# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-25-004162
**Filing Date:** 2025-10
**Character Count:** 246550
**Document Hash:** 92e4866589e69c0bcc4294131cf0ab72
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-004162.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0002071691-25-004162

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22903
- **FILM NUMBER:** 251429174

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

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

## Series and Classes Contracts Data

### JPMorgan Limited Duration Bond ETF (Series ID: S000079814)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000241197 | JPMorgan Limited Duration Bond ETF | JPLD            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

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

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

- **a. Name of Series:** JPMorgan Limited Duration Bond ETF

- **b. EDGAR series identifier (if any):** S000079814

- **c. LEI of Series:** 5493000BIWEW3H1AQT90

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2227386325.10

**Total Liabilities:** $16518062.34

**Net Assets:** $2210868262.76

**Cash Not Reported:** $727910.54

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 830.85618000 | **1-Year:** 153302.94272000 | **5-Year:** 389343.91586000 | **10-Year:** 35772.17429000 | **30-Year:** 0.00000000

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

- **3-Month:** 0.29491000 | **1-Year:** 1885.85156000 | **5-Year:** 4445.91153000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241197 | 0.85%                | 0.17%                | 0.94%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $36359.74                | $6655271.65                                |
| Month 2  | $-305550.43              | $-3352790.03                               |
| Month 3  | $-1680.72                | $11474996.16                               |

**Designated Index Information**

- **Index Name:** N/A

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WHARF Commercial Mortgage Trust                                      | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                        | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1175000 | PA      | $1207522.71   | 0.05%             | 2040-07-15      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| MRFC Mortgage Pass-Through Trust                                     | MRFC Mortgage Pass-Through Trust, Series 2002-TBC2, Class B1                                    | CUSIP: 585525GA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21278 | PA      | $21652.32     | 0.00%             | 2032-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                             | CFMT LLC, Series 2024-HB15, Class A                                                             | CUSIP: 15723AAA9<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1277186 | PA      | $1270388.50   | 0.06%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Hertz Vehicle Financing LLC                                          | Hertz Vehicle Financing LLC, Series 2025-2A, Class A                                            | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1050000 | PA      | $1064453.99   | 0.05%             | 2031-09-25      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| BX                                                                   | BX, Series 2024-PALM, Class A                                                                   | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4326923 | PA      | $4332327.41   | 0.20%             | 2037-06-15      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4606, Class FL                                                             | CUSIP: 3137BR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2964067 | PA      | $2922672.34   | 0.13%             | 2044-12-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 31426FYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9959482 | PA      | $10192444.68  | 0.46%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-58, Class FG                                                           | CUSIP: 3136AKB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3574400 | PA      | $3523691.65   | 0.16%             | 2044-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2022-12, Class GE                                                           | CUSIP: 3136BMDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6759341 | PA      | $6243557.99   | 0.28%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H23, Class TA                                                                 | CUSIP: 38376RHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3516380 | PA      | $3515533.78   | 0.16%             | 2065-09-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1A1                                 | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16717921 | PA      | $16734592.60  | 0.76%             | 2045-02-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-91, Class AF                                                           | CUSIP: 3136AQTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1750633 | PA      | $1773499.04   | 0.08%             | 2045-12-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                                | SBNA Auto Lease Trust, Series 2024-C, Class A3                                                  | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1002155.40   | 0.05%             | 2028-02-22      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                      | Palmer Square Loan Funding Ltd., Series 2024-1A, Class A1                                       | CUSIP: 69703NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3968455 | PA      | $3973955.50   | 0.18%             | 2032-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418XYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156945 | PA      | $159008.27    | 0.01%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 11, Class A                                                      | CUSIP: 81744AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4912 | PA      | $4258.99      | 0.00%             | 2032-12-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                        | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                       | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54126 | PA      | $54101.24     | 0.00%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4350, Class KF                                                             | CUSIP: 3137BBHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248769 | PA      | $242566.71    | 0.01%             | 2039-01-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2025-C, Class A                                                  | CUSIP: 68378RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10030009.00  | 0.45%             | 2033-07-08      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                                              | Carmax Auto Owner Trust, Series 2025-1, Class A3                                                | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3235000 | PA      | $3283774.10   | 0.15%             | 2030-01-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                                    | World Omni Auto Receivables Trust, Series 2024-A, Class A4                                      | CUSIP: 98164RAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2890000 | PA      | $2933295.67   | 0.13%             | 2029-10-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140KTHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3452542 | PA      | $3002917.61   | 0.14%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RFM Re-REMIC Trust                                                   | RFM Re-REMIC Trust, Series 2022-FRR1, Class AB60                                                | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3820038.00   | 0.17%             | 2049-11-08      | Variable      | 2.34%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                     | Deutsche Bank AG                                                                                | CUSIP: 25160PAP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5000000 | PA      | $5017421.65   | 0.23%             | 2029-01-10      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-J4, Class 1A6                                               | CUSIP: 12667FFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       167 | PA      | $165.93       | 0.00%             | 2034-06-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-104, Class LA                                                          | CUSIP: 3136B0LR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    857746 | PA      | $795859.13    | 0.04%             | 2047-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                          | Business Jet Securities LLC, Series 2024-1A, Class A                                            | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3391868 | PA      | $3500523.17   | 0.16%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| Toyota Lease Owner Trust                                             | Toyota Lease Owner Trust, Series 2024-B, Class A3                                               | CUSIP: 891943AD4<br>LEI: 254900R64DFTI1MWY364 | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6005314.80   | 0.27%             | 2027-09-20      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                                 | Porsche Innovative Lease Owner Trust, Series 2024-2A, Class A4                                  | CUSIP: 73328NAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2835000 | PA      | $2838083.35   | 0.13%             | 2030-09-20      | Fixed         | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M1                                 | CUSIP: 20754GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1612186 | PA      | $1612678.27   | 0.07%             | 2044-02-25      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4281, Class FB                                                             | CUSIP: 3137B6N64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1414689 | PA      | $1397143.32   | 0.06%             | 2043-12-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2024-SFR1, Class A                                             | CUSIP: 89616UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1390000 | PA      | $1393145.57   | 0.06%             | 2041-04-17      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1                                 | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1169772 | PA      | $1196005.85   | 0.05%             | 2042-07-25      | Floating      | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                               | Tesla Auto Lease Trust, Series 2024-A, Class B                                                  | CUSIP: 88166VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3021489.30   | 0.14%             | 2028-05-22      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO Ltd.                                                   | Ballyrock CLO Ltd., Series 2020-2A, Class A1R                                                   | CUSIP: 05875DAJ1<br>LEI: 254900Y6C4AXEAZ9T124 | Long             | ABS-CBDO         | CORP              | KY        |   2039287 | PA      | $2040394.32   | 0.09%             | 2031-10-20      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                    | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                     | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1628940 | PA      | $1630443.99   | 0.07%             | 2037-02-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4074, Class FE                                                             | CUSIP: 3137ASJS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1053324 | PA      | $1039956.95   | 0.05%             | 2042-07-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-6, Class FL                                                            | CUSIP: 3136ABY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507235 | PA      | $499207.53    | 0.02%             | 2043-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2020-2, Class A                                         | CUSIP: 21872VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56641 | PA      | $56363.85     | 0.00%             | 2052-05-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S                                  | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752757 | PA      | $739003.79    | 0.03%             | 2048-01-25      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2022-SFR1, Class C                                                         | CUSIP: 10805VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3984792.00   | 0.18%             | 2037-11-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                                           | ROCK Trust, Series 2024-CNTR, Class A                                                           | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2380000 | PA      | $2449870.61   | 0.11%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DN6Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2826116 | PA      | $2853716.00   | 0.13%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140JAFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2762814 | PA      | $2669116.11   | 0.12%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5460, Class AF                                                             | CUSIP: 3137HFQP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9144639 | PA      | $9154027.09   | 0.41%             | 2054-10-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2024-HQA2, Class A1                                             | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $9039357.82   | 0.41%             | 2044-08-25      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K81, Class C                                                  | CUSIP: 30297HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10682000 | PA      | $10513790.55  | 0.48%             | 2051-09-25      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2020-AA, Class A                                           | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423587 | PA      | $415543.60    | 0.02%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K82, Class C                                                  | CUSIP: 30297LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2956468.80   | 0.13%             | 2028-09-25      | Variable      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                                 | Lhome Mortgage Trust, Series 2025-RTL2, Class A1                                                | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1708650.34   | 0.08%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2021-H07, Class FA                                                                 | CUSIP: 38380Q3B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6188025 | PA      | $6213310.91   | 0.28%             | 2071-05-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 328, Class S4                                                             | CUSIP: 31352DC24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2258657 | PA      | $117331.04    | 0.01%             | 2038-02-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                | Countrywide Asset-Backed Certificates, Series 2003-BC2, Class 2A1                               | CUSIP: 126671YB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74923 | PA      | $74697.12     | 0.00%             | 2033-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2025-NQM10, Class A1                                                          | CUSIP: 67121LAA4<br>LEI: 254900NDJVO62R77II89 | Long             | ABS-MBS          | CORP              | US        |   5909405 | PA      | $5968751.63   | 0.27%             | 2065-05-25      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                                | GM Financial Automobile Leasing Trust, Series 2024-3, Class A3                                  | CUSIP: 38012QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1250981.38   | 0.06%             | 2027-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                               | Consumer Portfolio Services Auto Trust, Series 2025-B, Class A                                  | CUSIP: 12630SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4918487 | PA      | $4929441.37   | 0.22%             | 2029-02-15      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| 20 Times Square Trust                                                | 20 Times Square Trust, Series 2018-20TS, Class A                                                | CUSIP: 90137LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1045999 | PA      | $1006774.17   | 0.05%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                            | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6050940 | PA      | $5456547.43   | 0.25%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q007, Class APT2               | CUSIP: 3137FHQC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567899 | PA      | $566385.85    | 0.03%             | 2047-10-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2022-1, Class D                                          | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    524886 | PA      | $518135.98    | 0.02%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class B                                      | CUSIP: 37989YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8260000 | PA      | $8290856.88   | 0.38%             | 2030-01-15      | Fixed         | 4.57%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2024-1A, Class A                                               | CUSIP: 349941AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1621601 | PA      | $1661850.51   | 0.08%             | 2049-12-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-16, Class HZ                                                           | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89387 | PA      | $93560.33     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2025-A, Class A                                                  | CUSIP: 68377TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3440000 | PA      | $3441517.73   | 0.16%             | 2033-02-08      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A3                                        | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1835000 | PA      | $1845293.25   | 0.08%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| MMP Capital LLC                                                      | MMP Capital LLC, Series 2025-A, Class A                                                         | CUSIP: 55317QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2024191 | PA      | $2036599.88   | 0.09%             | 2031-12-15      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133KJJP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4596617 | PA      | $3856724.71   | 0.17%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR4, Class A                                           | CUSIP: 74334JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6892198 | PA      | $6566398.57   | 0.30%             | 2041-07-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2024-RTL4, Class A1                                                | CUSIP: 50205PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3019069.80   | 0.14%             | 2039-07-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                                            | Aqua Finance Issuer Trust, Series 2025-A, Class A                                               | CUSIP: 038394AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5531192 | PA      | $5619562.15   | 0.25%             | 2050-12-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                        | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183889 | PA      | $172661.29    | 0.01%             | 2034-06-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2025-1A, Class A                                                                | CUSIP: 627924AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3308709 | PA      | $3356330.17   | 0.15%             | 2042-09-22      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2024-NQM15, Class A1                                                          | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |   2400507 | PA      | $2407311.19   | 0.11%             | 2064-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| BX                                                                   | BX, Series 2021-MFM1, Class A                                                                   | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    428163 | PA      | $428029.32    | 0.02%             | 2034-01-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K64, Class C                                                  | CUSIP: 30296CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3285000 | PA      | $3244668.08   | 0.15%             | 2050-05-25      | Variable      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 1974, Class ZA                                                             | CUSIP: 3133TAN73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1649 | PA      | $1651.17      | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-119, Class FB                                                          | CUSIP: 3136A9NH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2173481 | PA      | $2129681.24   | 0.10%             | 2042-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3142GRZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5312768 | PA      | $5439804.83   | 0.25%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                   | First Franklin Mortgage Loan Trust, Series 2004-FF8, Class M4                                   | CUSIP: 32027NNT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176861 | PA      | $118074.98    | 0.01%             | 2034-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2005-5, Class A1                                                        | CUSIP: 45254NPU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226511 | PA      | $212247.46    | 0.01%             | 2035-08-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H29, Class FA                                                                 | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234984 | PA      | $235075.34    | 0.01%             | 2062-10-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                                         | Veros Auto Receivables Trust, Series 2023-1, Class B                                            | CUSIP: 924933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1927461 | PA      | $1939558.05   | 0.09%             | 2028-11-15      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2023-N1, Class D                                         | CUSIP: 14688FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10245415.00  | 0.46%             | 2029-07-10      | Fixed         | 6.69%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2018-K83, Class C                                                  | CUSIP: 302958AQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6916752.50   | 0.31%             | 2051-11-25      | Variable      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A3                                  | CUSIP: 61748HAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50177 | PA      | $49217.88     | 0.00%             | 2034-07-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4611, Class BF                                                             | CUSIP: 3137BRC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7518056 | PA      | $7439809.37   | 0.34%             | 2041-06-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140Q9XT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499299 | PA      | $488160.82    | 0.02%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                      | Palmer Square Loan Funding Ltd., Series 2025-1A, Class A2                                       | CUSIP: 69704CAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4800000 | PA      | $4767926.40   | 0.22%             | 2033-02-15      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-10, Class FA                                                           | CUSIP: 3136BQ5S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33738382 | PA      | $33848513.89  | 1.53%             | 2054-03-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, Other                                                                                  | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2497051 | PA      | $2531710.00   | 0.11%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFRA, Class A                                                 | CUSIP: 33768DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1958042 | PA      | $1916537.45   | 0.09%             | 2039-03-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC Gold Pools, Other                                                                         | CUSIP: 3132FNAK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373881 | PA      | $368360.01    | 0.02%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133KHWU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4398418 | PA      | $4167081.63   | 0.19%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                                              | Carmax Auto Owner Trust, Series 2022-2, Class A3                                                | CUSIP: 14317HAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479346 | PA      | $478675.04    | 0.02%             | 2027-02-16      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QWC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14390437 | PA      | $14836034.60  | 0.67%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2024-2A, Class A                                               | CUSIP: 35040VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3561514 | PA      | $3568632.60   | 0.16%             | 2050-03-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4413, Class WF                                                             | CUSIP: 3137BFBJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919573 | PA      | $897284.28    | 0.04%             | 2041-10-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2024-5A, Class A3                                   | CUSIP: 30165BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1750162.40   | 0.08%             | 2028-03-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                        | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class C                           | CUSIP: 10806HAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8054908.00   | 0.36%             | 2029-12-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4448, Class TF                                                             | CUSIP: 3137BGZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1379430 | PA      | $1362013.40   | 0.06%             | 2040-05-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133BXV73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7389181 | PA      | $7325940.48   | 0.33%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31418MUN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517566 | PA      | $527219.68    | 0.02%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                          | Diamond Resorts Owner Trust, Series 2021-1A, Class A                                            | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247296 | PA      | $246841.26    | 0.01%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H17, Class FM                                                                 | CUSIP: 38375UNT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2859273 | PA      | $2858926.96   | 0.13%             | 2064-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                           | Street Capital Group, Inc.                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |    799373 | PA      | $799373.05    | 0.04%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K736, Class C                                                 | CUSIP: 30298MAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1974329.40   | 0.09%             | 2026-07-25      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Trust                                                          | BBCMS Trust, Series 2015-VFM, Class A1                                                          | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191882 | PA      | $189903.46    | 0.01%             | 2036-03-10      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| BA Credit Card Trust                                                 | BA Credit Card Trust, Series 2024-A1, Class A                                                   | CUSIP: 05522RDJ4<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4573660.05   | 0.21%             | 2029-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                        | Centex Home Equity Loan Trust, Series 2002-A, Class MV1                                         | CUSIP: 152314ER7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68034 | PA      | $73594.23     | 0.00%             | 2032-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3737, Class DG                                                             | CUSIP: 3137GAU39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       626 | PA      | $624.36       | 0.00%             | 2030-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                         | Bridge Trust, Series 2025-SFR1, Class A                                                         | CUSIP: 10807GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8530000 | PA      | $8209953.55   | 0.37%             | 2042-09-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates  | Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class B1 | CUSIP: 585525FE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33558 | PA      | $31793.05     | 0.00%             | 2031-11-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-H21, Class FA                                                                 | CUSIP: 38375BVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    389303 | PA      | $389360.73    | 0.02%             | 2062-07-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                       | Bayview Commercial Asset Trust, Series 2005-2A, Class M1                                        | CUSIP: 07324SBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57289 | PA      | $56505.18     | 0.00%             | 2035-08-25      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2024-CBM, Class A1                                                  | CUSIP: 12674GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5629400 | PA      | $5692810.12   | 0.26%             | 2041-12-10      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5072, Class QC                                                             | CUSIP: 3137F9AR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4699614 | PA      | $3758260.31   | 0.17%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR4, Class A                                           | CUSIP: 74290JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7918739.20   | 0.36%             | 2042-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR3, Class B                                                 | CUSIP: 33768EAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11988000 | PA      | $11932393.66  | 0.54%             | 2038-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                                  | GMF Floorplan Owner Revolving Trust, Series 2024-4A, Class A2                                   | CUSIP: 361886DR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3000132.30   | 0.14%             | 2029-11-15      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-93, Class ME                                                           | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    766373 | PA      | $727722.09    | 0.03%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K68, Class B                                                  | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1969351.80   | 0.09%             | 2049-10-25      | Variable      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| M&T Equipment 2024-LEAF1 Notes                                       | M&T Equipment Notes, Series 2024-1A, Class A2                                                   | CUSIP: 55376YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3071947 | PA      | $3081203.26   | 0.14%             | 2031-08-18      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H11, Class JA                                                                 | CUSIP: 38375UKE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    941700 | PA      | $941791.54    | 0.04%             | 2064-06-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-28, Class CI                                                           | CUSIP: 3136ANUX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7549272 | PA      | $1413423.68   | 0.06%             | 2045-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 31416CD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113177 | PA      | $119207.35    | 0.01%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-41, Class GF                                                           | CUSIP: 3136B5E27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9325190 | PA      | $9232878.71   | 0.42%             | 2053-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                                | SBNA Auto Lease Trust, Series 2025-A, Class A3                                                  | CUSIP: 78437KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2012806.40   | 0.09%             | 2028-04-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133WAQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3199662 | PA      | $3222377.83   | 0.15%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140Q7N52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2796254 | PA      | $2682857.15   | 0.12%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1                                             | CUSIP: 36242DEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40631 | PA      | $40865.27     | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2018-7, Class CI                                                            | CUSIP: 3136B0YS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8828096 | PA      | $1728947.23   | 0.08%             | 2048-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DTJB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5197033 | PA      | $5265767.39   | 0.24%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-74, Class BF                                                           | CUSIP: 3136B7UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3892646 | PA      | $3770516.29   | 0.17%             | 2059-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2021-SFR8, Class A                                           | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4406895 | PA      | $4294998.73   | 0.19%             | 2038-10-17      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                                         | CaixaBank SA                                                                                    | CUSIP: 12803RAK0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   7195000 | PA      | $7247608.04   | 0.33%             | 2029-07-03      | Variable      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                               | Tesla Auto Lease Trust, Series 2024-B, Class A4                                                 | CUSIP: 881934AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6536310.95   | 0.30%             | 2028-06-20      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Marlette Funding Trust                                               | Marlette Funding Trust, Series 2025-1A, Class B                                                 | CUSIP: 570920AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $10033872.00  | 0.45%             | 2035-07-16      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-2A, Class A                                                 | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6545000 | PA      | $6274931.05   | 0.28%             | 2032-04-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-5, Class 4A1                  | CUSIP: 22541SZL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188719 | PA      | $192168.03    | 0.01%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2025-B, Class A                                                  | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7250000 | PA      | $7294352.60   | 0.33%             | 2033-05-09      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 2025-MN11, Class M1                                                               | CUSIP: 35563YAA8<br>LEI: 529900E2V0BG2KXC9E18 | Long             | ABS-MBS          | USGSE             | US        |   5725000 | PA      | $5721333.14   | 0.26%             | 2045-07-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-1A, Class B                                                 | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $951680.10    | 0.04%             | 2031-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H03, Class FD                                                                 | CUSIP: 38375UTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1594146 | PA      | $1594420.03   | 0.07%             | 2065-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                       | Bayview Commercial Asset Trust, Series 2005-2A, Class A2                                        | CUSIP: 07324SBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286844 | PA      | $279853.11    | 0.01%             | 2035-08-25      | Floating      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140HMYE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224294 | PA      | $208962.29    | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2002-T6, Class A4                                       | CUSIP: 31392CYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298066 | PA      | $290829.69    | 0.01%             | 2041-03-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                                            | Auxilior Term Funding LLC, Series 2023-1A, Class A2                                             | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362758 | PA      | $365539.91    | 0.02%             | 2028-12-15      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                        | Banc of America Funding Trust, Series 2006-1, Class 2A1                                         | CUSIP: 05949TBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74599 | PA      | $65645.14     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                               | Alternative Loan Trust, Series 2004-33, Class 3A3                                               | CUSIP: 12667FC52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89554 | PA      | $85717.93     | 0.00%             | 2034-12-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A4                                        | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4350000 | PA      | $4374646.23   | 0.20%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-58, Class SA                                                           | CUSIP: 3136ATAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4502630 | PA      | $258856.66    | 0.01%             | 2046-08-25      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Ultra Note                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -436 | NC      | $-329698.44   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4150, Class F                                                              | CUSIP: 3137AY3L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2981008 | PA      | $2922582.42   | 0.13%             | 2043-01-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| STAR Trust                                                           | STAR Trust, Series 2025-SFR5, Class A                                                           | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1000625.00   | 0.05%             | 2042-02-17      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                      | Palmer Square Loan Funding Ltd., Series 2022-2A, Class A1                                       | CUSIP: 69701NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    607792 | PA      | $607660.64    | 0.03%             | 2030-10-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1A1                                 | CUSIP: 20755RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4742731 | PA      | $4757687.64   | 0.22%             | 2044-09-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Wind River CLO Ltd.                                                  | Wind River CLO Ltd., Series 2021-4A, Class AR                                                   | CUSIP: 97316UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15024780.00  | 0.68%             | 2035-01-20      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-40A, Class 4A | CUSIP: 86359BEP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48731 | PA      | $47016.56     | 0.00%             | 2034-01-25      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                         | Metlife Securitization Trust, Series 2018-1A, Class A                                           | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1414678 | PA      | $1381983.37   | 0.06%             | 2057-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4515, Class FA                                                             | CUSIP: 3137BLAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732539 | PA      | $722738.70    | 0.03%             | 2038-08-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FS Rialto                                                            | FS Rialto, Series 2021-FL3, Class A                                                             | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2630746 | PA      | $2627560.29   | 0.12%             | 2036-11-16      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2025-2A, Class B                                                 | CUSIP: 52603GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11025000 | PA      | $11129288.78  | 0.50%             | 2034-10-20      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Benefit Street Partners CLO XIV Ltd.                                 | Benefit Street Partners CLO Ltd., Series 2018-14A, Class AR                                     | CUSIP: 08179LAL5<br>LEI: 5493008E17UEFI73RC63 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5015800.00   | 0.23%             | 2037-10-20      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Trust                          | Structured Asset Mortgage Investments Trust, Series 2002-AR2, Class A3                          | CUSIP: 86358HNR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87519 | PA      | $56785.26     | 0.00%             | 2032-07-19      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                          | Business Jet Securities LLC, Series 2024-2A, Class A                                            | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5318473 | PA      | $5347664.92   | 0.24%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5551, Class BA                                                             | CUSIP: 3137HLTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14489365 | PA      | $14441403.35  | 0.65%             | 2051-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                      | Goodgreen Trust, Series 2017-2A, Class A                                                        | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1007959 | PA      | $909342.14    | 0.04%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  3 | On Loan: No      |
| FHLMC STACR REMIC Trust                                              | FHLMC Stacr Remic Trust, Series 2025-HQA1, Class M1                                             | CUSIP: 35564NGZ0<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   4935693 | PA      | $4940264.77   | 0.22%             | 2045-02-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5000, Class CB                                                             | CUSIP: 3137FVEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3059938 | PA      | $2748341.62   | 0.12%             | 2035-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                                        | Volvo Financial Equipment LLC, Series 2024-1A, Class A3                                         | CUSIP: 92887QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3008595.00   | 0.14%             | 2028-10-16      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                    | GLS Auto Select Receivables Trust, Series 2024-4A, Class A2                                     | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1011437 | PA      | $1012215.81   | 0.05%             | 2029-12-17      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Clarus Capital Funding LLC                                           | Clarus Capital Funding LLC, Series 2024-1A, Class A2                                            | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1904849 | PA      | $1909388.87   | 0.09%             | 2032-08-20      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233950 | PA      | $225306.05    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                  | NatWest Markets plc                                                                             | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10378350.80  | 0.47%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                       | Enterprise Fleet Financing LLC, Series 2025-2, Class A3                                         | CUSIP: 29375TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3565000 | PA      | $3595906.77   | 0.16%             | 2029-06-20      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                       | Banc of America Mortgage Trust, Series 2004-D, Class 2A2                                        | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52872 | PA      | $51189.74     | 0.00%             | 2034-05-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                             | MF1 Ltd., Series 2021-FL7, Class A                                                              | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1314493 | PA      | $1313905.86   | 0.06%             | 2036-10-16      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes Trust                                          | Tricon American Homes Trust, Series 2019-SFR1, Class A                                          | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3237799 | PA      | $3206945.33   | 0.15%             | 2038-03-17      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3138WEC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4749425 | PA      | $4527081.02   | 0.20%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                            | DLLAD LLC, Series 2025-1A, Class A3                                                             | CUSIP: 23347BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3615000 | PA      | $3646341.69   | 0.16%             | 2030-09-20      | Fixed         | 4.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140KTH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5187556 | PA      | $4516802.82   | 0.20%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2019-1, Class D                                          | CUSIP: 43731QAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    812485 | PA      | $792277.69    | 0.04%             | 2039-09-17      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| OAKST Commercial Mortgage Trust                                      | OAKST Commercial Mortgage Trust, Series 2023-NLP, Class A                                       | CUSIP: 67630KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2012322.60   | 0.09%             | 2040-03-15      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                                             | Foundation Finance Trust, Series 2025-2A, Class A                                               | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9609218 | PA      | $9649909.66   | 0.44%             | 2052-04-15      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                   | First Franklin Mortgage Loan Trust, Series 2002-FF1, Class M1                                   | CUSIP: 32027NAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37496 | PA      | $42692.40     | 0.00%             | 2032-04-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                      | Palmer Square Loan Funding Ltd., Series 2024-2A, Class A2                                       | CUSIP: 69703RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5007350.00   | 0.23%             | 2033-01-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                        | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A                        | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89564 | PA      | $87336.83     | 0.00%             | 2034-10-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.                           | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class AR                              | CUSIP: 64133WAL9<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4997415.00   | 0.23%             | 2036-07-16      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4120, Class KI                                                             | CUSIP: 3137AVE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    416982 | PA      | $20960.73     | 0.00%             | 2032-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1                                 | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2615614 | PA      | $2675919.73   | 0.12%             | 2042-06-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H14, Class FB                                                                 | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1227030 | PA      | $1226313.85   | 0.06%             | 2065-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M1                                 | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2526326 | PA      | $2529448.77   | 0.11%             | 2045-05-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                   | New Century Home Equity Loan Trust, Series 2003-5, Class AII                                    | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94477 | PA      | $58173.89     | 0.00%             | 2033-11-25      | Floating      | 1.07%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                                | CUSIP: 50205YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4250000 | PA      | $4253149.25   | 0.19%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-66, Class WF                                                           | CUSIP: 3136ALEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714354 | PA      | $719172.23    | 0.03%             | 2054-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 3617WJYV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8125276 | PA      | $7297797.77   | 0.33%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1                                 | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1787032 | PA      | $1823327.07   | 0.08%             | 2042-05-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR3, Class A                                           | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9481073.00   | 0.43%             | 2042-07-17      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1                                 | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734036 | PA      | $734266.65    | 0.03%             | 2041-12-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                   | First Franklin Mortgage Loan Trust, Series 2002-FF4, Class M1                                   | CUSIP: 32027NBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578174 | PA      | $500370.47    | 0.02%             | 2033-02-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                                    | World Omni Auto Receivables Trust, Series 2025-B, Class A3                                      | CUSIP: 98164TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3795000 | PA      | $3829232.42   | 0.17%             | 2030-09-16      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4363, Class FA                                                             | CUSIP: 3137BCNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1209847 | PA      | $1193473.95   | 0.05%             | 2041-09-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                                   | Honda Auto Receivables Owner Trust, Series 2025-2, Class A3                                     | CUSIP: 437921AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2765000 | PA      | $2778945.00   | 0.13%             | 2029-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140W0YH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10936862 | PA      | $11093481.01  | 0.50%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                             | MF1 Ltd., Series 2022-FL8, Class A                                                              | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3594023 | PA      | $3594005.00   | 0.16%             | 2037-02-19      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Capital I, Inc. Trust                     | Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2003-HYB1, Class A4                    | CUSIP: 61746WC24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29647 | PA      | $26583.14     | 0.00%             | 2033-03-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2003-3, Class A2                                                 | CUSIP: 81743PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27026 | PA      | $24754.04     | 0.00%             | 2033-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Lending Funding Trust                                                | Lending Funding Trust, Series 2020-2A, Class C                                                  | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $964660.84    | 0.04%             | 2031-04-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                         | OCP CLO Ltd., Series 2025-44A, Class A                                                          | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10031200.00  | 0.45%             | 2038-10-24      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-13, Class FA                                                           | CUSIP: 3136A3VK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3855988 | PA      | $3829542.84   | 0.17%             | 2042-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, STRIPS, Series 343, Class F4                                                             | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1290625 | PA      | $1273850.62   | 0.06%             | 2037-10-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| NAAC Reperforming Loan REMIC Trust Certificates                      | NAAC Reperforming Loan REMIC Trust Certificates, Series 2004-R3, Class AF                       | CUSIP: 62951MAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421763 | PA      | $344222.42    | 0.02%             | 2035-02-25      | Floating      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4480, Class FM                                                             | CUSIP: 3137BKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2246944 | PA      | $2190498.60   | 0.10%             | 2040-06-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                   | Credit Agricole SA                                                                              | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  10000000 | PA      | $10173755.40  | 0.46%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| SMR Mortgage Trust                                                   | SMR Mortgage Trust, Series 2022-IND, Class A                                                    | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7325417 | PA      | $7332683.97   | 0.33%             | 2039-02-15      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                                                     | NMEF Funding LLC, Series 2025-B, Class A2                                                       | CUSIP: 62919WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4235000 | PA      | $4245158.49   | 0.19%             | 2033-01-18      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                             | Huntington Bank Auto Credit-Linked Notes, Series 2025-1, Class B                                | CUSIP: 446438SX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3082435 | PA      | $3098787.90   | 0.14%             | 2033-03-21      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                         | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89707 | PA      | $90090.32     | 0.00%             | 2042-12-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                       | Bayview Commercial Asset Trust, Series 2007-3, Class A2                                         | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260183 | PA      | $244381.12    | 0.01%             | 2037-07-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                   | Regional Management Issuance Trust, Series 2025-1, Class A                                      | CUSIP: 75908AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4055000 | PA      | $4079530.72   | 0.18%             | 2034-04-17      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes                                                | Tricon American Homes, Series 2020-SFR1, Class A                                                | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5953272 | PA      | $5802769.20   | 0.26%             | 2038-07-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A                  | CUSIP: 31392W7F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36779 | PA      | $29187.75     | 0.00%             | 2042-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-33, Class JA                                                           | CUSIP: 3136AR6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1785422 | PA      | $1710755.45   | 0.08%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                                      | Hertz Vehicle Financing LLC, Series 2025-3A, Class A                                            | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  14285000 | PA      | $14519154.01  | 0.66%             | 2029-12-26      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-25, Class LA                                                           | CUSIP: 3136ART40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5318333 | PA      | $5083863.04   | 0.23%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                                | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                              | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1050000 | PA      | $1051006.64   | 0.05%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                                              | Carmax Auto Owner Trust, Series 2025-3, Class B                                                 | CUSIP: 14290FAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8113146.40   | 0.37%             | 2031-03-17      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Capital I, Inc. Trust                     | Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2003-HYB1, Class B1                    | CUSIP: 61746WC32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10080 | PA      | $2257.15      | 0.00%             | 2033-03-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                                                 | Elmwood CLO Ltd., Series 2021-5A, Class AR                                                      | CUSIP: 29002YAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5200000 | PA      | $5215059.20   | 0.24%             | 2037-10-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2012-61, Class FM                                                                  | CUSIP: 38378EJ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2899192 | PA      | $2884078.03   | 0.13%             | 2042-05-16      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                                | GM Financial Automobile Leasing Trust, Series 2024-3, Class A4                                  | CUSIP: 38012QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1251301.75   | 0.06%             | 2028-10-20      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                                 | Porsche Innovative Lease Owner Trust, Series 2024-2A, Class A3                                  | CUSIP: 73328NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2405000 | PA      | $2409453.58   | 0.11%             | 2027-10-20      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                                           | PRET Trust, Series 2024-RPL2, Class A1                                                          | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1798394 | PA      | $1727307.86   | 0.08%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                                         | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                        | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340155 | PA      | $340048.13    | 0.02%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR24, Class 2A4                     | CUSIP: 22541QUN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86717 | PA      | $85298.53     | 0.00%             | 2033-10-25      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                                       | Wheels Fleet Lease Funding LLC, Series 2025-1A, Class A1                                        | CUSIP: 96328GCE5<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7054398.40   | 0.32%             | 2040-01-18      | Fixed         | 4.57%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -535 | NC      | $-240036.23   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup, Inc.                                                      | Citigroup, Inc.                                                                                 | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  16980000 | PA      | $17202105.53  | 0.78%             | 2029-03-04      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R03, Class 2A1                                 | CUSIP: 20754VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2378671 | PA      | $2397130.29   | 0.11%             | 2045-03-25      | Floating      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2023-N4, Class A                                         | CUSIP: 14688LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    855423 | PA      | $858086.41    | 0.04%             | 2028-01-10      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 5A                                         | CUSIP: 31393AR33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267372 | PA      | $264981.18    | 0.01%             | 2042-10-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-65, Class FP                                                                  | CUSIP: 38385FXQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29734021 | PA      | $29741844.18  | 1.35%             | 2055-04-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A3                                | CUSIP: 59020UNQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46280 | PA      | $41640.20     | 0.00%             | 2034-12-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                              | Hyundai Auto Lease Securitization Trust, Series 2025-A, Class A2A                               | CUSIP: 44935WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5953909 | PA      | $5966373.66   | 0.27%             | 2027-06-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DURU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12653709 | PA      | $13026956.68  | 0.59%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                                | Mission Lane Credit Card Master Trust, Series 2025-B, Class A                                   | CUSIP: 60510MBU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5734422.30   | 0.26%             | 2031-09-15      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K92, Class C                                                  | CUSIP: 302973AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6845019.30   | 0.31%             | 2052-05-25      | Variable      | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R03, Class 2M1                                 | CUSIP: 20754VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2109958 | PA      | $2120484.66   | 0.10%             | 2045-03-25      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418AUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779670 | PA      | $753446.43    | 0.03%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2025-1A, Class B                                      | CUSIP: 36271KAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15300000 | PA      | $15455454.12  | 0.70%             | 2029-07-16      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| DLLAA LLC                                                            | DLLAA LLC, Series 2025-1A, Class A2                                                             | CUSIP: 233249AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3008124.30   | 0.14%             | 2027-10-20      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140XJGG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4517458 | PA      | $4374830.09   | 0.20%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2011-158, Class EB                                                                 | CUSIP: 38378AY96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407632 | PA      | $406098.12    | 0.02%             | 2026-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                              | Jonah Energy ABS LLC                                                                            | CUSIP: 479915AA8<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.09%             | 2041-01-10      | Fixed         | 5.91%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QUVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4886939 | PA      | $5002486.50   | 0.23%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                          | Onity Loan Investment Trust, Series 2025-HB1, Class A                                           | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2256463 | PA      | $2196060.47   | 0.10%             | 2038-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| LCM Ltd.                                                             | LCM Ltd., Series 36A, Class A1R                                                                 | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3902000 | PA      | $3892818.59   | 0.18%             | 2034-01-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| RASC Trust                                                           | RASC Trust, Series 2003-KS4, Class MI2                                                          | CUSIP: 76110WRW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522587 | PA      | $437029.26    | 0.02%             | 2033-06-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR3, Class A                                           | CUSIP: 74331VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24397062 | PA      | $23230225.81  | 1.05%             | 2041-06-17      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                                     | Harley-Davidson Motorcycle Trust, Series 2024-B, Class A4                                       | CUSIP: 41284PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2850000 | PA      | $2865586.08   | 0.13%             | 2032-04-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class C                                 | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5635531 | PA      | $5694203.78   | 0.26%             | 2032-06-15      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| STWD Mortgage Trust                                                  | STWD Mortgage Trust, Series 2021-LIH, Class B                                                   | CUSIP: 78486EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2300000 | PA      | $2294262.42   | 0.10%             | 2036-11-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                    | GreenPoint Mortgage Funding Trust, Series 2005-HE3, Class A                                     | CUSIP: 39538WCZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1374 | PA      | $1371.50      | 0.00%             | 2030-09-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                 | Prime Mortgage Trust, Series 2005-2, Class 2A1                                                  | CUSIP: 74160MHU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132484 | PA      | $133873.62    | 0.01%             | 2032-10-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H12, Class FA                                                                 | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1456275 | PA      | $1456220.29   | 0.07%             | 2065-05-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class A                               | CUSIP: 82653HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2704984 | PA      | $2732260.17   | 0.12%             | 2044-04-20      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H12, Class FJ                                                                 | CUSIP: 38376RBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    998310 | PA      | $997588.64    | 0.05%             | 2065-05-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust LLC                                              | SCF Equipment Trust LLC, Series 2025-1A, Class A2                                               | CUSIP: 78437DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2225243 | PA      | $2231101.36   | 0.10%             | 2030-07-22      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                              | JPMorgan Mortgage Trust, Series 2003-A1, Class 1A1                                              | CUSIP: 466247AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9964 | PA      | $9493.60      | 0.00%             | 2033-10-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                                      | Wingspire Equipment Finance LLC, Series 2024-1A, Class A2                                       | CUSIP: 97415AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3453280 | PA      | $3461549.23   | 0.16%             | 2032-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                         | OCP CLO Ltd., Series 2023-26A, Class AR                                                         | CUSIP: 67116HAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   5000000 | PA      | $5002210.00   | 0.23%             | 2037-04-17      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                        | Bridgecrest Lending Auto Securitization Trust, Series 2025-3, Class C                           | CUSIP: 107920AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5600000 | PA      | $5630419.76   | 0.25%             | 2031-05-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| CARS-DB5 LP                                                          | CARS-DB5 LP, Series 2021-1A, Class A1                                                           | CUSIP: 12510HAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2262385 | PA      | $2177258.79   | 0.10%             | 2051-08-15      | Fixed         | 1.44%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                               | Palmer Square CLO Ltd., Series 2021-2A, Class AR1                                               | CUSIP: 69701XAJ3<br>LEI: 254900HTQ89UZTKY6247 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5006325.00   | 0.23%             | 2038-02-15      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2024-3A, Class B                                  | CUSIP: 96043CAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7480000 | PA      | $7502113.12   | 0.34%             | 2029-11-15      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                                 | BANK, Series 2021-BN35, Class A2                                                                | CUSIP: 06540CAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2486346.07   | 0.11%             | 2064-06-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                               | Lendmark Funding Trust, Series 2021-1A, Class A                                                 | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3375000 | PA      | $3254381.89   | 0.15%             | 2031-11-20      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-23, Class FA                                                           | CUSIP: 3136AJ4G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5842761 | PA      | $5765507.78   | 0.26%             | 2039-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                            | First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1                           | CUSIP: 32051GBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59853 | PA      | $58258.84     | 0.00%             | 2034-12-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2024-2A, Class C                                    | CUSIP: 30166DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15565000 | PA      | $15741732.79  | 0.71%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program Trust                                 | SoFi Professional Loan Program Trust, Series 2018-B, Class A2FX                                 | CUSIP: 83404RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84036 | PA      | $83799.85     | 0.00%             | 2047-08-25      | Fixed         | 3.34%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR2, Class A                                                           | CUSIP: 00179VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3999079 | PA      | $3883824.80   | 0.18%             | 2038-08-17      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2021-LBA, Class AJV                                                            | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6497968.75   | 0.29%             | 2036-02-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2024-92, Class HB                                                           | CUSIP: 3136BT2V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6207161 | PA      | $6275569.13   | 0.28%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2007-76, Class ZG                                                           | CUSIP: 31396WZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92616 | PA      | $95243.00     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oportun Funding Trust                                                | Oportun Funding Trust, Series 2025-1, Class A                                                   | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    852184 | PA      | $851944.91    | 0.04%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Notes                                                                             | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 109605000 | PA      | $109793383.59 | 4.97%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140J7L60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2482355 | PA      | $2409874.60   | 0.11%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                 | BBCMS Mortgage Trust, Series 2020-C7, Class A2                                                  | CUSIP: 05492VAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908696 | PA      | $863469.59    | 0.04%             | 2053-04-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H04, Class FL                                                                 | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2252558 | PA      | $2252265.03   | 0.10%             | 2065-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2019-1A, Class A                                                              | CUSIP: 38218DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1173007 | PA      | $1070404.83   | 0.05%             | 2054-10-15      | Fixed         | 3.86%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2010-64, Class FC                                                           | CUSIP: 31398RS22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5035139 | PA      | $5006531.80   | 0.23%             | 2040-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4935, Class KP                                                             | CUSIP: 3137FQ5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3026989 | PA      | $2681775.91   | 0.12%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-23, Class KJ                                                           | CUSIP: 3136ADCU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1151139 | PA      | $1077271.34   | 0.05%             | 2042-05-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4350, Class FK                                                             | CUSIP: 3137BBHK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1616368 | PA      | $1576739.60   | 0.07%             | 2038-06-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QQLV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2931383 | PA      | $2967828.18   | 0.13%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                                              | Verdant Receivables LLC, Series 2023-1A, Class A2                                               | CUSIP: 92339GAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1526231 | PA      | $1552494.15   | 0.07%             | 2031-01-13      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                     | IndyMac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1                                    | CUSIP: 45669AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187919 | PA      | $144771.22    | 0.01%             | 2037-03-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                         | OCP CLO Ltd., Series 2018-15A, Class BR                                                         | CUSIP: 67112KAH2<br>LEI: 254900WK4JKXAXOKTL68 | Long             | ABS-CBDO         | CORP              | KY        |   2850000 | PA      | $2852057.70   | 0.13%             | 2038-01-20      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                     | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422704 | PA      | $417643.47    | 0.02%             | 2034-04-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-1A, Class A                                                                | CUSIP: 62847RAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475276 | PA      | $1507689.94   | 0.07%             | 2043-02-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140M6UW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4386420 | PA      | $4516670.79   | 0.20%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Magnetite Ltd.                                                       | Magnetite Ltd., Series 2022-32A, Class AR                                                       | CUSIP: 55953WAL4<br>LEI: 549300QUG3I8PF6T6C52 | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $8000000.00   | 0.36%             | 2037-10-15      | Floating      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BNP Paribas SA                                                       | BNP Paribas SA                                                                                  | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  10000000 | PA      | $10247408.90  | 0.46%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                             | PRPM LLC, Series 2025-RPL2, Class A1                                                            | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4620287 | PA      | $4494937.53   | 0.20%             | 2055-04-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5381, Class FC                                                             | CUSIP: 3137HBM27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8417265 | PA      | $8445631.73   | 0.38%             | 2054-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ARES Trust                                                           | ARES Trust, Series 2025-IND3, Class A                                                           | CUSIP: 039955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5004687.50   | 0.23%             | 2042-04-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1                                 | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568143 | PA      | $568142.90    | 0.03%             | 2044-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                   | First Franklin Mortgage Loan Trust, Series 2003-FFH1, Class M2                                  | CUSIP: 32027NEE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227863 | PA      | $210181.68    | 0.01%             | 2033-09-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                          | Nationwide Building Society                                                                     | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10315448.50  | 0.47%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Series 2021-MN1, Class M1                                                                | CUSIP: 35563FAA9<br>LEI: 549300XWC4JMK6CH6K84 | Long             | ABS-MBS          | USGSE             | US        |     83856 | PA      | $83603.54     | 0.00%             | 2051-01-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-38, Class PC                                                           | CUSIP: 3136B5FZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1898016 | PA      | $1801874.97   | 0.08%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Gm Financial Consumer Automobile Receivables Trust                   | Gm Financial Consumer Automobile Receivables Trust, Series 2025-3, Class B                      | CUSIP: 379957AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1740000 | PA      | $1761601.75   | 0.08%             | 2031-09-16      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                              | BPCE SA                                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   6050000 | PA      | $6194997.26   | 0.28%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4867, Class WF                                                             | CUSIP: 3137FL2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5219198 | PA      | $5157914.20   | 0.23%             | 2037-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 2 Year Note                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      2239 | NC      | $746919.32    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CCG Receivables Trust                                                | CCG Receivables Trust, Series 2023-2, Class B                                                   | CUSIP: 12511QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5061000 | PA      | $5204400.90   | 0.24%             | 2032-04-14      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, STRIPS, Series 400, Class 1                                                               | CUSIP: 3136FKQW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814055 | PA      | $650926.54    | 0.03%             | 2039-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                             | Marvell Technology, Inc.                                                                        | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4110000 | PA      | $4147462.61   | 0.19%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133KJGM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4013782 | PA      | $3517848.73   | 0.16%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                 | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   3960000 | PA      | $3974674.97   | 0.18%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding Trust                                                | US Auto Funding Trust, Series 2022-1A, Class A                                                  | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48494 | PA      | $48378.01     | 0.00%             | 2025-04-15      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                              | Dryden Senior Loan Fund, Series 2016-43A, Class AR3                                             | CUSIP: 26245CBQ5<br>LEI: 5493002P75UIPU4MC757 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4996310.00   | 0.23%             | 2034-04-20      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4187, Class CA                                                             | CUSIP: 3137B1J29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7933498 | PA      | $7460887.95   | 0.34%             | 2033-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2023-SFR1, Class A                                           | CUSIP: 74334FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3383637 | PA      | $3376759.73   | 0.15%             | 2040-03-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DUAS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9920052 | PA      | $10051247.37  | 0.45%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                               | Oportun Issuance Trust, Series 2022-A, Class A                                                  | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    364466 | PA      | $364389.47    | 0.02%             | 2031-06-09      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                               | Standard Chartered plc                                                                          | CUSIP: 85325C2F8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $5029000.00   | 0.23%             | 2029-01-21      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                | Bank of America Corp.                                                                           | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  13285000 | PA      | $13434854.40  | 0.61%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                  | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                   | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17907 | PA      | $17407.93     | 0.00%             | 2020-02-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities                                        | Connecticut Avenue Securities, Series 2025-R01, Class 1M1                                       | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2356108 | PA      | $2357588.50   | 0.11%             | 2045-01-25      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K97, Class C                                                  | CUSIP: 30298PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7845000 | PA      | $7541723.28   | 0.34%             | 2051-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-28, Class BA                                                                  | CUSIP: 38384JAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1633407 | PA      | $1633771.21   | 0.07%             | 2048-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2A1                                 | CUSIP: 20754XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7045657 | PA      | $7047820.43   | 0.32%             | 2044-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-24, Class PV                                                           | CUSIP: 3136BVSC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8039209 | PA      | $8128664.05   | 0.37%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goodleap                                                             | Goodleap                                                                                        | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | ABS-MBS          | CORP              | US        |   1276530 | PA      | $1309808.85   | 0.06%             | 2038-07-15      | Fixed         | 6.62%                 | No            |                  3 | On Loan: No      |
| Connecticut Avenue Securities                                        | Connecticut Avenue Securities, Series 2025-R01, Class 1A1                                       | CUSIP: 20755JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3210310 | PA      | $3210304.88   | 0.15%             | 2045-01-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4457, Class KF                                                             | CUSIP: 3137BHWP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2430106 | PA      | $2397844.39   | 0.11%             | 2040-10-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                       | Enterprise Fleet Financing LLC, Series 2025-3, Class A3                                         | CUSIP: 29375UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5555866.80   | 0.25%             | 2029-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3924178 | PA      | $3969100.82   | 0.18%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                          | RFMSI Trust, Series 2005-SA2, Class 2A2                                                         | CUSIP: 76111XVG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212058 | PA      | $200757.39    | 0.01%             | 2035-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-7, Class EV                                                            | CUSIP: 3136BUWG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11603034 | PA      | $11944584.69  | 0.54%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2                                 | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4892532 | PA      | $4939839.85   | 0.22%             | 2041-12-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                     | OneMain Financial Issuance Trust, Series 2021-1A, Class A1                                      | CUSIP: 68269MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4813897.00   | 0.22%             | 2036-06-16      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                         | FirstEnergy Transmission LLC                                                                    | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4032036.20   | 0.18%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                              | Amortizing Residential Collateral Trust, Series 2002-BC9, Class M1                              | CUSIP: 86359AFD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    977011 | PA      | $934965.70    | 0.04%             | 2032-12-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2015-42, Class BF                                                           | CUSIP: 3136ANW86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1612302 | PA      | $1596759.40   | 0.07%             | 2045-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                            | Goodgreen, Series 2018-1A, Class A                                                              | CUSIP: 38218GAA0<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |   1631441 | PA      | $1507184.12   | 0.07%             | 2053-10-15      | Variable      | 3.93%                 | Yes           |                  3 | On Loan: No      |
| FHLMC STACR REMIC Trust                                              | FHLMC Stacr Remic Trust, Series 2025-HQA1, Class A1                                             | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   7375000 | PA      | $7377947.05   | 0.33%             | 2045-02-25      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                                  | MASTR Seasoned Securitization Trust, Series 2003-1, Class 3A2                                   | CUSIP: 55265WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30090 | PA      | $29382.21     | 0.00%             | 2033-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                | One Bryant Park Trust, Series 2019-OBP, Class A                                                 | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4600440.50   | 0.21%             | 2054-09-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                            | Towd Point Mortgage Trust, Series 2018-4, Class A1                                              | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2311051 | PA      | $2197988.94   | 0.10%             | 2058-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2024-AA, Class A                                         | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10700000 | PA      | $10853617.76  | 0.49%             | 2036-09-22      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                                | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986628 | PA      | $985703.15    | 0.04%             | 2040-02-15      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                                | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                                   | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3396781.50   | 0.15%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class B                                      | CUSIP: 37989BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2525817.75   | 0.11%             | 2029-10-15      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Grantor Trust, Whole Loan, Series 2001-T8, Class A1                                       | CUSIP: 313920UK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96765 | PA      | $98017.10     | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M2                                 | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16858571 | PA      | $17455772.39  | 0.79%             | 2042-03-25      | Floating      | 7.85%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                               | Sequoia Mortgage Trust, Series 2004-11, Class A2                                                | CUSIP: 81744FFK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150024 | PA      | $140300.84    | 0.01%             | 2034-12-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                              | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                                                | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2301749 | PA      | $1992953.66   | 0.09%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                         | Bear Stearns Asset-Backed Securities I Trust, Series 2004-AC6, Class M1                         | CUSIP: 073879LR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26227 | PA      | $12123.93     | 0.00%             | 2034-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                                       | Hyundai Auto Receivables Trust, Series 2025-A, Class A4                                         | CUSIP: 44935CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4345000 | PA      | $4395561.90   | 0.20%             | 2031-04-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A2A                                | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108787 | PA      | $102778.55    | 0.00%             | 2035-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140W2CC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19882644 | PA      | $20012079.22  | 0.91%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2016-19, Class OP                                                           | CUSIP: 3136ARZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    882366 | PA      | $678838.15    | 0.03%             | 2046-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2013-43, Class YH                                                           | CUSIP: 3136ADX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446430 | PA      | $427610.31    | 0.02%             | 2033-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Roc Mortgage Trust                                                   | Roc Mortgage Trust, Series 2025-RTL1, Class A1                                                  | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002950.60   | 0.05%             | 2040-02-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| BRE Grand Islander Timeshare Issuer LLC                              | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A                                 | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578901 | PA      | $572097.61    | 0.03%             | 2033-09-26      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2014-49, Class AF                                                           | CUSIP: 3136AKWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76119 | PA      | $74451.97     | 0.00%             | 2044-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                      | Impac CMB Trust, Series 2004-6, Class 1A2                                                       | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10074 | PA      | $10062.41     | 0.00%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                                    | GLS Auto Select Receivables Trust, Series 2025-3A, Class B                                      | CUSIP: 36272GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1609000 | PA      | $1619258.18   | 0.07%             | 2031-09-15      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust                     | World Omni Automobile Lease Securitization Trust, Series 2025-A, Class A3                       | CUSIP: 98164PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2767338.48   | 0.13%             | 2028-04-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Mutual of Omaha Cos. Global Funding                                  | Mutual of Omaha Cos. Global Funding                                                             | CUSIP: 62829D2G4<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10078938.60  | 0.46%             | 2028-06-09      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                      | Goldman Sachs Group, Inc. (The)                                                                 | CUSIP: 38141GC69<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5003947.60   | 0.23%             | 2031-01-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                               | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A1                                 | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9531 | PA      | $9684.35      | 0.00%             | 2029-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                          | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74723 | PA      | $77519.40     | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd.                                                | Elmwood CLO Ltd., Series 2021-1A, Class AR                                                      | CUSIP: 29003EAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  22875000 | PA      | $22961993.63  | 1.04%             | 2037-04-20      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Metlife Securitization Trust                                         | Metlife Securitization Trust, Series 2017-1A, Class A                                           | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395534 | PA      | $381200.00    | 0.02%             | 2055-04-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2021-SFR1, Class B                                                           | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1285000 | PA      | $1206603.05   | 0.05%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| GSAA Trust                                                           | GSAA Trust, Series 2004-CW1, Class 1A1                                                          | CUSIP: 36228FT48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291253 | PA      | $285115.78    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2025-SFR1, Class A                                             | CUSIP: 895974AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2713988 | PA      | $2720947.45   | 0.12%             | 2042-03-17      | Floating      | 5.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2025-70, Class FD                                                           | CUSIP: 3136BXKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $14814139.50  | 0.67%             | 2050-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 20 Year                                                                              | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597474 | PA      | $576526.40    | 0.03%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA Trust, Whole Loan, Series 2004-W2, Class 4A                                                | CUSIP: 31393XGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68476 | PA      | $67516.97     | 0.00%             | 2044-02-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                       | Home Partners of America Trust, Series 2022-1, Class B                                          | CUSIP: 43730NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9304793 | PA      | $9219099.45   | 0.42%             | 2039-04-17      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2017-108, Class PA                                                          | CUSIP: 3136B0RT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1230736 | PA      | $1147039.51   | 0.05%             | 2047-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                  | Thornburg Mortgage Securities Trust, Series 2004-4, Class 5A                                    | CUSIP: 885220GK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030770 | PA      | $891496.72    | 0.04%             | 2044-12-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-31, Class FB                                                           | CUSIP: 3136A5JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3243663 | PA      | $3218664.39   | 0.15%             | 2042-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 5270, Class FH                                                             | CUSIP: 3137H9E54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3156820 | PA      | $3131178.28   | 0.14%             | 2052-06-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                                               | John Deere Owner Trust, Series 2024-C, Class A3                                                 | CUSIP: 477911AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6006005.40   | 0.27%             | 2029-06-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A2                                        | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1281883 | PA      | $1283855.40   | 0.06%             | 2027-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4161, Class YF                                                             | CUSIP: 3137AYQ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2216789 | PA      | $2174241.90   | 0.10%             | 2043-02-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140XJL92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2936370 | PA      | $2973519.93   | 0.13%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                         | OCP CLO Ltd., Series 2015-9A, Class AR3                                                         | CUSIP: 67091YBE3<br>LEI: 254900XV0U0WEM36A370 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4991660.00   | 0.23%             | 2037-01-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                         | Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE1, Class M2                         | CUSIP: 073879PS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    207150 | PA      | $215091.52    | 0.01%             | 2035-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                             | Tricon Residential Trust, Series 2024-SFR2, Class A                                             | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1646809 | PA      | $1656619.82   | 0.07%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                               | Consumer Portfolio Services Auto Trust, Series 2025-A, Class A                                  | CUSIP: 12633SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2215057 | PA      | $2218879.81   | 0.10%             | 2028-10-16      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4594, Class GN                                                             | CUSIP: 3137BQK22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1341490 | PA      | $1254162.74   | 0.06%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2025-SFR2, Class A                                           | CUSIP: 74334GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11993239 | PA      | $11406569.35  | 0.52%             | 2042-04-17      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                            | CFIN 2022-RTL1 Issuer LLC, Class A                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1076830 | PA      | $1076829.58   | 0.05%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                | Countrywide Asset-Backed Certificates, Series 2004-S1, Class M2                                 | CUSIP: 126673TG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8243 | PA      | $8248.57      | 0.00%             | 2035-02-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                           | BXG Receivables Note Trust, Series 2018-A, Class A                                              | CUSIP: 05607UAA7<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |    361259 | PA      | $361004.35    | 0.02%             | 2034-02-02      | Fixed         | 3.77%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class A                                      | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11845000 | PA      | $11897070.62  | 0.54%             | 2034-09-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                 | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                                | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1248916.96   | 0.06%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                       | Structured Asset Mortgage Investments II Trust, Series 2004-AR1, Class 1A1                      | CUSIP: 86359LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17797 | PA      | $16708.84     | 0.00%             | 2034-03-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4350, Class AF                                                             | CUSIP: 3137BBGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1338772 | PA      | $1305612.92   | 0.06%             | 2037-12-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                    | Affirm Asset Securitization Trust, Series 2024-X2, Class A                                      | CUSIP: 00833QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    311880 | PA      | $312134.11    | 0.01%             | 2029-12-17      | Fixed         | 5.22%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                           | STAR Trust, Series 2025-SFR6, Class A                                                           | CUSIP: 85520EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5015602.00   | 0.23%             | 2042-08-17      | Floating      | 5.76%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                     | JPMorgan Prime Money Market Fund, Class IM                                                      | CUSIP: 46637K844<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |  80906274 | NS      | $80930545.83  | 3.66%             |  |  |  | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K64, Class B                                                  | CUSIP: 30296CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4945999.00   | 0.22%             | 2050-05-25      | Variable      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                      | CoreVest American Finance Trust, Series 2020-4, Class A                                         | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    858834 | PA      | $854264.53    | 0.04%             | 2052-12-15      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                                            | BXMT Ltd., Series 2020-FL3, Class A                                                             | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2979875 | PA      | $2980724.29   | 0.13%             | 2037-11-15      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                     | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                        | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2597729 | PA      | $2606544.25   | 0.12%             | 2034-02-27      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                  | Carlyle US CLO Ltd., Series 2021-1A, Class A1BR                                                 | CUSIP: 14316MAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5004510.00   | 0.23%             | 2040-01-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3133KRQE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23903759 | PA      | $24608323.32  | 1.11%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2024-159, Class PA                                                                 | CUSIP: 38384YHQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4841605 | PA      | $4746281.38   | 0.21%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                        | Voya CLO Ltd., Series 2020-1A, Class ARR                                                        | CUSIP: 92918EAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $8000000.00   | 0.36%             | 2034-07-16      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                   | Regional Management Issuance Trust, Series 2022-1, Class C                                      | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1334000 | PA      | $1321795.50   | 0.06%             | 2032-03-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                       | Mariner Finance Issuance Trust, Series 2021-AA, Class A                                         | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2921459.70   | 0.13%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVII LLC                                                       | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                      | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302879 | PA      | $302781.95    | 0.01%             | 2051-04-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                                      | Western Funding Auto Loan Trust, Series 2025-1, Class B                                         | CUSIP: 958250AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8600000 | PA      | $8699418.58   | 0.39%             | 2035-09-17      | Fixed         | 4.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2006-124, Class FC                                                          | CUSIP: 31396PFT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427196 | PA      | $422811.22    | 0.02%             | 2037-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                      | BRAVO Residential Funding Trust, Series 2025-NQM6, Class A1                                     | CUSIP: 10570MAC4<br>LEI: 254900U9H6FFPW4O4S55 | Long             | ABS-MBS          | CORP              | US        |   6028290 | PA      | $6063489.55   | 0.27%             | 2065-06-25      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1                                 | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875304 | PA      | $875304.18    | 0.04%             | 2041-12-25      | Floating      | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 4A                  | CUSIP: 31393LFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    538874 | PA      | $517309.03    | 0.02%             | 2043-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A3                                        | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5002559.00   | 0.23%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                                           | VOLT C LLC, Series 2021-NPL9, Class A1                                                          | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680592 | PA      | $680277.34    | 0.03%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2004-17, Class BF                                                           | CUSIP: 31393XYQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22342 | PA      | $22329.01     | 0.00%             | 2034-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR1, Class A                                           | CUSIP: 74331QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5447771 | PA      | $5262269.76   | 0.24%             | 2041-02-17      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC                         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A3                           | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2011991.80   | 0.09%             | 2029-04-16      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2023-24, Class FD                                                                  | CUSIP: 38383WCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10666217 | PA      | $10581702.14  | 0.48%             | 2053-02-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                  | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MAU                                   | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3372098 | PA      | $3088874.36   | 0.14%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                           | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD1, Class A                            | CUSIP: 07384YKL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    368806 | PA      | $380836.98    | 0.02%             | 2033-12-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1M1                                 | CUSIP: 20754TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2955977 | PA      | $2961556.09   | 0.13%             | 2045-02-25      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class A                                      | CUSIP: 22536KAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5745000 | PA      | $5817958.63   | 0.26%             | 2035-03-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2024-D, Class A                                              | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635636 | PA      | $636372.93    | 0.03%             | 2028-06-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-1A, Class A                                           | CUSIP: 43283CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1792835 | PA      | $1818029.60   | 0.08%             | 2042-05-27      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2021-SFR1, Class A                                                 | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6385994 | PA      | $6208962.84   | 0.28%             | 2038-08-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                                                           | Apidos CLO, Series 2019-31A, Class A1R                                                          | CUSIP: 03767VAG3<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |   2740560 | PA      | $2743031.95   | 0.12%             | 2031-04-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                          | Seasoned Loans Structured Transaction Trust, Series 2024-2, Class VF                            | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8518326 | PA      | $8669532.29   | 0.39%             | 2034-10-25      | Floating      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                           | Progress Residential Trust, Series 2024-SFR2, Class A                                           | CUSIP: 74290XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7874184 | PA      | $7579201.63   | 0.34%             | 2041-04-17      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| SMRT                                                                 | SMRT, Series 2022-MINI, Class A                                                                 | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4990625.00   | 0.23%             | 2039-01-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                                      | NYMT Loan Trust, Series 2024-BPL3, Class A1                                                     | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1054271.10   | 0.05%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                             | Sierra Timeshare Receivables Funding LLC, Series 2025-1A, Class A                               | CUSIP: 82653CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2519337 | PA      | $2549066.78   | 0.12%             | 2042-01-21      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, Other                                                                                     | CUSIP: 3140FX2B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4635512 | PA      | $4469160.76   | 0.20%             | 2063-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2016-12, Class PA                                                                  | CUSIP: 38379TP52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3908706 | PA      | $3675988.71   | 0.17%             | 2045-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA II, 30 Year                                                                                | CUSIP: 3618N5MR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26762662 | PA      | $27315776.54  | 1.24%             | 2055-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust                           | Exeter Select Automobile Receivables Trust, Series 2025-2, Class B                              | CUSIP: 30185EAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3748000 | PA      | $3779377.51   | 0.17%             | 2031-11-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust                                       | Mercedes-Benz Auto Lease Trust, Series 2024-B, Class A4                                         | CUSIP: 58769GAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1915000 | PA      | $1916076.61   | 0.09%             | 2030-06-17      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2021-4A, Class E                                    | CUSIP: 30165JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $7919852.80   | 0.36%             | 2028-01-17      | Fixed         | 4.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 3132DVMV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20448793 | PA      | $21364740.24  | 0.97%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H15, Class FB                                                                 | CUSIP: 38376RCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2052714 | PA      | $2052428.42   | 0.09%             | 2065-06-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Note                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -365 | NC      | $-189560.05   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2025-SFR1, Class A                                                           | CUSIP: 00182MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2025000 | PA      | $1944745.00   | 0.09%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| CNH Equipment Trust                                                  | CNH Equipment Trust, Series 2024-C, Class A4                                                    | CUSIP: 18978GAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3585000 | PA      | $3611705.74   | 0.16%             | 2032-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2025-41, Class KF                                                                  | CUSIP: 38385EPJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14616353 | PA      | $14634782.50  | 0.66%             | 2055-03-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2014-H07, Class FC                                                                 | CUSIP: 38375UHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4916988 | PA      | $4923294.89   | 0.22%             | 2064-05-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                           | CPS Auto Receivables Trust, Series 2025-C, Class C                                              | CUSIP: 12634SAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9480000 | PA      | $9531945.66   | 0.43%             | 2031-10-15      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                                | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                               | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1695000 | PA      | $1704073.50   | 0.08%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                                           | LAD Auto Receivables Trust, Series 2025-2A, Class B                                             | CUSIP: 505912AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4014984.40   | 0.18%             | 2032-05-17      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                                       | Hertz Vehicle Financing LP, Series 2021-2A, Class A                                             | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13700000 | PA      | $13284685.87  | 0.60%             | 2027-12-27      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                           | AMSR Trust, Series 2024-SFR1, Class A                                                           | CUSIP: 00179CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7810000 | PA      | $7748896.12   | 0.35%             | 2041-07-17      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-24A, Class 2A | CUSIP: 86359AG64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215240 | PA      | $210553.71    | 0.01%             | 2033-07-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program Trust                                 | SoFi Professional Loan Program Trust, Series 2021-B, Class AFX                                  | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2128358 | PA      | $1865210.46   | 0.08%             | 2047-02-15      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2025-3, Class C                            | CUSIP: 02528EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16665000 | PA      | $16793320.50  | 0.76%             | 2032-07-12      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                      | Prestige Auto Receivables Trust, Series 2024-2A, Class A2                                       | CUSIP: 74113SAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1765585 | PA      | $1766681.47   | 0.08%             | 2028-02-15      | Fixed         | 4.72%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                          | Business Jet Securities LLC, Series 2022-1A, Class A                                            | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5396098 | PA      | $5330729.05   | 0.24%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| Ballyrock CLO Ltd.                                                   | Ballyrock CLO Ltd., Series 2019-1A, Class A1R                                                   | CUSIP: 05875JAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5028813 | PA      | $5031236.63   | 0.23%             | 2032-07-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                   | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A5                                  | CUSIP: 61748HAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282766 | PA      | $280057.75    | 0.01%             | 2034-07-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                       | Morgan Stanley                                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $10279037.50  | 0.46%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| ONE Mortgage Trust                                                   | ONE Mortgage Trust, Series 2021-PARK, Class A                                                   | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6860000.00   | 0.31%             | 2036-03-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6311239 | PA      | $6434254.90   | 0.29%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                | Westlake Automobile Receivables Trust, Series 2023-3A, Class A3                                 | CUSIP: 96041CAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1808043 | PA      | $1811194.54   | 0.08%             | 2027-05-17      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC STACR REMIC Trust, Series 2025-DNA2, Class M1                                             | CUSIP: 35564NHZ9<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | CORP              | US        |   1856947 | PA      | $1863663.54   | 0.08%             | 2045-05-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7B                               | CUSIP: 576433WM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127244 | PA      | $122443.04    | 0.01%             | 2034-11-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                         | Avolon Holdings Funding Ltd.                                                                    | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3750000 | PA      | $3763875.00   | 0.17%             | 2030-10-10      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| SDR Commercial Mortgage Trust                                        | SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A                                        | CUSIP: 811304AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4999999.50   | 0.23%             | 2039-05-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2019-K100, Class B                                                 | CUSIP: 30313PAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4688000 | PA      | $4490422.83   | 0.20%             | 2052-11-25      | Variable      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO                                                           | Apidos CLO, Series 2016-25A, Class A1R3                                                         | CUSIP: 03762YBD8<br>LEI: 254900C9NN5XS59HZV73 | Long             | ABS-CBDO         | CORP              | KY        |   3355000 | PA      | $3348444.33   | 0.15%             | 2037-01-20      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2015-H19, Class FN                                                                 | CUSIP: 38376RFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2410947 | PA      | $2409612.48   | 0.11%             | 2065-07-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| DailyPay Securitization Trust 2025-1                                 | DailyPay Securitization Trust, Series 2025-1A, Class A                                          | CUSIP: 233824AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5534646.15   | 0.25%             | 2028-06-26      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                                      | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375000 | PA      | $2389918.33   | 0.11%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC Trust, Whole Loan, Series 2003-W15, Class 3A                                        | CUSIP: 31393TC87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285795 | PA      | $279452.74    | 0.01%             | 2042-12-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2025-2A, Class A                                           | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6870000 | PA      | $6892691.61   | 0.31%             | 2044-05-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140KFET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5703345 | PA      | $4993441.05   | 0.23%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A3, Class A1                  | CUSIP: 65535VBZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107472 | PA      | $109372.17    | 0.00%             | 2033-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT1               | CUSIP: 3137FWGH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1074384 | PA      | $1074678.45   | 0.05%             | 2050-05-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| UPX HIL Issuer Trust                                                 | UPX HIL Issuer Trust, Series 2025-1, Class A                                                    | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7895000 | PA      | $7915763.85   | 0.36%             | 2047-01-25      | Fixed         | 5.16%                 | Yes           |                  3 | On Loan: No      |
| MVW LLC                                                              | MVW LLC, Series 2024-2A, Class A                                                                | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2191438 | PA      | $2193539.10   | 0.10%             | 2042-03-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                                      | Reach ABS Trust, Series 2025-1A, Class A                                                        | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    609868 | PA      | $611056.63    | 0.03%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                 | GNMA, Series 2013-H16, Class FA                                                                 | CUSIP: 38375B4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785207 | PA      | $785869.76    | 0.04%             | 2063-07-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                         | HERO Funding, Series 2017-3A, Class A2                                                          | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    647963 | PA      | $612936.32    | 0.03%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3300, Class FA                                                             | CUSIP: 31397GQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78928 | PA      | $78121.30     | 0.00%             | 2035-08-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                           | FHLMC UMBS, 30 Year                                                                             | CUSIP: 31427MUW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14251622 | PA      | $14696100.79  | 0.66%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Generate CLO 6 Ltd.                                                  | Generate CLO Ltd., Series 6A, Class AR2                                                         | CUSIP: 37148JAN3<br>LEI: 254900V675MOVWK0HA08 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5013375.00   | 0.23%             | 2037-10-22      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust               | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class B                 | CUSIP: 858928AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12358000 | PA      | $12472138.49  | 0.56%             | 2029-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                       | Carvana Auto Receivables Trust, Series 2024-P2, Class A3                                        | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2272027.95   | 0.10%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA UMBS, 30 Year                                                                              | CUSIP: 3140QQSR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5916451 | PA      | $5981743.62   | 0.27%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                          | RFMSI Trust, Series 2006-SA4, Class 2A1                                                         | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106205 | PA      | $89478.91     | 0.00%             | 2036-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2024-4A, Class A3                                   | CUSIP: 30166UAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2730253 | PA      | $2734754.60   | 0.12%             | 2030-08-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                             | BX Trust, Series 2021-BXMF, Class A                                                             | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6464208 | PA      | $6460167.55   | 0.29%             | 2026-10-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                         | Hilton Grand Vacations Trust, Series 2022-2A, Class A                                           | CUSIP: 43283GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    958800 | PA      | $953350.68    | 0.04%             | 2037-01-25      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2021-4A, Class E                                                    | CUSIP: 26253WAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9115000 | PA      | $8995006.49   | 0.41%             | 2028-07-17      | Fixed         | 3.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-38, Class PA                                                           | CUSIP: 3136A42X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590980 | PA      | $556818.08    | 0.03%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                             | Lloyds Banking Group plc                                                                        | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10141422.30  | 0.46%             | 2029-06-13      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 4559, Class AF                                                             | CUSIP: 3137BNCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    724933 | PA      | $733375.44    | 0.03%             | 2042-03-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                              | Flagstar Mortgage Trust, Series 2019-2, Class A2                                                | CUSIP: 33852BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1184535 | PA      | $1068490.61   | 0.05%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd.                                                | TCI-Flatiron CLO Ltd., Series 2018-1A, Class AR2                                                | CUSIP: 87232CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5000000.00   | 0.23%             | 2035-07-29      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust               | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class A3                | CUSIP: 858928AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4825000 | PA      | $4858845.93   | 0.22%             | 2028-07-20      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                         | Drive Auto Receivables Trust, Series 2024-2, Class A3                                           | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3460000 | PA      | $3463433.70   | 0.16%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                 | FirstKey Homes Trust, Series 2022-SFR1, Class B                                                 | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5964432.00   | 0.27%             | 2039-05-19      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                | FHLMC, REMIC, Series 3085, Class VS                                                             | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75404 | PA      | $90654.72     | 0.00%             | 2035-12-15      | Floating      | 10.89%                | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39361 | PA      | $38755.73     | 0.00%             | 2034-04-21      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| LCM Ltd.                                                             | LCM Ltd., Series 34A, Class A1R                                                                 | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15000000.00  | 0.68%             | 2034-10-20      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2019-77, Class FP                                                           | CUSIP: 3136B7J93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8311857 | PA      | $8115231.07   | 0.37%             | 2050-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                                      | Dryden CLO Ltd., Series 2020-86A, Class A1R2                                                    | CUSIP: 26245XAY3<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15009360.00  | 0.68%             | 2034-07-17      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                            | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                                             | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1175000 | PA      | $1204651.60   | 0.05%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                             | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B1                               | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $4911926.11   | 0.22%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2023-4A, Class C                                    | CUSIP: 30166TAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2522732.25   | 0.11%             | 2028-08-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                               | Crossroads Asset Trust, Series 2025-A, Class A2                                                 | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2005000 | PA      | $2013466.71   | 0.09%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                             | U.S. Treasury Bills                                                                             | CUSIP: 912797QW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4983491.65   | 0.23%             | 2025-09-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2023-1A, Class D                                                    | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2544007.50   | 0.12%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| LCM 29 Ltd.                                                          | LCM Ltd., Series 29A, Class AR                                                                  | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2231959 | PA      | $2234030.35   | 0.10%             | 2031-04-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                  | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class B                                  | CUSIP: 64830RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12615000 | PA      | $12334765.34  | 0.56%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                  | Connecticut Avenue Securities Trust, Series 2024-R01, Class 1M1                                 | CUSIP: 20753UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1477421 | PA      | $1477418.88   | 0.07%             | 2044-01-25      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                 | FNMA, REMIC, Series 2012-139, Class JA                                                          | CUSIP: 3136AALT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1595365 | PA      | $1525746.22   | 0.07%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer