pledged as collateral for open derivative
 contracts.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) Interest rate represents discount rate at time of purchase; not a coupon rate.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| ABS | Asset-Backed Securities |
| CMT | Constant Maturity Treasury |
| MTA | Monthly Treasury Average Interest |
| REMICS | Real Estate Mortgage Investment Conduits |
| SLM | Sallie Mae |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |

---

**Futures Contracts**

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| At December 31, 2024, the Fund had the following open long futures contracts: | At December 31, 2024, the Fund had the following open long futures contracts: | At December 31, 2024, the Fund had the following open long futures contracts: | At December 31, 2024, the Fund had the following open long futures contracts: | At December 31, 2024, the Fund had the following open long futures contracts: | At December 31, 2024, the Fund had the following open long futures contracts: |
| **Financial Futures** | &nbsp;&nbsp;&nbsp; **Expiration** <br>**Date**<br>| **Contracts** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| **Value** | &nbsp;&nbsp; **Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| CBOT 10 Year U.S. Treasury Notes Futures | 3/20/2025 | 1556 | &nbsp;&nbsp;&nbsp; $170369626 | &nbsp;&nbsp;&nbsp; $169215000 | &nbsp;&nbsp;&nbsp; $(1154626)<br>|
| CBOT U.S. Long Bond Futures | 3/20/2025 | 133 | &nbsp;&nbsp;&nbsp; 15489576 | &nbsp;&nbsp;&nbsp; 15141219 | &nbsp;&nbsp;&nbsp; (348357)<br>|
| CBOT Ultra Long-Term U.S. Treasury Bond Futures | 3/20/2025 | 69 | &nbsp;&nbsp;&nbsp; 8464441 | &nbsp;&nbsp;&nbsp; 8204531 | &nbsp;&nbsp;&nbsp; (259910)<br>|
| Ultra 10 Year U.S. Treasury Notes Futures | 3/20/2025 | 980 | &nbsp;&nbsp;&nbsp; 110588131 | &nbsp;&nbsp;&nbsp; 109086250 | &nbsp;&nbsp;&nbsp; (1501881)<br>|
| Total |  |  |  |  | &nbsp;&nbsp;&nbsp; $(3264774)<br>|

---

**Fair Value Measurements.**

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of each Fund's assets or liabilities. These inputs are summarized in the three broad levels listed below:

&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — quoted prices in active markets for identical assets or liabilities;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund's own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The Fund's pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.

------

Under certain conditions and based upon specific facts and circumstances, the Fund's valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.

The following is a summary of the inputs used to value the Fund's investments as of December 31, 2024, at value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
| Bonds and Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABS Home Equity | $— | $77222809 | $1139481 | $78362290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABS Residential Mortgage |  | 872820 | 8821 | 881641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Agency Commercial Mortgage-Backed Securities |  | 122541201 | 5270525 | 127811726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations |  | 190300878 | 16697643 | 206998521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-Backed Securities |  | 125172617 | 3771300 | 128943917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; All Other Bonds and Notes(a) |  | 831683621 |  | 831683621 |
| Total Bonds and Notes |  | 1347793946 | 26887770 | 1374681716 |
| Collateralized Loan Obligations |  | 80498094 |  | 80498094 |
| Loan Participations(a) |  | 1054159 |  | 1054159 |
| Short-Term Investments |  | 111521145 |  | 111521145 |
| Total Investments | $— | $1540867344 | $26887770 | $1567755114 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** | **Liability Valuation Inputs** |
| Description | Level 1 | Level 2 | Level 3 | Total |
| Futures Contracts (unrealized depreciation) | $(3264774)<br>| $— | $— | $(3264774)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(a) Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2024 and/or December 31, 2024:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** | **Asset Valuation Inputs** |
| Investments in Securities | Balance as of <br>September 30, <br>2024<br>| Accrued <br>Discounts <br>(Premiums)<br>| Realized <br>Gain (Loss)<br>| Change in <br>Unrealized <br>Appreciation <br>(Depreciation)<br>| Purchases | Sales | Transfers <br>into <br>Level 3<br>| Transfers <br>out of <br>Level 3<br>| Balance as of <br>December 31, <br>2024<br>| Change in <br>Unrealized <br>Appreciation <br>(Depreciation) <br>from <br>Investments <br>Still Held at <br>December 31, <br>2024<br>|
| Bonds and Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; ABS Home Equity | $1235224 | $(8028)<br>| $(2347)<br>| $2901 | $— | $(88269)<br>| $— | $— | $1139481 | $(9545)<br>|
| &nbsp;&nbsp;&nbsp; ABS Residential Mortgage | 9433 |  | 54 | (38)<br>|  | (628)<br>|  |  | 8821 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Agency Commercial Mortgage-Backed <br> Securities<br>| 5707295 | (569356)<br>| (13)<br>| 132599 |  |  |  |  | 5270525 | 132599 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | 16133303 | (441708)<br>| (81153)<br>| (2076466)<br>| 12305 | (329872)<br>| 3481234 |  | 16697643 | (2143845)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage-<br> Backed Securities<br>| 3692000 |  |  | 79300 |  |  |  |  | 3771300 | 79300 |
| Total | $26777255 | $(1019092)<br>| $(83459)<br>| $(1861704)<br>| $12305 | $(418769)<br>| $3481234 | $— | $26887770 | $(1941487)<br>|

---

Debt securities valued at $3,481,234 were transferred from Level 2 to Level 3 during the period ended December 31, 2024. At December 31, 2023, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At December 31, 2024, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the securities.

The significant unobservable inputs used for those securities fair valued by the valuation designee and categorized in Level 3 for Securitized Asset Fund as of December 31, 2024, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>**Description** | &nbsp;&nbsp; **Valuation** <br>**Technique(s)**<br>| **Unobservable Input** | &nbsp;&nbsp; **Unobservable** <br>**Input Value(s)**<br>| **Value** |
| Bonds and Notes | Bonds and Notes | Bonds and Notes | Bonds and Notes | Bonds and Notes |
| ABS Home Equity<sup>1</sup> <br>|  |  | 1.00% | &nbsp;&nbsp; $1120164 |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** |  | &nbsp;&nbsp; **Valuation**<br> **Technique(s)**<br>| **Unobservable Input** | &nbsp;&nbsp; **Unobservable**<br> **Input Value(s)**<br>| **Value** |
|  |  | Market Discount | Discount Rate | 5.00% | &nbsp;&nbsp; $19317 |
|  | ABS Residential Mortgage<sup>1</sup> <br>| Market Discount | Discount Rate | 1.00% | &nbsp;&nbsp; 8821 |
|  | Agency Commercial Mortgage-Backed Securities<sup>1</sup> <br>|  |  | 1.00% | &nbsp;&nbsp; 4944730 |
|  |  | Market Discount | Discount Rate | 3.00% | &nbsp;&nbsp; 325795 |
|  | Collateralized Mortgage Obligations<sup>1</sup> <br>|  |  | 1.00% | &nbsp;&nbsp; 15294923 |
|  |  | Market Discount | Discount Rate | 3.00% | &nbsp;&nbsp; 1402720 |
|  | Non-Agency Commercial Mortgage-Backed Securities<sup>2</sup> <br>| Discounted Cash Flows | Constant Default Rate | 100% |  |
|  |  |  | Loss Severity | 40% |  |
|  |  |  | Lag Time | 21 months |  |
|  |  |  | Loss Adjusted Spread | 10% | &nbsp;&nbsp; 3771300 |
|  | Total |  |  |  | &nbsp;&nbsp; $26887770 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<sup>1</sup> "Odd lot" securities (those with current principal below the normal trading size) are valued using a discount to the "round lot" price for the same security. The significant unobservable input used in the fair value measurement is the discount rate. Discount rates are set at a specific fixed rate depending on the size of the odd lot. A significant change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value measurement, meaning a significant increase in the discount rate would have resulted in a lower fair value measurement, and vice versa. 

<sup>2</sup> Security is valued using a discounted cash flow model. The significant unobservable inputs used in the fair value measurement are the constant default rate, loss severity, lag time, and loss adjusted spread. Significant changes in input values could have a material effect on the fair value measurement. There is an inverse relationship between the loss severity, lag time, and loss adjusted spread and the fair value measurement, meaning a significant increase in any of those input values in isolation would have resulted in a lower fair value measurement, and vice versa. The constant default rate of 100% is based on the fact that the underlying loan is in default. 

**Derivatives**

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include futures contracts.

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund's investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts to gain investment exposure. As of December 31, 2024, the Fund used futures contracts for hedging and duration management.

The following is a summary of derivative instruments for the Fund, as of December 31, 2024:

---

| | |
|:---|:---|
| **Liabilities** | &nbsp;&nbsp; **Unrealized** <br>**depreciation** <br>**on futures** <br>**contracts**<br>|
| Exchange-traded liability derivatives |  |
| &nbsp;&nbsp;&nbsp; Interest rate contracts | &nbsp;&nbsp;&nbsp; $(3264774)<br>|

---

The Fund's derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund's investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Counterparty risk is managed based on policies and procedures established by the Fund's adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange's clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker's customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker's customers, potentially resulting in losses to the Fund.

------

---

| | |
|:---|:---|
| Industry Summary at December 31, 2024 (Unaudited) | Industry Summary at December 31, 2024 (Unaudited) |
| Mortgage Related | 35.2% |
| Collateralized Mortgage Obligations | 13.5 |
| ABS Car Loan | &nbsp;&nbsp;&nbsp; 8.5 |
| Non-Agency Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; 8.4 |
| Agency Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; 8.3 |
| ABS Other | &nbsp;&nbsp;&nbsp; 7.1 |
| ABS Home Equity | &nbsp;&nbsp;&nbsp; 5.1 |
| ABS Student Loan | &nbsp;&nbsp;&nbsp; 2.2 |
| Other Investments, less than 2% each | &nbsp;&nbsp;&nbsp; 1.5 |
| Collateralized Loan Obligations | &nbsp;&nbsp;&nbsp; 5.2 |
| Short-Term Investments | &nbsp;&nbsp;&nbsp; 7.3 |
| Total Investments | 102.3 |
| Other assets less liabilities (including futures contracts) | &nbsp;&nbsp; (2.3) |
| Net Assets | 100.0% |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LOOMIS SAYLES FUNDS I

- **b. Investment Company Act file number:** 811-08282

- **c. CIK number of Registrant:** 0000917469

- **d. LEI of Registrant:** 549300826G7KS737WZ11

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

  - **Street Address 1:** 888 BOYLSTON STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199-8197

  - **Telephone number:** 617-449-2139

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

- **a. Name of Series:** Loomis Sayles Securitized Asset Fund

- **b. EDGAR series identifier (if any):** S000006639

- **c. LEI of Series:** 549300LK4FBVP0RT7L56

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2024-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1574693133.50

**Total Liabilities:** $40586484.08

**Net Assets:** $1534106649.42

**Delayed Delivery Securities:** $31531457.47

**Cash Not Reported:** $2780648.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2141.77000000 | **1-Year:** -41984.24000000 | **5-Year:** -70490.29000000 | **10-Year:** -9491.54000000 | **30-Year:** -22.72000000

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

- **3-Month:** -553.12000000 | **1-Year:** -7452.95000000 | **5-Year:** -17189.32000000 | **10-Year:** -19424.37000000 | **30-Year:** -1552.63000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000018125 | -2.21%               | 1.36%                | -1.18%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-71431.20               | $-31819916.64                              |
| Month 2  | $-36213.81               | $12501944.68                               |
| Month 3  | $-1297465.56             | $-15180661.72                              |

**Designated Index Information**

- **Index Name:** Fund's Securities Portfolio

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2021-B                           | CUSIP: 98163LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2610000 | PA      | $2560979.76   | 0.17%             | 2027-12-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140QPKJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27413261 | PA      | $23349962.12  | 1.52%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B10 Mortgage Trust                                  | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3330000 | PA      | $3149537.98   | 0.21%             | 2062-03-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                             | CUSIP: 61691YAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2085000 | PA      | $1807201.69   | 0.12%             | 2054-05-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FCUJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192334 | PA      | $32744.81     | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31397BRJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601408 | PA      | $49591.00     | 0.00%             | 2036-10-15      | Floating      | 1.91%                 | No            |                  3 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2021-1 Trust                              | CUSIP: 437300AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1393652 | PA      | $1187274.48   | 0.08%             | 2041-09-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1      | CUSIP: 46590KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2969000 | PA      | $2872725.72   | 0.19%             | 2049-01-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  79101481 | PA      | $1452540.50   | 0.09%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137AFJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    794099 | PA      | $57715.06     | 0.00%             | 2041-09-15      | Floating      | 1.19%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373MX54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3865689 | PA      | $3916337.01   | 0.26%             | 2042-08-16      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets LLC                            | Accelerated Assets 2018-1 LLC                                      | CUSIP: 00436MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    821403 | PA      | $806397.39    | 0.05%             | 2033-12-02      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7420269 | PA      | $213616.26    | 0.01%             | 2066-01-20      | Variable      | 1.20%                 | No            |                  3 | On Loan: No      |
| Volofin Finance Designated Activity Company       | Volofin Finance Designated Activity Co                             | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1773821 | PA      | $1775924.31   | 0.12%             | 2037-06-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RKR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267685 | PA      | $258303.37    | 0.02%             | 2065-03-20      | Variable      | 4.81%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44841261 | PA      | $2321024.01   | 0.15%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                               | Frontier Issuer LLC                                                | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1220530.80   | 0.08%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136BB2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2624395 | PA      | $529512.83    | 0.03%             | 2040-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2021-A                                          | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5151936 | PA      | $4720682.94   | 0.31%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AGRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396352 | PA      | $296074.27    | 0.02%             | 2043-07-25      | Floating      | 0.77%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379T4X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1444312 | PA      | $1169265.18   | 0.08%             | 2045-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382DL31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19817402 | PA      | $3709623.38   | 0.24%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AXPC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33092944 | PA      | $934478.56    | 0.06%             | 2047-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31418CP99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1585871 | PA      | $1375314.22   | 0.09%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57996 | PA      | $57344.50     | 0.00%             | 2060-12-20      | Floating      | 5.27%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379UAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5039732 | PA      | $122522.60    | 0.01%             | 2057-01-16      | Variable      | 0.60%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FFTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12689 | PA      | $2752.88      | 0.00%             | 2038-03-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   3600000 | PA      | $2954935.08   | 0.19%             | 2037-09-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379K2B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8877435 | PA      | $33683.21     | 0.00%             | 2055-07-16      | Variable      | 0.14%                 | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-G                   | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902920 | PA      | $827512.20    | 0.05%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2019-C54                     | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5012000 | PA      | $4562756.40   | 0.30%             | 2052-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136A4WJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1013622 | PA      | $112030.99    | 0.01%             | 2042-03-25      | Floating      | 1.82%                 | No            |                  3 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust    | Foursight Capital Automobile Receivables Trust 2021-2              | CUSIP: 35105UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1401457 | PA      | $1396772.89   | 0.09%             | 2027-07-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FHQ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 122257035 | PA      | $469075.79    | 0.03%             | 2033-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust             | Mission Lane Credit Card Master Trust                              | CUSIP: 60510MAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    595000 | PA      | $598500.86    | 0.04%             | 2028-07-17      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                       | Hertz Vehicle Financing III LP                                     | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2325000 | PA      | $2184779.25   | 0.14%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378XQX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9243597 | PA      | $53135.16     | 0.00%             | 2054-08-16      | Variable      | 0.19%                 | No            |                  3 | On Loan: No      |
| SFS Auto Receivables Securitization Trust         | SFS Auto Receivables Securitization Trust 2023-1                   | CUSIP: 78398AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $127842.13    | 0.01%             | 2031-02-20      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust         | Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10 | CUSIP: 06054MAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $976553.10    | 0.06%             | 2049-07-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                       | Hertz Vehicle Financing III LLC                                    | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $574927.62    | 0.04%             | 2028-02-25      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                   | MVW 2021-1W LLC                                                    | CUSIP: 55389TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208433 | PA      | $196729.96    | 0.01%             | 2041-01-22      | Fixed         | 1.44%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2021-G                   | CUSIP: 63942KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1324384 | PA      | $1169142.09   | 0.08%             | 2070-04-15      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                            | Chase Auto Owner Trust 2024-4                                      | CUSIP: 16144YAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2200402.60   | 0.14%             | 2030-07-25      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373MVS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2803961 | PA      | $27861.78     | 0.00%             | 2046-04-16      | Variable      | 0.49%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FX2Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16003817 | PA      | $13332550.72  | 0.87%             | 2063-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BM7D2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34004440 | PA      | $98572.75     | 0.01%             | 2025-09-25      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2024-3                           | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    651000 | PA      | $651665.97    | 0.04%             | 2031-02-18      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380P6Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39472447 | PA      | $2840954.37   | 0.19%             | 2062-08-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC              | SoFi Professional Loan Program 2021-B Trust                        | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1397594 | PA      | $1202924.94   | 0.08%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  53234108 | PA      | $3608655.00   | 0.24%             | 2063-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RHM9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1255000 | PA      | $1301171.45   | 0.08%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-C                            | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |   1869123 | PA      | $1837883.37   | 0.12%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                    | Mariner Finance Issuance Trust 2024-A                              | CUSIP: 567928AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740000 | PA      | $746616.64    | 0.05%             | 2036-09-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378NHQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    738084 | PA      | $1282.18      | 0.00%             | 2055-05-16      | Variable      | 0.15%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  46914068 | PA      | $3041814.34   | 0.20%             | 2063-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4124 | PA      | $3665.15      | 0.00%             | 2062-05-20      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381Y4N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    324000 | PA      | $238676.33    | 0.02%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KVD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297918 | PA      | $226538.22    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR4                                     | CUSIP: 74333EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3450000 | PA      | $3335692.53   | 0.22%             | 2038-05-17      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust     | Bridgecrest Lending Auto Securitization Trust 2024-1               | CUSIP: 107933AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    815000 | PA      | $818199.69    | 0.05%             | 2028-01-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                   | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1010252 | PA      | $969462.88    | 0.06%             | 2044-07-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                   | OHA Credit Funding 3 LTD                                           | CUSIP: 67112RBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4205000 | PA      | $4223216.06   | 0.28%             | 2038-01-20      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FXVL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20429249 | PA      | $16263710.12  | 1.06%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust  | World Omni Automobile Lease Securitization Trust 2023-A            | CUSIP: 981944AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $501764.85    | 0.03%             | 2028-07-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3624904 | PA      | $35.16        | 0.00%             | 2052-04-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-D                   | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    894563 | PA      | $827254.61    | 0.05%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd                             | Rockland Park CLO Ltd                                              | CUSIP: 773663AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7650000 | PA      | $7660977.75   | 0.50%             | 2034-04-20      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394DDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549745 | PA      | $520524.52    | 0.03%             | 2035-04-25      | Floating      | 6.81%                 | No            |                  3 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                    | CUSIP: 3136BBGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15985025 | PA      | $631504.41    | 0.04%             | 2032-04-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RU38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1294023 | PA      | $53049.64     | 0.00%             | 2067-01-20      | Variable      | 1.63%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LQL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2254814 | PA      | $2022649.30   | 0.13%             | 2069-01-20      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MBL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18779884 | PA      | $588993.51    | 0.04%             | 2060-08-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2019-1                               | CUSIP: 59981AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1646966 | PA      | $1536328.54   | 0.10%             | 2069-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                   | OHA Credit Funding 8 Ltd                                           | CUSIP: 67707GAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5300000 | PA      | $5328514.53   | 0.35%             | 2034-01-18      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RLZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150431 | PA      | $141345.66    | 0.01%             | 2065-09-20      | Variable      | 4.58%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7MB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  45967609 | PA      | $996692.68    | 0.06%             | 2032-04-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136A72Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2518191 | PA      | $204970.22    | 0.01%             | 2042-09-25      | Floating      | 1.32%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380NDZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9362024 | PA      | $554544.49    | 0.04%             | 2060-12-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                             | SBNA Auto Lease Trust 2024-A                                       | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    575000 | PA      | $579340.68    | 0.04%             | 2029-01-22      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380QS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6191163 | PA      | $21241.20     | 0.00%             | 2068-01-20      | Variable      | 0.01%                 | No            |                  3 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust    | Foursight Capital Automobile Receivables Trust 2023-2              | CUSIP: 35104AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1777007.40   | 0.12%             | 2028-11-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Education Funding Trust                           | Education Funding Trust Trust                                      | CUSIP: 28141PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    911066 | PA      | $838876.94    | 0.05%             | 2041-07-25      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2024-P1                             | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    442000 | PA      | $444999.81    | 0.03%             | 2030-03-11      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2024-3                      | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1610000 | PA      | $1629592.09   | 0.11%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140LGWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1665000 | PA      | $1552026.25   | 0.10%             | 2034-07-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AFUN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3380947 | PA      | $434105.96    | 0.03%             | 2043-07-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust          | AmeriCredit Automobile Receivables Trust 2024-1                    | CUSIP: 023947AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910000 | PA      | $920262.98    | 0.06%             | 2029-01-18      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KF37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13101536 | PA      | $256087.33    | 0.02%             | 2057-03-16      | Variable      | 0.60%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373MWF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1290853 | PA      | $24644.75     | 0.00%             | 2046-08-16      | Variable      | 0.94%                 | No            |                  3 | On Loan: No      |
| Sierra Receivables Funding Co LLC                 | Sierra Timeshare 2020-2 Receivables Funding LLC                    | CUSIP: 826525AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185059 | PA      | $183082.07    | 0.01%             | 2037-07-20      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                 | CUSIP: 31282YDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137365 | PA      | $17954.84     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Planet Fitness Master Issuer LLC                  | Planet Fitness Master Issuer LLC                                   | CUSIP: 72703PAC7<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |   3830400 | PA      | $3523116.12   | 0.23%             | 2049-12-05      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| CLSEC Holdings 22T LLC                            | Clsec Holdings 22t LLC                                             | CUSIP: 12567UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2927312 | PA      | $2604071.24   | 0.17%             | 2037-05-11      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F7E68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2600040 | PA      | $508143.47    | 0.03%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136APE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295302 | PA      | $273214.07    | 0.02%             | 2041-05-25      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2021-D                            | CUSIP: 78449MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    728647 | PA      | $672937.49    | 0.04%             | 2053-03-17      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2023-P4                             | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1605000 | PA      | $1657135.38   | 0.11%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124500 | PA      | $16761.34     | 0.00%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| World Omni Auto Receivables Trust                 | World Omni Auto Receivables Trust 2021-A                           | CUSIP: 98164EAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1980000 | PA      | $1970028.72   | 0.13%             | 2027-08-16      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32974317 | PA      | $28304112.89  | 1.84%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2022-4                | CUSIP: 02529XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2890000 | PA      | $2953994.43   | 0.19%             | 2029-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-A                       | CUSIP: 78443CAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $287796.61    | 0.02%             | 2032-06-15      | Variable      | 8.30%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2024-2                       | CUSIP: 96042YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1243365.18   | 0.08%             | 2030-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-A                            | CUSIP: 78449PAC3<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |   1297010 | PA      | $1293846.64   | 0.08%             | 2036-02-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8053 | PA      | $7669.26      | 0.00%             | 2063-05-20      | Floating      | 5.05%                 | No            |                  3 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                        | BMO 2022-C1 Mortgage Trust                                         | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4970000 | PA      | $4365160.94   | 0.28%             | 2055-02-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                   | OHA Credit Funding 8 Ltd                                           | CUSIP: 67707GAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5300000 | PA      | $5300000.00   | 0.35%             | 2038-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2024-A                            | CUSIP: 831943AC9<br>LEI: 5493000RGRVHYZAIY180 | Long             | ABS-O            | CORP              | US        |   1255000 | PA      | $1261486.22   | 0.08%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17888 | PA      | $17708.89     | 0.00%             | 2061-10-20      | Floating      | 5.37%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HH4F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62368367 | PA      | $61268613.00  | 3.99%             | 2050-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2023-A                   | CUSIP: 638961AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1373661 | PA      | $1377348.36   | 0.09%             | 2071-10-15      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER                        | Elara HGV Timeshare Issuer 2023-A LLC                              | CUSIP: 28415AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1201434 | PA      | $1227666.46   | 0.08%             | 2038-02-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Maps LTD                                          | MAPS 2018-1 Ltd                                                    | CUSIP: 56564RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    238758 | PA      | $237443.14    | 0.02%             | 2043-05-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 53 CLO Ltd                                                  | CUSIP: 26243EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3835000 | PA      | $3845289.31   | 0.25%             | 2031-01-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2110000 | PA      | $1821595.28   | 0.12%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | CarMax Auto Owner Trust 2024-2                                     | CUSIP: 14319EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2325000 | PA      | $2363783.33   | 0.15%             | 2029-11-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31395D7A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622998 | PA      | $700621.05    | 0.05%             | 2036-06-25      | Floating      | 7.03%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                               | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6160000 | PA      | $5554204.04   | 0.36%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| EquipmentShare                                    | Crockett Partners Equipment Co IIA LLC                             | CUSIP: 22689LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1649684 | PA      | $1658652.14   | 0.11%             | 2031-01-20      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BGP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41650 | PA      | $41103.89     | 0.00%             | 2060-10-20      | Floating      | 5.12%                 | No            |                  3 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                         | CUSIP: 58940BAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3699265.92   | 0.24%             | 2027-09-20      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK28                                                    | CUSIP: 06540YAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785000 | PA      | $654033.50    | 0.04%             | 2063-03-15      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2021-SB91 Mortgage Trust                                     | CUSIP: 30322XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22852560 | PA      | $617188.22    | 0.04%             | 2041-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FNB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15849 | PA      | $15880.90     | 0.00%             | 2029-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2020-GC45                             | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2555000 | PA      | $2292123.97   | 0.15%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| World Financial Network Credit Card Master Trust  | World Financial Network Credit Card Master Trust                   | CUSIP: 981464HR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040000 | PA      | $1059824.48   | 0.07%             | 2031-02-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380PWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  44683039 | PA      | $2574882.46   | 0.17%             | 2062-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                | Regional Management Issuance Trust 2024-1                          | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    690000 | PA      | $704165.70    | 0.05%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382JZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2105149 | PA      | $352309.67    | 0.02%             | 2050-09-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-4                                   | CUSIP: 89179JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4023970.50   | 0.26%             | 2060-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2024-2                      | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $365650.80    | 0.02%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SCOTT Trust 2023-SFS                              | SCOTT Trust 2023-SFS                                               | CUSIP: 810064AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495000 | PA      | $502593.00    | 0.03%             | 2040-03-10      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2020-RPL1                              | CUSIP: 52474HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4515000 | PA      | $4029121.89   | 0.26%             | 2059-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RVY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92068 | PA      | $87313.66     | 0.01%             | 2063-08-20      | Variable      | 4.41%                 | No            |                  3 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS13 Trust                                        | CUSIP: 75115DAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       804 | PA      | $459.68       | 0.00%             | 2061-11-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes           | Santander Bank Auto Credit-Linked Notes Series 2022-A              | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254102 | PA      | $254153.92    | 0.02%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                   | Octagon Investment Partners 18-R Ltd                               | CUSIP: 67576FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2040000 | PA      | $2040940.24   | 0.13%             | 2031-04-16      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | MSBAM Commercial Mortgage Securities Trust 2012-CKSV               | CUSIP: 553514AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1101373 | PA      | $1013262.83   | 0.07%             | 2030-10-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                           | NYMT Loan Trust Series 2024-BPL3                                   | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1599723.43   | 0.10%             | 2039-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381VZ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8100124 | PA      | $679065.78    | 0.04%             | 2043-08-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2021-ESH                               | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3214886 | PA      | $3218904.99   | 0.21%             | 2038-07-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    705515 | PA      | $26153.77     | 0.00%             | 2063-06-20      | Variable      | 1.27%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16        | CUSIP: 61763MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187555 | PA      | $180052.52    | 0.01%             | 2047-06-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        | 109168026 | PA      | $86905548.94  | 5.66%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  53730865 | PA      | $5051829.64   | 0.33%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2023-1                           | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4270000 | PA      | $4365887.12   | 0.28%             | 2033-05-16      | Fixed         | 7.02%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-N1                             | CUSIP: 14687DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    591268 | PA      | $573074.36    | 0.04%             | 2028-01-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31417A6P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451338 | PA      | $410266.92    | 0.03%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2021-A                            | CUSIP: 78448YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    560734 | PA      | $497455.91    | 0.03%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                      | TICP CLO VII Ltd                                                   | CUSIP: 87248TAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5900000 | PA      | $5915747.10   | 0.39%             | 2033-04-15      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2023-A                                    | CUSIP: 08860FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1825000 | PA      | $1857397.40   | 0.12%             | 2036-04-17      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Synchrony Card Issuance Trust                     | Synchrony Card Funding LLC                                         | CUSIP: 87166PAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395000 | PA      | $1405335.56   | 0.09%             | 2030-03-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4825871 | PA      | $42525.52     | 0.00%             | 2053-03-16      | Variable      | 0.35%                 | No            |                  3 | On Loan: No      |
| Willis Engine Securitization Trust                | Willis Engine Structured Trust V                                   | CUSIP: 97064FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2755308 | PA      | $2536713.15   | 0.17%             | 2045-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-RCF1 LLC                                                 | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384385 | PA      | $374528.97    | 0.02%             | 2054-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AJN51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597819 | PA      | $43993.97     | 0.00%             | 2044-05-25      | Floating      | 1.37%                 | No            |                  3 | On Loan: No      |
| The Huntington National Bank                      | Huntington Bank Auto Credit-Linked Notes Series 2024-1             | CUSIP: 44644NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375539 | PA      | $380828.75    | 0.02%             | 2032-05-20      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FAA75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182887 | PA      | $22764.29     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95987 | PA      | $16495.33     | 0.00%             | 2037-03-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2579190 | PA      | $34506.28     | 0.00%             | 2057-07-16      | Variable      | 0.33%                 | No            |                  3 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust          | AmeriCredit Automobile Receivables Trust 2022-2                    | CUSIP: 03065WAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3185000 | PA      | $3187002.73   | 0.21%             | 2028-04-18      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137A6WD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183907 | PA      | $108974.61    | 0.01%             | 2041-02-15      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9      | CUSIP: 46639EAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792510 | PA      | $737041.92    | 0.05%             | 2047-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3349530 | PA      | $177450.32    | 0.01%             | 2034-08-25      | Variable      | 0.85%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382BYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8447001 | PA      | $874382.08    | 0.06%             | 2044-02-20      | Floating      | 1.06%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381TYT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8116619 | PA      | $7633296.54   | 0.50%             | 2049-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2022-SB95 Mortgage Trust                                     | CUSIP: 35802DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  88655420 | PA      | $1096898.04   | 0.07%             | 2041-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LGT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132807 | PA      | $122669.50    | 0.01%             | 2068-08-20      | Variable      | 4.65%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                 | CUSIP: 3620ACDL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         8 | PA      | $8.44         | 0.00%             | 2059-11-20      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51936490 | PA      | $5720061.66   | 0.37%             | 2035-05-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                    | FirstKey Homes 2020-SFR1 Trust                                     | CUSIP: 33767MAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910000 | PA      | $890543.75    | 0.06%             | 2037-08-17      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17394998 | PA      | $1069166.19   | 0.07%             | 2030-01-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376G3S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1417151 | PA      | $1761.87      | 0.00%             | 2051-08-16      | Variable      | 0.15%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H9JL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100000000 | PA      | $1493340.00   | 0.10%             | 2032-11-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BDB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3515914 | PA      | $22851.97     | 0.00%             | 2053-06-16      | Variable      | 0.24%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31397RKT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215549 | PA      | $221626.38    | 0.01%             | 2038-02-15      | Floating      | 4.43%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  82165684 | PA      | $1583168.40   | 0.10%             | 2032-08-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2017-4                                    | CUSIP: 46648UAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8612717 | PA      | $101562.80    | 0.01%             | 2048-11-25      | Variable      | 0.37%                 | No            |                  3 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-4                                   | CUSIP: 89175TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2325000 | PA      | $1937748.93   | 0.13%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375URS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1420811 | PA      | $28452.66     | 0.00%             | 2064-09-20      | Variable      | 0.79%                 | No            |                  3 | On Loan: No      |
| Lex Commercial Loan Master Trust                  | LEX 2024-BBG Mortgage Trust                                        | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $442797.30    | 0.03%             | 2033-10-13      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140HRMS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5678075 | PA      | $5276619.93   | 0.34%             | 2033-10-01      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                    | CUSIP: 3136B56F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22945489 | PA      | $297593.58    | 0.02%             | 2034-08-25      | Variable      | 0.32%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373AHQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381544 | PA      | $381710.00    | 0.02%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| SBNA Auto Lease Trust                             | SBNA Auto Lease Trust 2024-B                                       | CUSIP: 78437VAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $721707.90    | 0.05%             | 2028-12-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KDRA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3715930 | PA      | $3036174.79   | 0.20%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-C29                     | CUSIP: 94989KAW3<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |        30 | PA      | $30.21        | 0.00%             | 2048-06-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BPW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6720256 | PA      | $87448.40     | 0.01%             | 2026-03-25      | Variable      | 1.33%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31398JLT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748591 | PA      | $678470.51    | 0.04%             | 2048-06-15      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56847 | PA      | $10421.68     | 0.00%             | 2037-03-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| Auxilior Term Funding LLC                         | Auxilior Term Funding 2023-1 LLC                                   | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    377927 | PA      | $382151.27    | 0.02%             | 2028-12-15      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                          | Neuberger Berman Loan Advisers Clo 40 Ltd                          | CUSIP: 64134JAC7<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2563692.29   | 0.17%             | 2033-04-16      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380QYD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  32891391 | PA      | $46434.09     | 0.00%             | 2070-04-20      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8985887 | PA      | $612109.61    | 0.04%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376GHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219635 | PA      | $8515.76      | 0.00%             | 2052-10-16      | Variable      | 1.45%                 | No            |                  3 | On Loan: No      |
| GM Financial Securitized Term Auto Receivables Tr | GM Financial Consumer Automobile Receivables Trust 2024-2          | CUSIP: 379931AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1060000 | PA      | $1070750.52   | 0.07%             | 2029-03-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376GVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1577910 | PA      | $23613.22     | 0.00%             | 2052-12-16      | Variable      | 1.01%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AUUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3450498 | PA      | $231899.83    | 0.02%             | 2046-12-25      | Floating      | 1.97%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7710054 | PA      | $6275560.16   | 0.41%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FTBP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13696565 | PA      | $957650.14    | 0.06%             | 2030-03-25      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2013-PEMB                        | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |   5775000 | PA      | $4764571.35   | 0.31%             | 2033-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AGY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1203010 | PA      | $117877.23    | 0.01%             | 2043-11-25      | Floating      | 1.92%                 | No            |                  3 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2023-2                      | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3075000 | PA      | $3103262.02   | 0.20%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BYY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18597697 | PA      | $145065.94    | 0.01%             | 2052-09-16      | Variable      | 0.33%                 | No            |                  3 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2023-3                           | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $386928.92    | 0.03%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2019-C16                             | CUSIP: 90276YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1255546.98   | 0.08%             | 2052-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                      | DC Commercial Mortgage Trust 2023-DC                               | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2520000 | PA      | $2583771.62   | 0.17%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2215000 | PA      | $2252666.08   | 0.15%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                   | Recette Clo Ltd                                                    | CUSIP: 75620TAX6<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |   1035000 | PA      | $1035157.01   | 0.07%             | 2034-04-20      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| APL Finance LLC                                   | APL Finance 2023-1 DAC                                             | CUSIP: 03790CAA9<br>LEI: 6354009RKO5CXUKYBH41 | Long             | ABS-O            | CORP              | US        |   3794865 | PA      | $3838684.61   | 0.25%             | 2031-07-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                           | NYMT Loan Trust 2024-CP1                                           | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    688496 | PA      | $631574.36    | 0.04%             | 2068-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                   | OHA Credit Funding 2 LTD                                           | CUSIP: 67707EAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4045000 | PA      | $4067643.91   | 0.27%             | 2034-04-21      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LKW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8592852 | PA      | $7739613.16   | 0.50%             | 2068-05-20      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2023-P1                             | CUSIP: 14688EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1991477 | PA      | $2005664.92   | 0.13%             | 2027-12-10      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36590696 | PA      | $2821911.03   | 0.18%             | 2062-08-16      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31398QSU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821145 | PA      | $63057.38     | 0.00%             | 2040-10-15      | Floating      | 1.79%                 | No            |                  3 | On Loan: No      |
| Apollo Aviation Securitization Equity Trust       | AASET 2024-1                                                       | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1547056 | PA      | $1552876.47   | 0.10%             | 2049-05-16      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177851 | PA      | $33453.93     | 0.00%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Compass Datacenters Issuer II, LLC                | Compass Datacenters Issuer II LLC                                  | CUSIP: 20469AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765000 | PA      | $1733384.44   | 0.11%             | 2049-08-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GECU Auto Receivables Trust                       | GECU Auto Receivables Trust 2023-1                                 | CUSIP: 36169EAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2440000 | PA      | $2475470.04   | 0.16%             | 2029-10-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2019-EXP1 Trust                                                | CUSIP: 67448QAC5<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |     41317 | PA      | $40504.37     | 0.00%             | 2059-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                          | Octane Receivables Trust 2024-2                                    | CUSIP: 67578YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580000 | PA      | $584980.46    | 0.04%             | 2032-07-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SLAM 2021-1 LLC                                   | Slam 2021-1 Ltd                                                    | CUSIP: 78449AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2503746 | PA      | $2281445.90   | 0.15%             | 2046-06-15      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2021-ESH                               | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3153231 | PA      | $3155201.78   | 0.21%             | 2038-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AWBW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4963975 | PA      | $251323.50    | 0.02%             | 2047-04-25      | Floating      | 1.47%                 | No            |                  3 | On Loan: No      |
| OneMain Financial Issuance Trust                  | OneMain Financial Issuance Trust 2021-1                            | CUSIP: 68269MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $4913675.46   | 0.32%             | 2036-06-16      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31398TKX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64158 | PA      | $56408.13     | 0.00%             | 2039-12-25      | Variable      | 1.43%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FQK28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20562231 | PA      | $806779.70    | 0.05%             | 2034-10-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380P4H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18700167 | PA      | $1236088.55   | 0.08%             | 2062-10-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378NYK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6763883 | PA      | $20778.58     | 0.00%             | 2054-01-16      | Variable      | 0.13%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15593483 | PA      | $981271.39    | 0.06%             | 2063-01-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2024-1                                    | CUSIP: 349941AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645000 | PA      | $649609.82    | 0.04%             | 2049-12-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2020-2                                   | CUSIP: 89176UAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5555000 | PA      | $4531026.85   | 0.30%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2021-A                                   | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1375252.19   | 0.09%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FA2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193461 | PA      | $26534.83     | 0.00%             | 2033-06-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MLR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4231663 | PA      | $267690.77    | 0.02%             | 2058-06-16      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2016-C                            | CUSIP: 78449KAB6<br>LEI: 54930027GONY06ZX8P67 | Long             | ABS-O            | CORP              | US        |     22332 | PA      | $22269.24     | 0.00%             | 2034-09-15      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2018-3                                   | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    512759 | PA      | $499367.77    | 0.03%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2018-3                               | CUSIP: 59980XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415263 | PA      | $407041.12    | 0.03%             | 2058-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ARK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5664419 | PA      | $372987.67    | 0.02%             | 2046-04-25      | Floating      | 1.42%                 | No            |                  3 | On Loan: No      |
| Triumph Rail LLC                                  | Triumph Rail Holdings LLC                                          | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3860329 | PA      | $3605141.69   | 0.23%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                        | MMAF Equipment Finance LLC 2020-A                                  | CUSIP: 60700MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $281517.90    | 0.02%             | 2042-10-09      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2011-C2                             | CUSIP: 617459AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413677 | PA      | $408714.14    | 0.03%             | 2044-06-15      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| (Sunnova) Aurora I Issuer, LLC                    | Sunnova Helios XIII Issuer LLC                                     | CUSIP: 86745CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1045134 | PA      | $984762.84    | 0.06%             | 2051-02-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                          | Neuberger Berman CLO XX Ltd                                        | CUSIP: 64130TBC8<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   2075000 | PA      | $2077319.85   | 0.14%             | 2034-07-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136A1VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282244 | PA      | $234851.23    | 0.02%             | 2040-11-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136B9S65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9239537 | PA      | $1729909.36   | 0.11%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2019-RP1                             | CUSIP: 17327RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1448850 | PA      | $1300311.29   | 0.08%             | 2066-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                      | AGL CLO 12 Ltd                                                     | CUSIP: 00120BAE0<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |   2225000 | PA      | $2229165.20   | 0.15%             | 2034-07-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379K6Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5274386 | PA      | $157134.36    | 0.01%             | 2055-11-16      | Variable      | 0.83%                 | No            |                  3 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                    | CUSIP: 3136BBAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13607836 | PA      | $462414.67    | 0.03%             | 2028-06-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31394GGC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43853 | PA      | $6467.67      | 0.00%             | 2033-07-15      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P2                             | CUSIP: 14687TAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5410000 | PA      | $5115803.66   | 0.33%             | 2027-06-10      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376G4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3021866 | PA      | $3063785.79   | 0.20%             | 2051-08-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RKZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2572 | PA      | $2495.91      | 0.00%             | 2061-08-20      | Floating      | 5.45%                 | No            |                  3 | On Loan: No      |
| GM Financial Automobile Leasing Trust             | GM Financial Automobile Leasing Trust 2024-1                       | CUSIP: 36269FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1695000 | PA      | $1706992.13   | 0.11%             | 2027-03-22      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Kestrel Aircraft Funding Limited                  | Kestrel Aircraft Funding Ltd                                       | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1121788 | PA      | $1102841.42   | 0.07%             | 2038-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK22                                                    | CUSIP: 06540XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3525000 | PA      | $3180029.75   | 0.21%             | 2062-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BNF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34147 | PA      | $33015.43     | 0.00%             | 2061-10-20      | Floating      | 4.98%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BWFX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21697547 | PA      | $38110.87     | 0.00%             | 2026-12-25      | Variable      | 0.12%                 | No            |                  3 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2024-3                       | CUSIP: 96043CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1520000 | PA      | $1521825.52   | 0.10%             | 2028-04-17      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31398WB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245151 | PA      | $242382.19    | 0.02%             | 2036-12-15      | Floating      | 4.13%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133B4CT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6183295 | PA      | $5034797.67   | 0.33%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378N4L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4557708 | PA      | $63032.23     | 0.00%             | 2049-03-16      | Variable      | 0.48%                 | No            |                  3 | On Loan: No      |
| EverBright Solar Trust                            | EverBright Solar Trust 2024-A                                      | CUSIP: 29977FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    792667 | PA      | $775461.40    | 0.05%             | 2054-06-22      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2019-B                            | CUSIP: 83192CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5485000 | PA      | $5115029.07   | 0.33%             | 2043-06-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2024-5                      | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    395000 | PA      | $395130.75    | 0.03%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  51684347 | PA      | $3310123.98   | 0.22%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2019-C                   | CUSIP: 63940YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    648043 | PA      | $632208.36    | 0.04%             | 2068-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RZL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28459 | PA      | $27050.83     | 0.00%             | 2066-08-20      | Variable      | 4.52%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DK58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10972721 | PA      | $624622.14    | 0.04%             | 2061-07-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                      | Business Jet Securities 2024-2 LLC                                 | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2192580 | PA      | $2146939.38   | 0.14%             | 2039-09-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BKRK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  61253539 | PA      | $13766.73     | 0.00%             | 2025-05-25      | Variable      | 0.09%                 | No            |                  3 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR1                                    | CUSIP: 89613GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1218076.86   | 0.08%             | 2038-07-17      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B6D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60780 | PA      | $60170.15     | 0.00%             | 2063-08-20      | Floating      | 5.37%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AJZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9075483 | PA      | $704645.27    | 0.05%             | 2044-04-25      | Floating      | 1.37%                 | No            |                  3 | On Loan: No      |
| Porsche Financial Auto Securitization Trust       | Porsche Financial Auto Securitization Trust 2023-2                 | CUSIP: 732916AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $655531.11    | 0.04%             | 2029-01-22      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31397NNR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505747 | PA      | $458979.31    | 0.03%             | 2039-03-25      | Variable      | 2.53%                 | No            |                  3 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2019-GSA1                             | CUSIP: 36261PAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4569887.00   | 0.30%             | 2052-11-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3218275 | PA      | $87249.56     | 0.01%             | 2056-07-16      | Variable      | 0.68%                 | No            |                  3 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-3                                   | CUSIP: 89169DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5570000 | PA      | $5434318.70   | 0.35%             | 2057-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd                                | CAL Funding IV Ltd                                                 | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |   2386588 | PA      | $2213446.30   | 0.14%             | 2045-09-25      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132WVVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4420399 | PA      | $3845086.03   | 0.25%             | 2037-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                        | LAD Auto Receivables Trust 2023-2                                  | CUSIP: 505713AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2655000 | PA      | $2668616.96   | 0.17%             | 2028-02-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                    | Wheels Fleet Lease Funding 1 LLC                                   | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   1680112 | PA      | $1689083.79   | 0.11%             | 2038-04-18      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes            | Greystone CRE Notes 2021-HC2 LTD                                   | CUSIP: 39809XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2675000 | PA      | $2675572.45   | 0.17%             | 2039-12-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | Massachusetts Educational Financing Authority                      | CUSIP: 57563NAB4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | ABS-O            | CORP              | US        |   1183196 | PA      | $1142010.40   | 0.07%             | 2033-05-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                        | LAD Auto Receivables Trust 2024-3                                  | CUSIP: 505709AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $335623.11    | 0.02%             | 2030-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2019-3 Trust                             | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302957 | PA      | $298983.34    | 0.02%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16709 | PA      | $3014.37      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2013-3 Ltd                                                | CUSIP: 92916XAL1<br>LEI: 5493003QPCHR7P2XIW55 | Long             | ABS-CBDO         | CORP              | KY        |   1315000 | PA      | $1318829.94   | 0.09%             | 2031-10-18      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FER46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115195 | PA      | $7247.73      | 0.00%             | 2036-09-25      | Variable      | 4.50%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B7G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269977 | PA      | $21716.74     | 0.00%             | 2063-07-20      | Variable      | 2.01%                 | No            |                  3 | On Loan: No      |
| Hudsons Bay Simon JV Trust                        | Hudsons Bay Simon JV Trust 2015-HBS                                | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5885000 | PA      | $5715476.69   | 0.37%             | 2034-08-05      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2019-1                        | CUSIP: 14855MAA6<br>LEI: 549300MHTIBONNXM3R82 | Long             | ABS-O            | CORP              | US        |   2309392 | PA      | $2124791.66   | 0.14%             | 2039-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                    | VStrong Auto Receivables Trust 2024-A                              | CUSIP: 92891PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $106283.61    | 0.01%             | 2030-07-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2024-1CON                                 | CUSIP: 08862HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369704 | PA      | $374777.82    | 0.02%             | 2035-04-17      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380XAG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28835257 | PA      | $859930.81    | 0.06%             | 2058-05-16      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Project Sunbird                                   | Sunbird Engine Finance LLC                                         | CUSIP: 86709LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    570114 | PA      | $548652.76    | 0.04%             | 2045-02-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                            | Chase Auto Owner Trust 2024-2                                      | CUSIP: 16144CAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2859223.92   | 0.19%             | 2029-11-26      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization Equity Trust       | AASET 2024-2 Ltd                                                   | CUSIP: 00038QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3238204 | PA      | $3219377.27   | 0.21%             | 2049-09-16      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HCLY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22478726 | PA      | $22645544.67  | 1.48%             | 2050-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust    | Foursight Capital Automobile Receivables Trust 2024-1              | CUSIP: 35105AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $131343.24    | 0.01%             | 2029-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140QNBV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  80291997 | PA      | $65378401.26  | 4.26%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | Commercial Mortgage Pass Through Certificates                      | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1649425 | PA      | $1558636.89   | 0.10%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-H                   | CUSIP: 63935BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    945000 | PA      | $779242.37    | 0.05%             | 2069-01-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                        | NLT 2023-1 Trust                                                   | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1227598 | PA      | $1124697.32   | 0.07%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2023-SHIP                        | CUSIP: 36270GAA9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $512588.44    | 0.03%             | 2038-09-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                        | LAD Auto Receivables Trust 2021-1                                  | CUSIP: 501683AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1635000 | PA      | $1622684.85   | 0.11%             | 2027-04-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380NJB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6909404 | PA      | $418408.09    | 0.03%             | 2061-08-16      | Variable      | 0.95%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KGH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10589174 | PA      | $220335.50    | 0.01%             | 2049-09-16      | Variable      | 0.57%                 | No            |                  3 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  21000000 | PA      | $21433125.00  | 1.40%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380LQA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2449527 | PA      | $2299044.07   | 0.15%             | 2068-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                    | Wheels Fleet Lease Funding 1 LLC                                   | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1174008.42   | 0.08%             | 2039-06-21      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B7Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228210 | PA      | $4638.23      | 0.00%             | 2063-08-20      | Variable      | 1.30%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380P3W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  31395027 | PA      | $2177687.80   | 0.14%             | 2060-08-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| TIF Funding III LLC                               | TIF Funding III LLC                                                | CUSIP: 88655AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    618156 | PA      | $612403.19    | 0.04%             | 2049-04-20      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378X4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6732124 | PA      | $93039.97     | 0.01%             | 2051-02-16      | Variable      | 0.46%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2021-P1                             | CUSIP: 14687BAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4455000 | PA      | $4283077.99   | 0.28%             | 2027-03-10      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16916601 | PA      | $15495607.54  | 1.01%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11390870 | PA      | $558688.02    | 0.04%             | 2060-10-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR5 Trust                               | CUSIP: 74333FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830000 | PA      | $792395.36    | 0.05%             | 2038-07-17      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FQKQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18192337 | PA      | $464941.57    | 0.03%             | 2029-11-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                      | Hilton Grand Vacations Trust 2024-1B                               | CUSIP: 43283YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400071 | PA      | $402264.04    | 0.03%             | 2039-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379Y6J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16089765 | PA      | $345541.71    | 0.02%             | 2056-07-16      | Variable      | 0.62%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378N8E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3231247 | PA      | $36087.50     | 0.00%             | 2056-04-16      | Variable      | 0.42%                 | No            |                  3 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2018-2                               | CUSIP: 59980MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    728900 | PA      | $709881.12    | 0.05%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ASUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6008637 | PA      | $310868.85    | 0.02%             | 2034-10-25      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK26                                                    | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3649000 | PA      | $3180002.79   | 0.21%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-C                       | CUSIP: 78443CBB9<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    129000 | PA      | $129220.72    | 0.01%             | 2032-09-15      | Variable      | 8.02%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2018-K156 Mortgage Trust                                     | CUSIP: 302957AL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 323096372 | PA      | $1732055.03   | 0.11%             | 2036-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       980 | NC      | $-1501880.38  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FXXE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  35871783 | PA      | $31157601.36  | 2.03%             | 2062-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-C                       | CUSIP: 78443CBA1<br>LEI: 549300IQIXBXDNPLSE92 | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $160273.76    | 0.01%             | 2032-09-15      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       133 | NC      | $-348357.32   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70892 | PA      | $11265.45     | 0.00%             | 2035-11-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| SBNA Auto Receivables Trust                       | SBNA Auto Receivables Trust 2024-A                                 | CUSIP: 78437PAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $202027.40    | 0.01%             | 2030-01-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140QNGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  32669711 | PA      | $28042679.51  | 1.83%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137H6RQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275687 | PA      | $10560.02     | 0.00%             | 2052-04-25      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-2                                   | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5530000 | PA      | $4933524.80   | 0.32%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FCQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470658 | PA      | $80052.42     | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FXY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3180709 | PA      | $2649335.25   | 0.17%             | 2063-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR1 Trust                                     | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3544718.96   | 0.23%             | 2038-08-17      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RTB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9584123 | PA      | $336634.74    | 0.02%             | 2066-04-20      | Variable      | 1.79%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BN6H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8972117 | PA      | $55723.31     | 0.00%             | 2025-12-25      | Variable      | 0.86%                 | No            |                  3 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C25                | CUSIP: 46643PBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $693492.70    | 0.05%             | 2047-11-15      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33611301 | PA      | $2136515.82   | 0.14%             | 2062-10-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RHZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  41768712 | PA      | $2807116.40   | 0.18%             | 2062-10-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-B                       | CUSIP: 78443CAP9<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |   1598000 | PA      | $1540177.97   | 0.10%             | 2033-03-15      | Variable      | 7.92%                 | 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        |    890201 | PA      | $800855.26    | 0.05%             | 2069-07-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2023-2                                    | CUSIP: 35042RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435000 | PA      | $444976.73    | 0.03%             | 2049-06-15      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit          | Ford Credit Auto Owner Trust 2023-REV2                             | CUSIP: 34535CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $515749.80    | 0.03%             | 2036-02-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FXXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  81255278 | PA      | $64678208.09  | 4.22%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136BF2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13128611 | PA      | $765489.91    | 0.05%             | 2059-03-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AR4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1238832 | PA      | $851923.59    | 0.06%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KDVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3889022 | PA      | $3206870.46   | 0.21%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29258384 | PA      | $1745730.76   | 0.11%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                | Morgan Stanley Mortgage Loan Trust 2005-3AR                        | CUSIP: 61745M4T7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16231 | PA      | $13958.74     | 0.00%             | 2035-07-25      | Variable      | 6.31%                 | No            |                  3 | On Loan: No      |
| American Credit Acceptance Receivables Trust      | American Credit Acceptance Receivables Trust 2023-4                | CUSIP: 02530CAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725000 | PA      | $730869.60    | 0.05%             | 2028-02-14      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FKWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37653 | PA      | $37762.00     | 0.00%             | 2028-12-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ATNA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7529797 | PA      | $382747.10    | 0.02%             | 2046-09-25      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FX2Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13322839 | PA      | $10544008.38  | 0.69%             | 2063-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140MGSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5074309 | PA      | $4144482.83   | 0.27%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117368 | PA      | $19605.17     | 0.00%             | 2036-10-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BNGU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15060926 | PA      | $140926.29    | 0.01%             | 2026-01-25      | Variable      | 1.14%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H5XW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 254280659 | PA      | $2446688.51   | 0.16%             | 2032-01-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  19965043 | PA      | $1373674.84   | 0.09%             | 2063-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR3                                     | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1892000 | PA      | $1826848.41   | 0.12%             | 2026-05-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7ZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66500323 | PA      | $1085684.27   | 0.07%             | 2032-06-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| EWC Master Issuer LLC                             | EWC Master Issuer LLC                                              | CUSIP: 26929HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4801875 | PA      | $4673323.52   | 0.30%             | 2052-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2019-SFR1 Trust                              | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1673860 | PA      | $1638504.85   | 0.11%             | 2038-03-17      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-RCF2 LLC                                                 | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1069923 | PA      | $1034557.10   | 0.07%             | 2054-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11410674 | PA      | $737061.04    | 0.05%             | 2030-01-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FX3T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14346201 | PA      | $777988.74    | 0.05%             | 2030-08-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                 | Sierra Timeshare 2021-1 Receivables Funding LLC                    | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146082 | PA      | $141571.64    | 0.01%             | 2037-11-20      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DZM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  43766530 | PA      | $2837988.14   | 0.18%             | 2061-06-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2023-B                           | CUSIP: 00792FAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1740000 | PA      | $1764380.01   | 0.12%             | 2028-09-15      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                   | Republic Finance Issuance Trust 2024-A                             | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1055000 | PA      | $1065342.17   | 0.07%             | 2032-08-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KL2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4895932 | PA      | $4000319.18   | 0.26%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382EEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11096300 | PA      | $2440343.79   | 0.16%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  35827176 | PA      | $785740.13    | 0.05%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81868 | PA      | $14811.10     | 0.00%             | 2037-07-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2022-P3                             | CUSIP: 14686MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    820000 | PA      | $822532.16    | 0.05%             | 2028-06-12      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  35813356 | PA      | $2347959.46   | 0.15%             | 2062-09-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143135 | PA      | $22395.70     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379RY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4178676 | PA      | $218649.09    | 0.01%             | 2056-12-16      | Variable      | 0.98%                 | No            |                  3 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2023-X1                          | CUSIP: 00834KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63504 | PA      | $63665.44     | 0.00%             | 2028-11-15      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                    | CUSIP: 3136BBS94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15400908 | PA      | $951548.20    | 0.06%             | 2034-08-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2022-3                       | CUSIP: 96043PAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3475000 | PA      | $3484635.13   | 0.23%             | 2027-12-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137BXM25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3152837 | PA      | $241442.58    | 0.02%             | 2047-04-15      | Floating      | 1.39%                 | No            |                  3 | On Loan: No      |
| VStrong Auto Receivables Trust                    | VStrong Auto Receivables Trust 2023-A                              | CUSIP: 92920CAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3605000 | PA      | $3839884.14   | 0.25%             | 2030-02-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MMQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11637256 | PA      | $453086.09    | 0.03%             | 2060-07-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140XRFH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1971890 | PA      | $1607590.78   | 0.10%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust             | Mission Lane Credit Card Master Trust                              | CUSIP: 60510MAY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2815000 | PA      | $2831167.67   | 0.18%             | 2029-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BHR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29669 | PA      | $29185.01     | 0.00%             | 2059-05-20      | Floating      | 5.12%                 | No            |                  3 | On Loan: No      |
| Bank                                              | BANK 2019-BNK20                                                    | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3720000 | PA      | $3341215.46   | 0.22%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitization Trust          | Castlelake Aircraft Structured Trust 2021-1                        | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149136 | PA      | $143312.59    | 0.01%             | 2046-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                 | Sierra Timeshare 2023-1 Receivables Funding LLC                    | CUSIP: 826943AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445877 | PA      | $443908.64    | 0.03%             | 2040-01-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136BTZT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19704737 | PA      | $19407569.66  | 1.27%             | 2051-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ADQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1223434 | PA      | $87751.78     | 0.01%             | 2042-08-25      | Floating      | 1.47%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132DPJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7299808 | PA      | $6461980.28   | 0.42%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38373M8V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3702488 | PA      | $290.90       | 0.00%             | 2049-10-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Textainer Marine Containers Limited               | Textainer Marine Containers VII Ltd                                | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |    694569 | PA      | $661042.30    | 0.04%             | 2045-08-21      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-A                       | CUSIP: 78443CAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54000 | PA      | $53041.01     | 0.00%             | 2032-06-15      | Variable      | 7.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378BR92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16842126 | PA      | $42276.26     | 0.00%             | 2054-04-16      | Variable      | 0.17%                 | No            |                  3 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2022-AHP                              | CUSIP: 05610FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2770000 | PA      | $2735050.91   | 0.18%             | 2039-01-17      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BLME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18991995 | PA      | $31.34        | 0.00%             | 2025-08-25      | Variable      | 0.20%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H9CB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 102970152 | PA      | $2302783.30   | 0.15%             | 2032-09-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378XFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2062615 | PA      | $29785.07     | 0.00%             | 2056-04-16      | Variable      | 0.55%                 | No            |                  3 | On Loan: No      |
| Hilton Grand Vacations Trust                      | Hilton Grand Vacations Trust 2024-2                                | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2811258 | PA      | $2833447.03   | 0.18%             | 2038-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Loan Trust 2021-NMR1                            | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    643453 | PA      | $607434.36    | 0.04%             | 2060-11-25      | Variable      | 1.12%                 | 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        |   1080312 | PA      | $973502.18    | 0.06%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                         | College Ave Student Loans 2024-B LLC                               | CUSIP: 19423UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1826113 | PA      | $1849596.56   | 0.12%             | 2054-08-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2017-4                                   | CUSIP: 89173UAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4036054 | PA      | $3745850.82   | 0.24%             | 2057-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BF31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84772 | PA      | $81831.76     | 0.01%             | 2063-01-20      | Floating      | 5.09%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AUAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3046871 | PA      | $240525.81    | 0.02%             | 2046-11-25      | Floating      | 1.42%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FEV41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87441 | PA      | $9919.96      | 0.00%             | 2037-07-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| EquipmentShare                                    | OWN Equipment Fund I LLC                                           | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2625000 | PA      | $2625934.50   | 0.17%             | 2032-12-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137ATQQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    717137 | PA      | $37912.57     | 0.00%             | 2032-08-15      | Floating      | 1.44%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136ATNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4799964 | PA      | $254945.27    | 0.02%             | 2046-09-25      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2004-3                              | CUSIP: 41161PEC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    649030 | PA      | $608680.00    | 0.04%             | 2034-05-19      | Variable      | 5.88%                 | No            |                  3 | On Loan: No      |
| Regional Management Issuance Trust                | Regional Management Issuance Trust 2024-2                          | CUSIP: 75907AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $401200.40    | 0.03%             | 2033-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FCT38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1208051 | PA      | $222358.84    | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27033 | PA      | $25821.37     | 0.00%             | 2063-04-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Ziply Fiber Issuer, LLC                           | Ziply Fiber Issuer LLC                                             | CUSIP: 98979QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795000 | PA      | $1839516.00   | 0.12%             | 2054-04-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2024-1                           | CUSIP: 36269HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $511894.14    | 0.03%             | 2027-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | Carmax Auto Owner Trust 2021-1                                     | CUSIP: 14316NAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1485000 | PA      | $1472874.38   | 0.10%             | 2026-12-15      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F8R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132054 | PA      | $25562.76     | 0.00%             | 2044-11-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                          | Redwood Funding Trust 2024-1                                       | CUSIP: 75806FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    692089 | PA      | $693989.74    | 0.05%             | 2054-12-25      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31395XQ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194064 | PA      | $194694.24    | 0.01%             | 2035-05-15      | Floating      | 5.60%                 | No            |                  3 | On Loan: No      |
| Maps LTD                                          | MAPS 2021-1 Trust                                                  | CUSIP: 55292RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    432454 | PA      | $398916.69    | 0.03%             | 2046-06-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust             | NextGear Floorplan Master Owner Trust                              | CUSIP: 65341KCC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3295000 | PA      | $3268238.01   | 0.21%             | 2029-09-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RAC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    549171 | PA      | $535347.88    | 0.03%             | 2065-04-20      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31397UJQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029220 | PA      | $141951.45    | 0.01%             | 2041-06-25      | Floating      | 1.17%                 | No            |                  3 | On Loan: No      |
| Oak Hill Credit                                   | OHA Credit Funding 2 LTD                                           | CUSIP: 67707EBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3755000 | PA      | $3755000.00   | 0.24%             | 2038-01-21      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2023-2                                  | CUSIP: 33843EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2045000 | PA      | $2048863.62   | 0.13%             | 2028-05-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                     | CALI Mortgage Trust 2019-101C                                      | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510000 | PA      | $457571.13    | 0.03%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR1 Trust                                     | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2495000 | PA      | $2361856.32   | 0.15%             | 2038-08-17      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER TRUST I                            | American Tower Trust #1                                            | CUSIP: 03027WAM4<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              |  | US        |   3725000 | PA      | $3761253.19   | 0.25%             | 2028-03-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136AUBA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3137056 | PA      | $196860.40    | 0.01%             | 2046-11-25      | Floating      | 1.42%                 | No            |                  3 | On Loan: No      |
| Mach I                                            | MACH 1 Cayman 2019-1 Ltd                                           | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1574535 | PA      | $1512403.78   | 0.10%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133JLNT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1457410 | PA      | $1167973.57   | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust     | BHG Securitization Trust 2022-C                                    | CUSIP: 08860DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12676 | PA      | $12675.84     | 0.00%             | 2035-10-17      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2016-DC2 Mortgage Trust                                       | CUSIP: 12594CBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199474 | PA      | $198474.89    | 0.01%             | 2049-02-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381YLF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280000 | PA      | $207327.00    | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust          | AmeriCredit Automobile Receivables Trust 2023-2                    | CUSIP: 03065UAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $3158673.70   | 0.21%             | 2029-07-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31397RL61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202447 | PA      | $196153.26    | 0.01%             | 2038-02-15      | Floating      | 5.21%                 | No            |                  3 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust          | Ford Credit Floorplan Master Owner Trust A                         | CUSIP: 34528QHY3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    330000 | PA      | $332304.03    | 0.02%             | 2028-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SLAM LLC                                          | Slam Ltd                                                           | CUSIP: 83100AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1810850 | PA      | $1771840.84   | 0.12%             | 2049-09-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108112 | PA      | $7682.96      | 0.00%             | 2062-10-20      | Variable      | 1.23%                 | No            |                  3 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2024-A                           | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1780000 | PA      | $1795824.20   | 0.12%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BRQL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25398266 | PA      | $339920.49    | 0.02%             | 2026-07-25      | Variable      | 1.15%                 | No            |                  3 | On Loan: No      |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2023-2                                         | CUSIP: 23346CAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    822000 | PA      | $823941.40    | 0.05%             | 2029-02-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust             | Mission Lane Credit Card Master Trust                              | CUSIP: 60510MBE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1920000 | PA      | $1923048.96   | 0.13%             | 2030-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS6 Trust                                         | CUSIP: 74922EAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112 | PA      | $0.01         | 0.00%             | 2062-04-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-B                            | CUSIP: 78449LAB4<br>LEI: 549300INMCHM7L5O6M41 | Long             | ABS-O            | CORP              | US        |    639543 | PA      | $629195.81    | 0.04%             | 2037-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379RZU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  23539648 | PA      | $954662.21    | 0.06%             | 2059-01-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3860000 | PA      | $3767388.56   | 0.25%             | 2027-02-20      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Alinea CLO LTD                                    | Alinea CLO 2018-1 Ltd                                              | CUSIP: 016269AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5255000 | PA      | $5264763.79   | 0.34%             | 2031-07-20      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381TRX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1913327 | PA      | $151396.45    | 0.01%             | 2049-04-20      | Floating      | 1.56%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FX3B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16971074 | PA      | $14663453.24  | 0.96%             | 2063-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK25                                                    | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1770000 | PA      | $1564409.90   | 0.10%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL1 Trust                                               | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1314107 | PA      | $1310936.13   | 0.09%             | 2060-09-27      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                   | Republic Finance Issuance Trust 2021-A                             | CUSIP: 76042UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2745000 | PA      | $2643036.98   | 0.17%             | 2031-12-22      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                  | RALI Series 2006-QS18 Trust                                        | CUSIP: 74922RAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9312 | PA      | $4897.66      | 0.00%             | 2056-06-25      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3132WVVT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1621383 | PA      | $1434626.48   | 0.09%             | 2037-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380NMN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17114143 | PA      | $766217.31    | 0.05%             | 2061-12-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                   | Prestige Auto Receivables Trust 2023-2                             | CUSIP: 74113VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2985000 | PA      | $3032808.36   | 0.20%             | 2027-12-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| TIF Funding II LLC                                | TIF Funding II LLC                                                 | CUSIP: 872480AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395667 | PA      | $1290186.26   | 0.08%             | 2045-08-20      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                     | Commonbond Student Loan Trust 2020-A-GS                            | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523154 | PA      | $449483.24    | 0.03%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                            | Marlette Funding Trust 2024-1                                      | CUSIP: 57108VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215000 | PA      | $217455.09    | 0.01%             | 2034-07-17      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR9 Trust                               | CUSIP: 74333QAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5450000 | PA      | $4901472.22   | 0.32%             | 2040-11-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BTAE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  85909529 | PA      | $101515.85    | 0.01%             | 2026-10-25      | Variable      | 0.05%                 | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-B                   | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    527705 | PA      | $497005.46    | 0.03%             | 2069-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                       | Merchants Fleet Funding LLC                                        | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   1789507 | PA      | $1811781.15   | 0.12%             | 2036-05-20      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust 2023-NPL1              | GITSIT Mortgage Loan Trust 2024-NPL1                               | CUSIP: 375925AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    867125 | PA      | $872819.78    | 0.06%             | 2054-06-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381EVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  27492858 | PA      | $1578059.81   | 0.10%             | 2064-06-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137F8RE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6547661 | PA      | $1052674.08   | 0.07%             | 2042-04-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2018-C48                     | CUSIP: 95001RAX7<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4861775.00   | 0.32%             | 2052-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        69 | NC      | $-259910.10   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32659378 | PA      | $621246.69    | 0.04%             | 2032-02-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                        | Affirm Asset Securitization Trust 2024-A                           | CUSIP: 00834BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    555000 | PA      | $559157.51    | 0.04%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105565 | PA      | $20989.12     | 0.00%             | 2036-10-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust      | CUSIP: 92926UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    483195 | PA      | $409920.85    | 0.03%             | 2036-11-25      | Variable      | 4.99%                 | No            |                  3 | On Loan: No      |
| Bank5                                             | BANK5 Trust 2024-5YR6                                              | CUSIP: 066043AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140000 | PA      | $2240481.77   | 0.15%             | 2057-05-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396YE99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178410 | PA      | $221291.87    | 0.01%             | 2036-08-25      | Floating      | 9.58%                 | No            |                  3 | On Loan: No      |
| Hilton Grand Vacations Trust                      | Hilton Grand Vacations Trust 2023-1                                | CUSIP: 432917AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2362839 | PA      | $2388413.52   | 0.16%             | 2038-01-25      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BPVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13806871 | PA      | $583859.44    | 0.04%             | 2031-01-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-L3                             | CUSIP: 61691UBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5780000 | PA      | $5288484.98   | 0.34%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                               | Frontier Issuer LLC                                                | CUSIP: 35910EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2383000 | PA      | $2430698.13   | 0.16%             | 2053-08-20      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | Carmax Auto Owner Trust 2022-3                                     | CUSIP: 14318MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3030000 | PA      | $3066492.71   | 0.20%             | 2029-01-16      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KQF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10640892 | PA      | $203597.83    | 0.01%             | 2049-12-16      | Variable      | 0.56%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379FAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2636440 | PA      | $418669.20    | 0.03%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2024-A                                          | CUSIP: 03837DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1866851 | PA      | $1840953.67   | 0.12%             | 2050-04-18      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Post CLO LTD                                      | Post CLO 2022-1 LTD                                                | CUSIP: 73742YAA3<br>LEI: 5493007CUC7FI0ONIF25 | Long             | ABS-CBDO         | CORP              | KY        |   3800000 | PA      | $3804780.40   | 0.25%             | 2035-04-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2022-BNK42                                                    | CUSIP: 06541MBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1830000 | PA      | $1734725.99   | 0.11%             | 2055-06-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379KMF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4575231 | PA      | $55428.60     | 0.00%             | 2055-11-16      | Variable      | 0.41%                 | No            |                  3 | On Loan: No      |
| GLS Auto Select Receivables Trust                 | GLS Auto Select Receivables Trust 2024-3                           | CUSIP: 37989EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    985000 | PA      | $991914.80    | 0.06%             | 2030-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust     | Bridgecrest Lending Auto Securitization Trust 2024-3               | CUSIP: 10805NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1270000 | PA      | $1280363.20   | 0.08%             | 2028-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FRESB Multifamily Mortgage Pass-Through Certifica | FRESB 2021-SB90 Mortgage Trust                                     | CUSIP: 30322KAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14624936 | PA      | $296539.44    | 0.02%             | 2041-06-25      | Variable      | 0.62%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2013-ALTM                           | CUSIP: 61690LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3285000 | PA      | $3267493.58   | 0.21%             | 2035-02-05      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9867485.30   | 0.64%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2024-1 LLC                                   | CUSIP: 783896AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585000 | PA      | $589764.24    | 0.04%             | 2029-11-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48441 | PA      | $47859.16     | 0.00%             | 2060-02-20      | Floating      | 5.38%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256215 | PA      | $46404.24     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BSRG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23678602 | PA      | $82306.58     | 0.01%             | 2026-09-25      | Variable      | 0.29%                 | No            |                  3 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                  | WFRBS Commercial Mortgage Trust 2013-C15                           | CUSIP: 92938CAF4<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |    600455 | PA      | $564427.84    | 0.04%             | 2046-08-15      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382KYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4075853 | PA      | $863550.57    | 0.06%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2020-D                   | CUSIP: 63941HAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1565000 | PA      | $1317907.16   | 0.09%             | 2069-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31397ME86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488039 | PA      | $467068.71    | 0.03%             | 2038-08-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137B8GL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2105972 | PA      | $179828.69    | 0.01%             | 2039-06-15      | Floating      | 1.48%                 | No            |                  3 | On Loan: No      |
| Starwood Retail Property Trust                    | Starwood Retail Property Trust 2014-STAR                           | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   1700120 | PA      | $1070120.01   | 0.07%             | 2027-11-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                   | Citizens Auto Receivables Trust 2023-1                             | CUSIP: 17331KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3025000 | PA      | $3087499.53   | 0.20%             | 2030-10-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                   | CLI Funding VI LLC                                                 | CUSIP: 12563LAS6<br>LEI: 549300NQLBWJD5AREU05 | Long             | ABS-O            | CORP              | US        |   1657800 | PA      | $1523108.44   | 0.10%             | 2045-10-18      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                    | Starwood Retail Property Trust 2014-STAR                           | CUSIP: 85571XAL1<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $3771300.00   | 0.25%             | 2027-11-15      | Floating      | 7.75%                 | No            |                  3 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-1                           | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1105000 | PA      | $1118997.04   | 0.07%             | 2034-03-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                         | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370000 | PA      | $1387068.83   | 0.09%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                      | Hilton Grand Vacations Trust 2020-A                                | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1485459 | PA      | $1436780.91   | 0.09%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp.                       | FIXED INC CLEARING CORP.REPO                                       | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  96558287 | PA      | $96558286.99  | 6.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                            | Rockford Tower 2024-2 Ltd                                          | CUSIP: 77340XAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4255000 | PA      | $4270500.97   | 0.28%             | 2037-10-20      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  95432982 | PA      | $7348024.65   | 0.48%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC22                             | CUSIP: 36253BAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1841517.00   | 0.12%             | 2047-06-10      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7891511 | PA      | $93833.22     | 0.01%             | 2026-08-25      | Variable      | 0.90%                 | No            |                  3 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR2 Trust                                     | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5430000 | PA      | $5114252.56   | 0.33%             | 2038-09-17      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380MDL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7253529 | PA      | $280098.30    | 0.02%             | 2060-01-16      | Variable      | 0.60%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KQTT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1134361 | PA      | $862599.18    | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2024-2                                     | CUSIP: 61947BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3079799 | PA      | $2980724.64   | 0.19%             | 2052-04-22      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust         | TCO Commercial Mortgage Trust 2024-DPM                             | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $540088.56    | 0.04%             | 2039-12-15      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Tesla Electric Vehicle Trust                      | Tesla Electric Vehicle Trust 2023-1                                | CUSIP: 881943AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1648175.32   | 0.11%             | 2031-05-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential Trust                                         | CUSIP: 74333HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1715000 | PA      | $1640795.21   | 0.11%             | 2038-07-17      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                  | SpringCastle America Funding LLC                                   | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1449546 | PA      | $1331125.34   | 0.09%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140KQ5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3784528 | PA      | $3104051.33   | 0.20%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                   | CUSIP: 3133JLMB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6982069 | PA      | $5595554.96   | 0.36%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TIC Home Improvement Trust                        | TIC Home Improvement Trust 2024-A                                  | CUSIP: 87252DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    502190 | PA      | $505386.90    | 0.03%             | 2046-10-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                          | Mill City Mortgage Trust 2015-2                                    | CUSIP: 599808BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4006000 | PA      | $3823357.65   | 0.25%             | 2057-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                        | LAD Auto Receivables Trust 2024-2                                  | CUSIP: 505920AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1035000 | PA      | $1041993.50   | 0.07%             | 2029-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-EXP1 Trust                                                | CUSIP: 67097VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134155 | PA      | $124349.48    | 0.01%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137AQB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1074614 | PA      | $998463.69    | 0.07%             | 2040-08-15      | Floating      | 0.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RGX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36515606 | PA      | $2841195.29   | 0.19%             | 2062-09-16      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18678 | PA      | $18468.98     | 0.00%             | 2061-03-20      | Floating      | 5.27%                 | No            |                  3 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137BMTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15356564 | PA      | $64570.20     | 0.00%             | 2025-11-25      | Variable      | 0.61%                 | No            |                  3 | On Loan: No      |
| Social Professional Loan Program LLC              | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                          | CUSIP: 83401BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150967 | PA      | $149253.98    | 0.01%             | 2041-01-25      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9768388 | PA      | $9642970.21   | 0.63%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FXWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  41081048 | PA      | $32701534.21  | 2.13%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19746127 | PA      | $415118.89    | 0.03%             | 2055-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376GL32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    489862 | PA      | $3313.19      | 0.00%             | 2053-04-16      | Variable      | 0.53%                 | No            |                  3 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes           | Santander Bank Auto Credit-Linked Notes Series 2022-B              | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15624 | PA      | $15628.35     | 0.00%             | 2032-08-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137AWM51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4073737 | PA      | $442276.86    | 0.03%             | 2042-11-15      | Floating      | 1.44%                 | No            |                  3 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2024-1                       | CUSIP: 96043RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1640000 | PA      | $1653707.12   | 0.11%             | 2027-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                           | CUSIP: 05377RHC1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   4318000 | PA      | $4409960.45   | 0.29%             | 2028-04-20      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Welk Resorts LLC                                  | Welk Resorts 2019-A LLC                                            | CUSIP: 94946DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435440 | PA      | $434771.86    | 0.03%             | 2038-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12801 | PA      | $11580.00     | 0.00%             | 2061-06-20      | Variable      | 4.90%                 | No            |                  3 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                | CUSIP: 912797JR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  15000000 | PA      | $14962857.90  | 0.98%             | 2025-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO 3 Ltd.                                    | AGL CLO 3 LTD                                                      | CUSIP: 00119MAA7<br>LEI: 549300LS0REDUXQSHW18 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $3003024.00   | 0.20%             | 2033-01-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC22                             | CUSIP: 36253BBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2373000 | PA      | $1429728.94   | 0.09%             | 2047-06-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 3136A36Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692194 | PA      | $49106.60     | 0.00%             | 2042-03-25      | Floating      | 1.27%                 | No            |                  3 | On Loan: No      |
| Willis Engine Securitization Trust                | Willis Engine Structured Trust VI                                  | CUSIP: 97064GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2115592 | PA      | $1882291.45   | 0.12%             | 2046-05-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Program LLC              | SoFi Professional Loan Program 2020-ATrust                         | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2453981 | PA      | $2335209.07   | 0.15%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                       | OCP CLO 2020-8R Ltd                                                | CUSIP: 670898AS4<br>LEI: 254900K70GBA8CMARX66 | Long             | ABS-CBDO         | CORP              | KY        |   5145000 | PA      | $5145391.02   | 0.34%             | 2036-10-17      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                             | Palmer Square CLO 2015-1 Ltd                                       | CUSIP: 69689ABL3<br>LEI: 5493006ZPBFJJGSXB826 | Long             | ABS-CBDO         | CORP              | KY        |    575000 | PA      | $575386.40    | 0.04%             | 2034-05-21      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2019-C18 Commercial Mortgage Trust                           | CUSIP: 12597DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2405000 | PA      | $2169711.15   | 0.14%             | 2052-12-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137BLDL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1005927 | PA      | $178065.06    | 0.01%             | 2044-03-15      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140JVVH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1927043 | PA      | $1653568.39   | 0.11%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FET44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509031 | PA      | $82244.01     | 0.01%             | 2036-05-25      | Variable      | 5.50%                 | No            |                  3 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2012-BWTR                        | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   3676207 | PA      | $2953045.82   | 0.19%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FEMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3473630 | PA      | $2852312.07   | 0.19%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FF5G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1166239 | PA      | $272361.16    | 0.02%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FAB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45555 | PA      | $7057.51      | 0.00%             | 2033-02-25      | Variable      | 7.00%                 | No            |                  3 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B13 Mortgage Trust                                  | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5185000 | PA      | $4705632.75   | 0.31%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38378U8M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119468 | PA      | $115711.95    | 0.01%             | 2064-11-20      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137FYQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14544826 | PA      | $1001187.31   | 0.07%             | 2048-12-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| WAVE 2017-1 LLC                                   | WAVE 2017-1 Trust                                                  | CUSIP: 94353WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2340994 | PA      | $2171247.19   | 0.14%             | 2042-11-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                         | College Ave Student Loans 2021-A LLC                               | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    388456 | PA      | $348729.08    | 0.02%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380JDW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20651882 | PA      | $734126.92    | 0.05%             | 2059-12-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| HARBOUR AIRCRAFT INVST LTD                        | HARBOUR AIRCRAFT INVST LTD 2017 Term Loan A                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |   1075712 | PA      | $1054158.41   | 0.07%             | 2037-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST                                    | ACHV ABS TRUST 2024-1PL                                            | CUSIP: 00092BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409209 | PA      | $413491.44    | 0.03%             | 2031-04-25      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR25                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1556 | NC      | $-1154626.32  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2024-1                                     | CUSIP: 618937AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418990 | PA      | $407614.60    | 0.03%             | 2049-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance                          | Horizon Aircraft Finance II Ltd                                    | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-O            | CORP              | KY        |    408840 | PA      | $389017.45    | 0.03%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140FXUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8951901 | PA      | $7127010.30   | 0.46%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 3137HH6W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  42280515 | PA      | $41825652.64  | 2.73%             | 2051-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                      | Drive Auto Receivables Trust 2024-2                                | CUSIP: 26207AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    790000 | PA      | $784211.28    | 0.05%             | 2029-07-16      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       649 | PA      | $629.17       | 0.00%             | 2065-10-20      | Floating      | 5.47%                 | No            |                  3 | On Loan: No      |
| LCM Ltd Partnership                               | LCM 30 Ltd                                                         | CUSIP: 50200YAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3005000 | PA      | $3009510.51   | 0.20%             | 2031-04-20      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379US56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6383372 | PA      | $309075.97    | 0.02%             | 2056-10-16      | Fixed         | 0.95%                 | No            |                  3 | On Loan: No      |
| MVW Owner Trust                                   | MVW 2024-2 LLC                                                     | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1391351 | PA      | $1362354.21   | 0.09%             | 2042-03-20      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31397RC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    682217 | PA      | $52718.93     | 0.00%             | 2038-02-15      | Floating      | 1.54%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380JLX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10521267 | PA      | $450800.52    | 0.03%             | 2059-12-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                 | CUSIP: 31396RGA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2038865 | PA      | $204859.02    | 0.01%             | 2036-05-15      | Floating      | 2.49%                 | No            |                  3 | On Loan: No      |
| Sierra Receivables Funding Co LLC                 | Sierra Timeshare 2024-3 Receivables Funding LLC                    | CUSIP: 82653BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1116601 | PA      | $1104819.48   | 0.07%             | 2041-08-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380RTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  39744533 | PA      | $2451641.52   | 0.16%             | 2063-03-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31394DR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    699913 | PA      | $776396.71    | 0.05%             | 2035-06-25      | Floating      | 7.25%                 | No            |                  3 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR2 Trust                               | CUSIP: 74333DAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2670000 | PA      | $2577378.77   | 0.17%             | 2038-04-19      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380N6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  33874136 | PA      | $1568311.52   | 0.10%             | 2061-10-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375B4X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1702511 | PA      | $38686.53     | 0.00%             | 2063-07-20      | Variable      | 1.46%                 | No            |                  3 | On Loan: No      |
| Bank                                              | BANK 2022-BNK39                                                    | CUSIP: 06539VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $4571170.50   | 0.30%             | 2055-02-15      | Variable      | 2.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382YHA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1246731 | PA      | $16497.67     | 0.00%             | 2070-03-20      | Variable      | 0.06%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38382KYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9563379 | PA      | $1932002.42   | 0.13%             | 2049-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2018-A                            | CUSIP: 78449PAD1<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $109864.64    | 0.01%             | 2042-07-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2019-G                   | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568806 | PA      | $544023.72    | 0.04%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31396KPJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27206 | PA      | $2622.88      | 0.00%             | 2036-08-25      | Floating      | 2.62%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375UTH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2114017 | PA      | $2094019.37   | 0.14%             | 2064-10-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| DROP Mortgage Trust 2021-FILE                     | DROP Mortgage Trust 2021-FILE                                      | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5365000 | PA      | $5090043.75   | 0.33%             | 2043-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                   | SEB Funding LLC                                                    | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2446900.29   | 0.16%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2024-2                      | CUSIP: 80286YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $509842.55    | 0.03%             | 2030-06-17      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                      | Hardee's Funding LLC                                               | CUSIP: 411707AM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    476400 | PA      | $486587.15    | 0.03%             | 2054-03-20      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  51443605 | PA      | $1245141.02   | 0.08%             | 2032-06-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38380CG31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3410550 | PA      | $390843.68    | 0.03%             | 2047-02-20      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                  | CUSIP: 31397MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132843 | PA      | $127032.03    | 0.01%             | 2038-11-25      | Variable      | 3.87%                 | No            |                  3 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2019-D                                    | CUSIP: 00968FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1261994 | PA      | $1192906.74   | 0.08%             | 2065-09-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38379VRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    363460 | PA      | $355268.68    | 0.02%             | 2037-07-20      | Variable      | 5.55%                 | No            |                  3 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108495 | PA      | $19053.59     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  3 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2003-B                       | CUSIP: 78443CAN4<br>LEI: 549300BLEHJGFV7XSO25 | Long             | ABS-O            | CORP              | US        |    107000 | PA      | $103128.31    | 0.01%             | 2033-03-15      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR2 Trust                              | CUSIP: 89613JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1305000 | PA      | $1196089.79   | 0.08%             | 2039-11-17      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| BofA Auto Trust                                   | BofA Auto Trust 2024-1                                             | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445000 | PA      | $450599.44    | 0.03%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2023-RCF2 LLC                                                 | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    249632 | PA      | $243781.59    | 0.02%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust             | Onemain Direct Auto Receivables Trust 2022-1                       | CUSIP: 68269DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2138370 | PA      | $2147306.81   | 0.14%             | 2029-03-14      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38376RFZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6569 | PA      | $6313.86      | 0.00%             | 2063-04-20      | Floating      | 4.97%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BVA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301410 | PA      | $297469.34    | 0.02%             | 2061-01-20      | Variable      | 5.31%                 | No            |                  3 | On Loan: No      |
| Hyundai Auto Receivables Trust                    | Hyundai Auto Receivables Trust 2021-C                              | CUSIP: 44935FAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4230000 | PA      | $4078557.96   | 0.27%             | 2028-06-15      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-DC1 Mortgage Trust                                       | CUSIP: 12629NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2143262 | PA      | $2139892.60   | 0.14%             | 2048-02-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2022-OANA                                                | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2235000 | PA      | $2243381.25   | 0.15%             | 2037-04-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                    | CUSIP: 3140XGZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9019812 | PA      | $7364180.22   | 0.48%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | Carmax Auto Owner Trust 2023-3                                     | CUSIP: 14319BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $810579.68    | 0.05%             | 2029-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                          | CUSIP: 3136FC2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164658 | PA      | $32544.58     | 0.00%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  3 | On Loan: No      |
| Galaxy CLO Ltd                                    | Galaxy XXVI CLO Ltd                                                | CUSIP: 36321LAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1385000 | PA      | $1387671.67   | 0.09%             | 2031-11-22      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381D2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  49757606 | PA      | $2878940.26   | 0.19%             | 2064-03-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2024-VLT5                             | CUSIP: 05614JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1485000 | PA      | $1480742.51   | 0.10%             | 2046-11-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | Countrywide Asset-Backed Certificates                              | CUSIP: 126673TD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8980 | PA      | $8820.82      | 0.00%             | 2035-02-25      | Variable      | 5.12%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38375BWZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1832 | PA      | $1808.50      | 0.00%             | 2062-10-20      | Floating      | 4.60%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                           | CUSIP: 38381DMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40448401 | PA      | $2585866.25   | 0.17%             | 2063-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-05

**Name of Applicant:** LOOMIS SAYLES FUNDS I

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer