# EDGAR Filing Document

**Accession Number:** 0001804196
**File Stem:** 0002071691-26-015419
**Filing Date:** 2026-6
**Character Count:** 391456
**Document Hash:** 6f1515873b423826925c5a2f2b5f8034
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-015419.hdr.sgml**: 20260626

**ACCESSION NUMBER**: 0002071691-26-015419

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260626

**DATE AS OF CHANGE**: 20260626

**PERIOD START**: 20260430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock ETF Trust II
- **CENTRAL INDEX KEY:** 0001804196

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23511
- **FILM NUMBER:** 261124676

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800 882 0052

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### iShares Securitized Income Active ETF (Series ID: S000092376)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000260348 | iShares Securitized Income Active ETF |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock ETF Trust II

- **b. Investment Company Act file number:** 811-23511

- **c. CIK number of Registrant:** 0001804196

- **d. LEI of Registrant:** 549300PLJCTZLQ2LE832

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** iShares Securitized Income Active ETF

- **b. EDGAR series identifier (if any):** S000092376

- **c. LEI of Series:** 5299009CCKED0QIN1I64

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

- **a. Date of fiscal year-end:** 2026-04-30

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $638360739.04

**Total Liabilities:** $46447415.31

**Net Assets:** $591913323.73

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 45423.63000000 | **1-Year:** 4033.05000000 | **5-Year:** 66021.99000000 | **10-Year:** 11369.23000000 | **30-Year:** 22477.49000000

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

- **3-Month:** 32186.35000000 | **1-Year:** 2364.47000000 | **5-Year:** 12413.87000000 | **10-Year:** 5843.81000000 | **30-Year:** 12109.14000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000260348 | 1.14%                | -0.93%               | 0.51%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $87438.56                | $1894752.69                                |
| Month 2  | $-1035580.35             | $-3246327.32                               |
| Month 3  | $54325.08                | $-1510.32                                  |

**Designated Index Information**

- **Index Name:** 50% BBG ABS Index / 50% Non-Agency, Investment Grade CMBS Index

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| A10 Issuer LLC                                                            | A10 Issuer LLC, Series 2025-FL6, Class A                                                                                     | CUSIP: 00028AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2516000 | PA      | $2514206.85   | 0.42%             | 2042-05-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ACRA Trust                                                                | ACRA Trust, Series 2024-NQM1, Class M1B                                                                                      | CUSIP: 00112EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1017130.60   | 0.17%             | 2064-10-25      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| ACRA Trust                                                                | ACRA Trust, Series 2024-NQM1, Class B1                                                                                       | CUSIP: 00112EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1015404.70   | 0.17%             | 2064-10-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                | AMSR Trust, Series 2023-SFR2, Class F1                                                                                       | CUSIP: 00178YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $571786.56    | 0.10%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                                | AREIT Ltd., Series 2024-CRE9, Class A                                                                                        | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     55811 | PA      | $55806.98     | 0.01%             | 2041-05-17      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                        | A&D Mortgage Trust, Series 2026-NQM3, Class A1                                                                               | CUSIP: 00248BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1991789.80   | 0.34%             | 2071-04-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                                            | Accredited Mortgage Loan Trust, Series 2006-1, Class M2                                                                      | CUSIP: 004375EY3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2809000 | PA      | $2309709.80   | 0.39%             | 2036-04-25      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                               | ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE3, Class M1                                                       | CUSIP: 004421HQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    181494 | PA      | $184839.47    | 0.03%             | 2034-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Acore Issuer LLC                                                          | Acore Issuer LLC, Series 2026-FL1, Class A                                                                                   | CUSIP: 00485EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1999992.00   | 0.34%             | 2043-08-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| ACRES Commercial Realty Issuer LLC                                        | ACRES Commercial Realty Issuer LLC, Series 2026-FL4, Class A                                                                 | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1385000 | PA      | $1384994.04   | 0.23%             | 2044-08-18      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class B                                                                                 | CUSIP: 00833BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100486.90    | 0.02%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2026-1A, Class A                                                                                 | CUSIP: 00833BAU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    177000 | PA      | $176133.74    | 0.03%             | 2034-02-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2026-1A, Class B                                                                                 | CUSIP: 00833BAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99600.88     | 0.02%             | 2034-02-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2026-2A, Class A                                                                                 | CUSIP: 00833KAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137000 | PA      | $137047.55    | 0.02%             | 2035-04-16      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                                         | Affirm Asset Securitization Trust, Series 2025-X1, Class B                                                                   | CUSIP: 00834MAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $400495.28    | 0.07%             | 2030-04-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2020-C, Class C                                                                             | CUSIP: 00969HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3493 | PA      | $3.49         | 0.00%             | 2060-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class A                                                                             | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077279 | PA      | $1077987.00   | 0.18%             | 2061-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class B                                                                             | CUSIP: 009703AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273329 | PA      | $273268.13    | 0.05%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-G, Class C                                                                             | CUSIP: 009703AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    457361 | PA      | $473367.61    | 0.08%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class A                                                                             | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1285920 | PA      | $1286765.01   | 0.22%             | 2061-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class B                                                                             | CUSIP: 00971FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    367149 | PA      | $365143.42    | 0.06%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-F, Class C                                                                             | CUSIP: 00971FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    519207 | PA      | $519710.94    | 0.09%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-C, Class B                                                                             | CUSIP: 009733AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1134550 | PA      | $1134170.99   | 0.19%             | 2061-01-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-C, Class C                                                                             | CUSIP: 009733AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2539568 | PA      | $2722686.11   | 0.46%             | 2061-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class B3                                                                            | CUSIP: 009740AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377864 | PA      | $187164.48    | 0.03%             | 2060-12-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2021-E, Class XS                                                                            | CUSIP: 009740AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4491940 | PA      | $138051.23    | 0.02%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                                                 | ALA Trust, Series 2025-OANA, Class A                                                                                         | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1396000 | PA      | $1401235.00   | 0.24%             | 2040-06-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ALA Trust                                                                 | ALA Trust, Series 2025-OANA, Class D                                                                                         | CUSIP: 009920AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $216540.00    | 0.04%             | 2040-06-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030652<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4133000 | PA      | $3617583.99   | 0.61%             | 2056-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1483000 | PA      | $1349732.21   | 0.23%             | 2056-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6285000 | PA      | $5893415.90   | 1.00%             | 2056-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A7                                                                          | CUSIP: 02149JAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499658 | PA      | $586035.12    | 0.10%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-45T1, Class 2A8                                                                          | CUSIP: 02149JAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    749822 | PA      | $121121.67    | 0.02%             | 2037-02-25      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2007-19, Class 1A34                                                                           | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    734343 | PA      | $351982.91    | 0.06%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets Trust                                       | American Home Mortgage Assets Trust, Series 2006-3, Class 2A11                                                               | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1139229 | PA      | $746860.13    | 0.13%             | 2046-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 19 Ltd.                                             | Anchorage Capital CLO 19 Ltd., Series 2021-19A, Class A1R                                                                    | CUSIP: 03328JAL1<br>LEI: 549300ZNOS7Q8W8H3S38 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005045.60   | 0.34%             | 2038-10-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 8 Ltd.                                              | Anchorage Capital CLO 8 Ltd., Series 2016-8A, Class BR3                                                                      | CUSIP: 03329KBN2<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5018781.50   | 0.85%             | 2038-10-27      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2021-5, Class A1                                                                            | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2554180 | PA      | $2223313.47   | 0.38%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXII                                                          | Apidos CLO XXXII, Series 2019-32A, Class A1R                                                                                 | CUSIP: 03768RAQ9<br>LEI: 549300CXPXW83QGWOL98 | Long             | ABS-CBDO         | CORP              | KY        |    166897 | PA      | $166853.50    | 0.03%             | 2033-01-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class E                                                        | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $617950.50    | 0.10%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd.                          | Arbor Realty Collateralized Loan Obligation Ltd., Series 2025-BTR1, Class A                                                  | CUSIP: 03881UAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    347000 | PA      | $347146.05    | 0.06%             | 2041-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                                            | ARES Commercial Mortgage Trust, Series 2024-IND, Class A                                                                     | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1092043.75   | 0.18%             | 2041-07-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                                | AREIT Ltd., Series 2023-CRE8, Class A                                                                                        | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     62367 | PA      | $62343.40     | 0.01%             | 2041-08-17      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                               | AREIT Trust, Series 2022-CRE6, Class A                                                                                       | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    250289 | PA      | $250158.19    | 0.04%             | 2037-01-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ARES1                                                                     | ARES1, Series 2024-IND2, Class A                                                                                             | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1061656.25   | 0.18%             | 2034-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                                         | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $277200.00    | 0.05%             | 2035-04-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class E                                                                         | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229000 | PA      | $224992.50    | 0.04%             | 2035-04-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| ABFC Trust                                                                | ABFC Trust, Series 2007-WMC1, Class A2B                                                                                      | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1389535 | PA      | $1192076.75   | 0.20%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A                                                                      | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $444484.57    | 0.08%             | 2029-11-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class E                                                                      | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $376522.87    | 0.06%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class A                                                                      | CUSIP: 049917AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1524000 | PA      | $1526359.00   | 0.26%             | 2042-08-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class F                                                                      | CUSIP: 049917AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $207940.72    | 0.04%             | 2042-08-15      | Floating      | 9.15%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2025-ATRM, Class G                                                                      | CUSIP: 049917AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186000 | PA      | $184221.23    | 0.03%             | 2042-08-15      | Floating      | 10.40%                | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                            | BCAP LLC Trust, Series 2015-RR5, Class 2A3                                                                                   | CUSIP: 05490MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    823143 | PA      | $773282.40    | 0.13%             | 2046-01-26      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XA                                                                               | CUSIP: 05492VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2858220 | PA      | $112992.32    | 0.02%             | 2053-04-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class XB                                                                               | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $35106.70     | 0.01%             | 2053-04-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2020-EYP, Class E                                                                                         | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $898.80       | 0.00%             | 2035-10-15      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2024-BHP, Class A                                                                                        | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $305551.14    | 0.05%             | 2039-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class A                                                                                         | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $429252.10    | 0.07%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class C                                                                                         | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $541299.26    | 0.09%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class D                                                                                         | CUSIP: 05493XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1047204.10   | 0.18%             | 2041-12-10      | Variable      | 9.20%                 | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2025-ASHF, Class A                                                                                       | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $449997.66    | 0.08%             | 2042-02-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2025-NASH, Class A                                                        | CUSIP: 05494PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    771000 | PA      | $771481.88    | 0.13%             | 2040-09-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2022-C18, Class ASB                                                                             | CUSIP: 054975AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $676082.62    | 0.11%             | 2055-12-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                            | BCAP LLC Trust, Series 2012-RR3, Class 3A8                                                                                   | CUSIP: 05539BAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102530 | PA      | $1005649.43   | 0.17%             | 2037-07-26      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                              | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921000 | PA      | $1815345.00   | 0.31%             | 2037-03-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class B                                                                              | CUSIP: 05548WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $138750.00    | 0.02%             | 2037-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2024-5C27, Class A3                                                                             | CUSIP: 05555FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $46597.07     | 0.01%             | 2057-07-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-WRHS, Class A                                                                               | CUSIP: 05555HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042872 | PA      | $1043518.56   | 0.18%             | 2039-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class A                                                                    | CUSIP: 05556QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1377000 | PA      | $1377860.63   | 0.23%             | 2042-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-660F, Class D                                                                    | CUSIP: 05556QAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $50031.25     | 0.01%             | 2042-11-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2026-HRHB, Class A                                                        | CUSIP: 05557KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3188000 | PA      | $3188000.00   | 0.54%             | 2040-05-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class A                                                                                               | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1055000.00   | 0.18%             | 2041-06-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class E                                                                                               | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $149725.41    | 0.03%             | 2041-06-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2024-PARK, Class D                                                                     | CUSIP: 05593UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231000 | PA      | $239193.06    | 0.04%             | 2039-11-05      | Variable      | 7.23%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-ROIC, Class E                                                                                          | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236196 | PA      | $236195.79    | 0.04%             | 2030-03-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| BPR Mortgage Trust                                                        | BPR Mortgage Trust, Series 2025-ALDR, Class A                                                                                | CUSIP: 05594EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618000 | PA      | $632941.63    | 0.11%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-JDI, Class A                                                                       | CUSIP: 05594LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151518 | PA      | $1153676.65   | 0.19%             | 2042-11-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-JDI, Class E                                                                       | CUSIP: 05594LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1009245 | PA      | $1010506.68   | 0.17%             | 2042-11-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer LLC                                                          | BSPDF Issuer LLC, Series 2026-FL3, Class A                                                                                   | CUSIP: 05594VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $998870.80    | 0.17%             | 2043-09-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BOS Trust                                                                 | BOS Trust, Series 2026-LYRK, Class A                                                                                         | CUSIP: 05595BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1474000 | PA      | $1468227.96   | 0.25%             | 2041-05-11      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| BOS Trust                                                                 | BOS Trust, Series 2026-LYRK, Class E                                                                                         | CUSIP: 05595BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1494550.35   | 0.25%             | 2041-05-11      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2022-SSP, Class A                                                                                          | CUSIP: 05602HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $369190.63    | 0.06%             | 2039-05-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class C                                                                               | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $231250.35    | 0.04%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class F                                                                               | CUSIP: 05604FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $128211.51    | 0.02%             | 2033-03-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class E                                                                                          | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71000 | PA      | $65026.62     | 0.01%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2021-601L, Class D                                                                                         | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $438048.22    | 0.07%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-VAMF, Class F                                                                                          | CUSIP: 05609TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342461 | PA      | $341501.44    | 0.06%             | 2039-01-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-IND, Class A                                                                                           | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57722 | PA      | $57722.38     | 0.01%             | 2037-04-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL4, Class A                                                                       | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    731253 | PA      | $731938.10    | 0.12%             | 2039-02-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL4, Class D                                                                       | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204591 | PA      | $205102.36    | 0.03%             | 2039-02-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-BIO, Class A                                                                                           | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735000 | PA      | $734081.25    | 0.12%             | 2041-02-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class A                                                                        | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    867745 | PA      | $868287.79    | 0.15%             | 2039-02-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class E                                                                        | CUSIP: 05612EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251469 | PA      | $250687.93    | 0.04%             | 2039-02-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL5, Class A                                                                       | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    556270 | PA      | $556791.51    | 0.09%             | 2041-03-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class A                                                                                          | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2281477 | PA      | $2285759.51   | 0.39%             | 2041-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class E                                                                                          | CUSIP: 05612HAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210324 | PA      | $209335.66    | 0.04%             | 2041-04-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-KING, Class A                                                                      | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384932 | PA      | $385270.60    | 0.07%             | 2034-05-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class A                                                                                          | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    776236 | PA      | $773809.76    | 0.13%             | 2041-06-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-VLT4, Class F                                                                                          | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    901930 | PA      | $892796.15    | 0.15%             | 2041-06-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-PALM, Class A                                                                      | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    739904 | PA      | $739921.98    | 0.13%             | 2037-06-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class B                                                                      | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $125155.49    | 0.02%             | 2041-10-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIR2, Class A                                                                      | CUSIP: 05613QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1697749 | PA      | $1700932.13   | 0.29%             | 2041-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIR2, Class B                                                                      | CUSIP: 05613QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479590 | PA      | $480789.05    | 0.08%             | 2041-10-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                                                 | BXMT Ltd., Series 2025-FL5, Class A                                                                                          | CUSIP: 05613YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1124000 | PA      | $1127598.04   | 0.19%             | 2042-10-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-LIFE, Class A                                                                                          | CUSIP: 05616HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $998461.50    | 0.17%             | 2047-06-13      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2026-VLT9, Class A                                                                      | CUSIP: 05618UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5236000 | PA      | $5226182.50   | 0.88%             | 2045-03-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2025-STAR, Class A                                                                     | CUSIP: 05619DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860000 | PA      | $850385.03    | 0.14%             | 2042-11-05      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| BPR Commercial Mortgage Trust                                             | BPR Commercial Mortgage Trust, Series 2025-STAR, Class C                                                                     | CUSIP: 05619DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $786746.48    | 0.13%             | 2042-11-05      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| BRES Commercial Mortgage Trust                                            | BRES Commercial Mortgage Trust, Series 2025-ATCAP, Class A                                                                   | CUSIP: 05619GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789000 | PA      | $787827.70    | 0.13%             | 2042-11-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-OMG, Class A                                                                                           | CUSIP: 05619HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1044000 | PA      | $1044000.00   | 0.18%             | 2042-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VOLT, Class A                                                                                          | CUSIP: 05619PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2998125.00   | 0.51%             | 2044-12-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VOLT, Class B                                                                                          | CUSIP: 05619PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $324593.75    | 0.05%             | 2044-12-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                                            | BOCA Commercial Mortgage Trust, Series 2025-BOCA, Class A                                                                    | CUSIP: 05619RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $841050.00    | 0.14%             | 2042-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Ballyrock CLO Ltd.                                                        | Ballyrock CLO Ltd., Series 2019-1A, Class CR                                                                                 | CUSIP: 05875JAQ2<br>LEI: 254900EJNL3EAF77OS82 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1005769.80   | 0.17%             | 2032-07-15      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                            | Banc of America Mortgage Trust, Series 2005-I, Class 2A5                                                                     | CUSIP: 05949CHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56667 | PA      | $53713.06     | 0.01%             | 2035-10-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK9, Class XA                                                                                             | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2779930 | PA      | $24455.60     | 0.00%             | 2054-11-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class A3                                                                                             | CUSIP: 06541CBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208135 | PA      | $195268.16    | 0.03%             | 2064-05-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2025-BNK51, Class A5                                                                                            | CUSIP: 06541HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $81341.26     | 0.01%             | 2067-12-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BANK5                                                                     | BANK5, Series 2024-5YR8, Class AS                                                                                            | CUSIP: 065923BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90000 | PA      | $93364.11     | 0.02%             | 2057-08-15      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| BARC                                                                      | BARC, Series 2026-CES1, Class A1A                                                                                            | CUSIP: 06690CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1961634 | PA      | $1942579.18   | 0.33%             | 2056-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class A                                                                           | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939809 | PA      | $940508.32    | 0.16%             | 2051-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class B                                                                           | CUSIP: 06744JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    188917 | PA      | $189147.88    | 0.03%             | 2051-11-25      | Variable      | 7.63%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Trust                                                   | Barclays Mortgage Trust, Series 2021-NPL1, Class C                                                                           | CUSIP: 06744JAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364107 | PA      | $522493.53    | 0.09%             | 2051-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                              | Barclays Mortgage Loan Trust, Series 2026-NQM2, Class B1                                                                     | CUSIP: 06745FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1466362.50   | 0.25%             | 2065-12-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                              | Barclays Mortgage Loan Trust, Series 2025-NQM3, Class A1                                                                     | CUSIP: 06745VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1436291 | PA      | $1444126.11   | 0.24%             | 2065-05-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Battalion CLO XXIV Ltd.                                                   | Battalion CLO XXIV Ltd., Series 2022-24A, Class CR                                                                           | CUSIP: 07135JAN1<br>LEI: 549300ALTGBNQDUY5038 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000482.00   | 0.17%             | 2036-07-14      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BAY Mortgage Trust                                                        | BAY Mortgage Trust, Series 2025-LIVN, Class A                                                                                | CUSIP: 072925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    829000 | PA      | $829000.00    | 0.14%             | 2035-05-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                                     | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340100 | PA      | $329879.76    | 0.06%             | 2036-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-4A, Class A1                                                                     | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369316 | PA      | $355884.89    | 0.06%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2023-C20, Class XA                                                                              | CUSIP: 07336DAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11837364 | PA      | $523087.20    | 0.09%             | 2056-07-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ALT-A Trust                                                  | Bear Stearns ALT-A Trust, Series 2007-1, Class 1A1                                                                           | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488478 | PA      | $459938.78    | 0.08%             | 2047-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE8, Class 1A3                                                     | CUSIP: 07388JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495633 | PA      | $490633.98    | 0.08%             | 2036-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class M1                                                      | CUSIP: 07389MAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    581740 | PA      | $593842.60    | 0.10%             | 2036-11-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 22A                                                     | CUSIP: 07389YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367438 | PA      | $349769.28    | 0.06%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 1A4                                                     | CUSIP: 07389YAV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660231 | PA      | $656842.99    | 0.11%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B4, Class ASB                                                                          | CUSIP: 08161HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43727 | PA      | $43623.04     | 0.01%             | 2051-07-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B17, Class XB                                                                          | CUSIP: 08162MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15395000 | PA      | $244526.64    | 0.04%             | 2053-03-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2023-V3, Class XA                                                                           | CUSIP: 08163VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19971914 | PA      | $303918.60    | 0.05%             | 2056-07-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXVII Ltd.                                    | Benefit Street Partners CLO XXVII Ltd., Series 2022-27A, Class AR                                                            | CUSIP: 08179PAQ5<br>LEI: 254900WANE6M5S0NC534 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1001734.70   | 0.17%             | 2037-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class E                                                                    | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $210131.25    | 0.04%             | 2041-11-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2025-5MW, Class F                                                                     | CUSIP: 088921AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $562680.47    | 0.10%             | 2042-10-10      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| BHMS Commercial Mortgage Trust                                            | BHMS Commercial Mortgage Trust, Series 2025-ATLS, Class A                                                                    | CUSIP: 088928AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1501875.00   | 0.25%             | 2042-08-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 8 Ltd.                                                    | Birch Grove CLO 8 Ltd., Series 2024-8A, Class A1R                                                                            | CUSIP: 09077TAN5<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |   2000000 | PA      | $2003696.00   | 0.34%             | 2039-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2023-NQM6, Class B1                                                                  | CUSIP: 10569DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $501268.55    | 0.08%             | 2063-09-25      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B1                                                                  | CUSIP: 10569NAG6<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $507692.55    | 0.09%             | 2064-11-25      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B2                                                                  | CUSIP: 10569NAH4<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $492423.10    | 0.08%             | 2064-11-25      | Variable      | 7.27%                 | 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        |    572599 | PA      | $574199.61    | 0.10%             | 2065-06-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2026-NQM2, Class A1LC                                                                | CUSIP: 105934AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480190 | PA      | $476061.57    | 0.08%             | 2065-11-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                                                | BRCK Trust, Series 2025-830B, Class A                                                                                        | CUSIP: 10635AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    536000 | PA      | $532447.23    | 0.09%             | 2042-12-10      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| BRCK Trust                                                                | BRCK Trust, Series 2025-830B, Class F                                                                                        | CUSIP: 10635AAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $349339.97    | 0.06%             | 2042-12-10      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd.                                                  | Bryant Park Funding Ltd., Series 2024-24A, Class A1                                                                          | CUSIP: 11766DAA0<br>LEI: 3912003A96YDRT8EGP15 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5009989.00   | 0.85%             | 2037-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-GPA3, Class A                                                                      | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392063 | PA      | $392552.61    | 0.07%             | 2039-12-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-TAIL, Class E                                                                                          | CUSIP: 123912AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142000 | PA      | $142001.51    | 0.02%             | 2035-06-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| BWAY Trust                                                                | BWAY Trust, Series 2025-1535, Class A                                                                                        | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    293000 | PA      | $296028.45    | 0.05%             | 2042-05-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MDHS, Class A                                                                      | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239845 | PA      | $239919.61    | 0.04%             | 2041-05-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                                                                      | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1279195 | PA      | $1282756.74   | 0.22%             | 2041-08-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-BCAT, Class A                                                                      | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1527439 | PA      | $1528870.89   | 0.26%             | 2042-08-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2025-BCAT, Class E                                                                      | CUSIP: 12433HAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    942864 | PA      | $946399.28    | 0.16%             | 2042-08-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2025-VLT6, Class A                                                                                          | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1565000 | PA      | $1558153.13   | 0.26%             | 2042-03-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2026-CART, Class A                                                                                          | CUSIP: 12433MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4745000 | PA      | $4701998.44   | 0.79%             | 2036-02-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2026-XL6, Class E                                                                       | CUSIP: 12433NAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1490674.20   | 0.25%             | 2043-03-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4                                                 | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1266139 | PA      | $843171.71    | 0.14%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CENT                                                                      | CENT, Series 2025-CITY, Class A                                                                                              | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101000 | PA      | $101469.37    | 0.02%             | 2040-07-10      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2019-FAX, Class D                                                                                          | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672000 | PA      | $641661.75    | 0.11%             | 2039-01-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2020-MF2, Class B                                                                                          | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    336000 | PA      | $312392.40    | 0.05%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M2                                                                                         | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $731198.48    | 0.12%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M3                                                                                         | CUSIP: 12530VAD7<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1160377.92   | 0.20%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB14, Class M2                                                                                         | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    236039 | PA      | $228995.83    | 0.04%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB14, Class M3                                                                                         | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |    459116 | PA      | $443482.14    | 0.07%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-21, Class A11                                                                   | CUSIP: 12543PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1153814 | PA      | $461042.04    | 0.08%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2007-8, Class 1A4                                                                    | CUSIP: 12545AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320847 | PA      | $130506.77    | 0.02%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2023-II Ltd.                                                 | CIFC Funding 2023-II Ltd., Series 2023-2A, Class D1R                                                                         | CUSIP: 125488AS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1989998.60   | 0.34%             | 2037-01-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2019-J2, Class B6                                                                                          | CUSIP: 12558TBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1824792 | PA      | $966172.81    | 0.16%             | 2049-10-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CitiMortgage Alternative Loan Trust                                       | CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A6                                                               | CUSIP: 12566WAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    391211 | PA      | $364610.33    | 0.06%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLIP Trust                                                                | CLIP Trust, Series 2026-NQM1, Class A1                                                                                       | CUSIP: 12570SAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999998.40   | 0.34%             | 2071-05-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-I1, Class B1B                                                                                         | CUSIP: 12571DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002442.68   | 0.17%             | 2069-10-25      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| CIP Commercial Mortgage Trust                                             | CIP Commercial Mortgage Trust, Series 2025-SBAY, Class E                                                                     | CUSIP: 12576AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250861.58    | 0.04%             | 2037-10-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2026-I Ltd.                                                  | CIFC Funding 2026-I Ltd., Series 2026-1A, Class A1                                                                           | CUSIP: 12576MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5001192.50   | 0.84%             | 2038-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                                             | CHI Commercial Mortgage Trust, Series 2025-110W, Class D                                                                     | CUSIP: 12577HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $245125.85    | 0.04%             | 2040-12-13      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-C14, Class XA                                                                   | CUSIP: 12596GBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1014131 | PA      | $10265.74     | 0.00%             | 2051-11-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| CRSNT Trust                                                               | CRSNT Trust, Series 2026-MOON, Class A                                                                                       | CUSIP: 12642SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1497195.15   | 0.25%             | 2043-02-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2010-6R, Class 2A6B                                                                                       | CUSIP: 12643PAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418055 | PA      | $434646.68    | 0.07%             | 2037-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2015-6R, Class 5A2                                                                                        | CUSIP: 12650EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1208467 | PA      | $1023227.06   | 0.17%             | 2036-03-27      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2022-3, Class B2                                                                            | CUSIP: 12659YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1631047 | PA      | $1369202.96   | 0.23%             | 2067-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-LION, Class A                                                                                        | CUSIP: 12660TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $478078.13    | 0.08%             | 2027-02-15      | Floating      | 7.09%                 | No            |                  3 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-ATH2, Class A1                                                                                       | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    761246 | PA      | $759216.77    | 0.13%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-22, Class M1                                                              | CUSIP: 12666BAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2235398 | PA      | $2179512.97   | 0.37%             | 2047-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                     | Countrywide Asset-Backed Certificates, Series 2002-BC3, Class M2                                                             | CUSIP: 126671RF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    933853 | PA      | $951272.29    | 0.16%             | 2032-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                               | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class 2A4                                                        | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7797 | PA      | $7687.38      | 0.00%             | 2034-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-54CB, Class 3A1                                                                          | CUSIP: 12668APL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048401 | PA      | $512550.73    | 0.09%             | 2035-11-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-55CW, Class 2A3                                                                          | CUSIP: 12668AUP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534730 | PA      | $391569.49    | 0.07%             | 2035-11-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-79CB, Class A1                                                                           | CUSIP: 12668BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1674719 | PA      | $789622.96    | 0.13%             | 2036-01-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-6CB, Class 2A10                                                                          | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1934151 | PA      | $673757.21    | 0.11%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-9T1, Class A4                                                                            | CUSIP: 12668BVD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1667993 | PA      | $586681.01    | 0.10%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-26, Class M1                                                              | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    898885 | PA      | $873303.33    | 0.15%             | 2037-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1                                                                   | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1241512 | PA      | $323833.63    | 0.05%             | 2046-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                             | Reperforming Loan REMIC Trust, Series 2005-R3, Class AF                                                                      | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76610 | PA      | $64710.71     | 0.01%             | 2035-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2005-17, Class 1A6                                                                   | CUSIP: 12669G5S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15991 | PA      | $15805.93     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-INV2, Class B1                                                                         | CUSIP: 12673UAE4<br>LEI: 213800M5KYYIOHI7KW93 | Long             | ABS-MBS          | CORP              | US        |    369344 | PA      | $370306.14    | 0.06%             | 2070-02-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-CBM, Class A2                                                                         | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1130968.30   | 0.19%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2025-167G, Class A                                                                         | CUSIP: 12674VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687000 | PA      | $678377.53    | 0.11%             | 2040-08-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2025-167G, Class E                                                                         | CUSIP: 12674VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $124013.80    | 0.02%             | 2040-08-10      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class D                                                                   | CUSIP: 12676JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1083003.68   | 0.18%             | 2042-11-10      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Cali                                                                      | Cali, Series 2024-SUN, Class A                                                                                               | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $340514.39    | 0.06%             | 2041-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                                       | Carlyle US CLO Ltd., Series 2026-2A, Class A1                                                                                | CUSIP: 142928AA8<br>LEI: 2549008K66BXTSQHBB60 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4997076.50   | 0.84%             | 2039-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO Ltd.                                                       | CARLYLE US CLO Ltd., Series 2019-3A, Class A1R3                                                                              | CUSIP: 14314HBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2999923.80   | 0.51%             | 2039-04-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                            | Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1                                                                   | CUSIP: 144527AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1969716 | PA      | $1658438.57   | 0.28%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CarVal CLO I Ltd.                                                         | CarVal CLO I Ltd., Series 2018-1A, Class AR                                                                                  | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    601612 | PA      | $601634.23    | 0.10%             | 2031-07-16      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                             | Centex Home Equity Loan Trust, Series 2004-D, Class MV1                                                                      | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    369469 | PA      | $365498.84    | 0.06%             | 2034-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1                                                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2878426 | PA      | $1118920.72   | 0.19%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2006-S2, Class 1A16                                                                     | CUSIP: 16163BAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127267 | PA      | $402394.60    | 0.07%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S2, Class 1A9                                                                      | CUSIP: 16163EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676086 | PA      | $854638.83    | 0.14%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                                           | ChaseFlex Trust, Series 2007-1, Class 2A7                                                                                    | CUSIP: 16165VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1864056 | PA      | $565506.07    | 0.10%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-17, Class A6                                                                    | CUSIP: 17025AAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1001553 | PA      | $434403.99    | 0.07%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-NR1, Class A1                                                                                         | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786338 | PA      | $780757.80    | 0.13%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A4                                                                    | CUSIP: 17307GLB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211864 | PA      | $201918.43    | 0.03%             | 2034-08-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2007-6, Class 1A2A                                                                     | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1207591 | PA      | $887497.14    | 0.15%             | 2037-03-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2015-A, Class B4                                                                       | CUSIP: 17323MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735145 | PA      | $718662.88    | 0.12%             | 2058-06-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class X                                                               | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3975000 | PA      | $125638.98    | 0.02%             | 2042-11-10      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| COAST Commercial Mortgage Trust                                           | COAST Commercial Mortgage Trust, Series 2023-2HTL, Class B                                                                   | CUSIP: 19033EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114682 | PA      | $114699.08    | 0.02%             | 2036-08-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2023-A, Class A2                                                                    | CUSIP: 193938AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189039 | PA      | $189750.92    | 0.03%             | 2055-05-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-C, Class C                                                                     | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102119 | PA      | $94665.33     | 0.02%             | 2055-07-26      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-B, Class C                                                                     | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    489125 | PA      | $452021.78    | 0.08%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2024-INV4, Class B1                                                                         | CUSIP: 19688QAE1<br>LEI: 2138008UGM66WOAUY633 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $503688.25    | 0.09%             | 2069-05-25      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-6, Class A1                                                                            | CUSIP: 19689BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670675 | PA      | $674302.60    | 0.11%             | 2070-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-7, Class A1                                                                            | CUSIP: 19689CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333558 | PA      | $335115.22    | 0.06%             | 2070-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2026-2, Class B1                                                                            | CUSIP: 19689FAM6<br>LEI: 213800O4MIR3K4EURE50 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $489277.40    | 0.08%             | 2071-03-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class A                                                                         | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $799000.00    | 0.13%             | 2041-06-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                                        | Compass Datacenters Issuer III LLC, Series 2025-3A, Class A2                                                                 | CUSIP: 20469BAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    712000 | PA      | $702744.43    | 0.12%             | 2050-07-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                                        | Compass Datacenters Issuer III LLC, Series 2026-1A, Class A21                                                                | CUSIP: 20469BAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148000 | PA      | $146608.31    | 0.02%             | 2056-02-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                                        | Compass Datacenters Issuer III LLC, Series 2026-1A, Class A22                                                                | CUSIP: 20469BAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1077000 | PA      | $1070649.47   | 0.18%             | 2056-02-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer III LLC                                        | Compass Datacenters Issuer III LLC, Series 2026-1A, Class A23                                                                | CUSIP: 20469BAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119000 | PA      | $117939.47    | 0.02%             | 2056-02-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC                                         | Compass Datacenters Issuer II LLC, Series 2025-2A, Class A1                                                                  | CUSIP: 20469CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206000 | PA      | $202206.26    | 0.03%             | 2050-11-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class A                                                                                        | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1258000 | PA      | $1256907.30   | 0.21%             | 2041-08-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class C                                                                                        | CUSIP: 20682AAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $247886.10    | 0.04%             | 2041-08-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class E                                                                                        | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $79306.21     | 0.01%             | 2041-08-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-CES1, Class A1A                                                                            | CUSIP: 22757WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250984 | PA      | $250521.73    | 0.04%             | 2060-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H8, Class A1A                                                                              | CUSIP: 22757XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000217 | PA      | $1994390.53   | 0.34%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H1, Class B1A                                                                              | CUSIP: 22758NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    253421 | PA      | $254588.87    | 0.04%             | 2070-02-25      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H2, Class B1B                                                                              | CUSIP: 22758PAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $400659.36    | 0.07%             | 2070-03-25      | Variable      | 7.65%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H6, Class A1B                                                                              | CUSIP: 22758TAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2092644 | PA      | $2090065.04   | 0.35%             | 2070-07-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2026-NQM5, Class A1                                                                             | CUSIP: 22759BAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1993864.80   | 0.34%             | 2071-03-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO 8 Ltd.                                                    | Crown Point CLO 8 Ltd., Series 2019-8A, Class DR                                                                             | CUSIP: 22846BAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $999665.60    | 0.17%             | 2034-10-20      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2026-GATE3, Class E                                                                   | CUSIP: 228920AJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $985210.90    | 0.17%             | 2043-02-10      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| CRSO Trust                                                                | CRSO Trust                                                                                                                   | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    427056 | PA      | $439319.38    | 0.07%             | 2028-07-10      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2024-GATE, Class A                                                                    | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207000 | PA      | $206472.42    | 0.03%             | 2041-11-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-J4, Class 2A1                                                                            | CUSIP: 23242WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499195 | PA      | $815807.55    | 0.14%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-18, Class M1                                                              | CUSIP: 23243WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1578604 | PA      | $1675461.99   | 0.28%             | 2037-03-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2007-BC3, Class 1A                                                             | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490441 | PA      | $473928.61    | 0.08%             | 2047-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2025-LXP, Class A                                                                                           | CUSIP: 23292LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3330000 | PA      | $3333101.23   | 0.56%             | 2037-08-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                                     | DB Master Finance LLC, Series 2025-1A, Class A2I                                                                             | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    101745 | PA      | $100775.36    | 0.02%             | 2055-08-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| DBGS                                                                      | DBGS, Series 2024-SBL, Class A                                                                                               | CUSIP: 23306QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320000 | PA      | $319800.00    | 0.05%             | 2034-08-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                                       | DBWF Mortgage Trust, Series 2024-LCRS, Class A                                                                               | CUSIP: 23307KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $604810.94    | 0.10%             | 2037-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class A                                                                                          | CUSIP: 23346LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $590000.00    | 0.10%             | 2034-03-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class E                                                                                          | CUSIP: 23346LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    439000 | PA      | $439651.17    | 0.07%             | 2034-03-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| DGWD Trust                                                                | DGWD Trust, Series 2025-INFL, Class A                                                                                        | CUSIP: 23347FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3440000 | PA      | $3445330.97   | 0.58%             | 2035-08-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| D2 Multifamily Credit Issuer Ltd.                                         | D2 Multifamily Credit Issuer Ltd., Series 2026-FL1, Class A                                                                  | CUSIP: 23347LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.34%             | 2043-11-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| DC Trust                                                                  | DC Trust, Series 2024-HLTN, Class F                                                                                          | CUSIP: 24022FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $360746.36    | 0.06%             | 2040-04-13      | Variable      | 10.66%                | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2025-CES1, Class A1A                                                            | CUSIP: 24380WAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    659935 | PA      | $658704.08    | 0.11%             | 2055-10-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2026-CES1, Class A1A                                                            | CUSIP: 24380YAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1999998.00   | 0.34%             | 2061-03-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2021-3, Class B1                                                                | CUSIP: 24381VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $788066.30    | 0.13%             | 2066-08-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2025-INV1, Class A1                                                             | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818024 | PA      | $816266.15    | 0.14%             | 2060-11-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -6145000 | PA      | $-55608.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -6145000 | PA      | $-144088.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | -21221000 | PA      | $-117533.61   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc.                                        | Deutsche Mortgage Securities, Inc., Series 2006-PR1, Class CWA1                                                              | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1810816 | PA      | $886127.93    | 0.15%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 5 Ltd.                                               | Diameter Capital CLO 5 Ltd., Series 2023-5A, Class A1R                                                                       | CUSIP: 25255RAL3<br>LEI: 254900DQ6NEBLANVO137 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5006986.50   | 0.85%             | 2039-01-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 6 Ltd.                                               | Diameter Capital CLO 6 Ltd., Series 2024-6A, Class A1R                                                                       | CUSIP: 25255UAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5011790.00   | 0.85%             | 2039-04-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management                               | Dreyfus Treasury Securities Cash Management                                                                                  | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |  35937863 | NS      | $35937862.83  | 6.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Dryden 55 CLO Ltd.                                                        | Dryden 55 CLO Ltd., Series 2018-55A, Class A1                                                                                | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    106195 | PA      | $106248.17    | 0.02%             | 2031-04-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Dryden 76 CLO Ltd.                                                        | Dryden 76 CLO Ltd., Series 2019-76A, Class A1R2                                                                              | CUSIP: 26252WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5010019.00   | 0.85%             | 2037-10-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Dryden 106 CLO Ltd.                                                       | Dryden 106 CLO Ltd., Series 2022-106A, Class A1R                                                                             | CUSIP: 26254CAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5009537.50   | 0.85%             | 2037-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2023-1, Class B1                                                                  | CUSIP: 26844QAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $997387.20    | 0.17%             | 2068-02-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2026-NQM1, Class A1                                                               | CUSIP: 26846GAF4<br>LEI: 254900H3V169GPKPIM43 | Long             | ABS-MBS          | CORP              | US        |   1459992 | PA      | $1450074.88   | 0.24%             | 2071-02-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2026-INV2, Class B1                                                               | CUSIP: 26846TAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1168069.56   | 0.20%             | 2071-02-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-INV1, Class B1                                                               | CUSIP: 26846XAE0<br>LEI: 2549005YTE90D77H8V23 | Long             | ABS-MBS          | CORP              | US        |    264592 | PA      | $265642.56    | 0.04%             | 2070-03-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-NQM3, Class A1                                                               | CUSIP: 26846YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630085 | PA      | $632752.22    | 0.11%             | 2070-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class A15                                                                                        | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    627000 | PA      | $627408.49    | 0.11%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class B15                                                                                        | CUSIP: 26860XAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $125043.68    | 0.02%             | 2039-06-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| ELM Trust                                                                 | ELM Trust, Series 2024-ELM, Class E10                                                                                        | CUSIP: 26860XBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299952.39    | 0.05%             | 2039-06-10      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Loan Issue No. LLC                            | EDvestinU Private Education Loan Issue No. LLC, Series 2021-A, Class A                                                       | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215737 | PA      | $201870.25    | 0.03%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-NQM5, Class A1                                                               | CUSIP: 28225KAC9<br>LEI: 254900XFNEJEC9OBKH62 | Long             | ABS-MBS          | CORP              | US        |   1153231 | PA      | $1150183.42   | 0.19%             | 2070-11-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO VIII Ltd.                                                     | Elmwood CLO VIII Ltd., Series 2021-1A, Class DR                                                                              | CUSIP: 29003EAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $399997.60    | 0.07%             | 2037-04-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                                                          | Empower CLO Ltd., Series 2023-2A, Class AR                                                                                   | CUSIP: 29247BAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3508561.70   | 0.59%             | 2038-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| EQT Trust                                                                 | EQT Trust, Series 2024-EXTR, Class A                                                                                         | CUSIP: 29439DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786669 | PA      | $797436.77    | 0.13%             | 2041-07-05      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-W5FX, Class CFX                                            | CUSIP: 30307MAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288000 | PA      | $271122.08    | 0.05%             | 2028-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2026-FL11, Class A                                                                              | CUSIP: 30343TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    939000 | PA      | $937880.15    | 0.16%             | 2044-01-19      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FS                                                                        | FS, Series 2026-ORL, Class E                                                                                                 | CUSIP: 30343YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $999893.20    | 0.17%             | 2041-02-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2411, Class FJ                                                  | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       833 | PA      | $831.30       | 0.00%             | 2029-12-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2013-10, Class PI                                                              | CUSIP: 3136ACAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370226 | PA      | $43396.18     | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2018-32, Class PS                                          | CUSIP: 3136B1C69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124185 | PA      | $105996.64    | 0.02%             | 2048-05-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-27, Class IJ                                                              | CUSIP: 3136B9TZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4996377 | PA      | $938203.76    | 0.16%             | 2050-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-23, Class CI                                                              | CUSIP: 3136BFRC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464623 | PA      | $82363.75     | 0.01%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2021-41                                                                        | CUSIP: 3136BHR50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    554970 | PA      | $98371.61     | 0.02%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2024-7, Class IA                                                               | CUSIP: 3136BQZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18078125 | PA      | $2231460.70   | 0.38%             | 2049-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-2, Class FG                                           | CUSIP: 3136BUXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268242 | PA      | $272050.83    | 0.05%             | 2055-02-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-35, Class FJ                                          | CUSIP: 3136BVN46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339858 | PA      | $345536.78    | 0.06%             | 2055-05-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2025-33, Class DV                                                              | CUSIP: 3136BVVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    679458 | PA      | $699894.81    | 0.12%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2025-40, Class EV                                                              | CUSIP: 3136BWHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215178 | PA      | $218637.20    | 0.04%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5052, Class KI                                                                      | CUSIP: 3137F7HN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    803495 | PA      | $163614.01    | 0.03%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K110, Class X1 | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4925711 | PA      | $260019.91    | 0.04%             | 2030-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5119, Class IC                                                                      | CUSIP: 3137H0YY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3319511 | PA      | $668958.53    | 0.11%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5149, Class IT                                                                      | CUSIP: 3137H2SY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18990716 | PA      | $2657464.00   | 0.45%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series KPLB2, Class X | CUSIP: 3137HAD60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16981600 | PA      | $322151.14    | 0.05%             | 2033-06-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5458, Class FB                                                  | CUSIP: 3137HFWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    751040 | PA      | $757091.78    | 0.13%             | 2054-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp., Series 5544, Class HV                                                                      | CUSIP: 3137HLP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205823 | PA      | $207664.75    | 0.04%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418FWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20173000 | PA      | $19885121.81  | 3.36%             | 2056-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC                                           | Consolidated Communications LLC, Series 2025-4A, Class A2                                                                    | CUSIP: 315961AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682000 | PA      | $687401.44    | 0.12%             | 2055-12-20      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC                                           | Consolidated Communications LLC, Series 2025-4A, Class B                                                                     | CUSIP: 315961AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132000 | PA      | $132230.23    | 0.02%             | 2055-12-20      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC                                           | Consolidated Communications LLC, Series 2026-1A, Class A2                                                                    | CUSIP: 315961AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99009.28     | 0.02%             | 2056-03-20      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Consolidated Communications LLC                                           | Consolidated Communications LLC, Series 2026-1A, Class B                                                                     | CUSIP: 315961AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $986903.60    | 0.17%             | 2056-03-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                               | FIGRE Trust, Series 2026-HE4, Class A                                                                                        | CUSIP: 31685MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1997024.20   | 0.34%             | 2056-05-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class G                                                          | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $302780.64    | 0.05%             | 2039-12-15      | Floating      | 9.30%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                              | Ford Credit Auto Owner Trust, Series 2025-1, Class B                                                                         | CUSIP: 34532MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232000 | PA      | $235336.62    | 0.04%             | 2037-08-15      | Variable      | 5.01%                 | No            |                  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        |    174902 | PA      | $176849.01    | 0.03%             | 2049-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2024-2A, Class B                                                                            | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664579 | PA      | $662755.30    | 0.11%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class A                                                                            | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137913 | PA      | $137842.57    | 0.02%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-1A, Class D                                                                            | CUSIP: 35040WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185476 | PA      | $186187.57    | 0.03%             | 2050-04-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2021-1A, Class A                                                                            | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |    373635 | PA      | $356593.37    | 0.06%             | 2041-05-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-2A, Class D                                                                            | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199589 | PA      | $198372.83    | 0.03%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-2A, Class E                                                                            | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287869 | PA      | $283069.38    | 0.05%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-3A, Class A                                                                            | CUSIP: 35042TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    199659 | PA      | $197680.84    | 0.03%             | 2052-08-15      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-3A, Class B                                                                            | CUSIP: 35042TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $98915.14     | 0.02%             | 2052-08-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2025-3A, Class C                                                                            | CUSIP: 35042TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227000 | PA      | $224572.39    | 0.04%             | 2052-08-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-2, Class M1                                                         | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848113 | PA      | $844217.13    | 0.14%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                               | Seasoned Loans Structured Transaction Trust, Series 2020-3, Class M1                                                         | CUSIP: 35564CHL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572959 | PA      | $568030.89    | 0.10%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2022-NQM2, Class M1                                                                                       | CUSIP: 36169KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $834792.40    | 0.14%             | 2067-02-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2025-NQM3, Class A1                                                                                       | CUSIP: 36171MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614886 | PA      | $618008.83    | 0.10%             | 2070-05-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                | GSAA Trust, Series 2007-3, Class 1A1A                                                                                        | CUSIP: 3622EAAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1824536 | PA      | $965934.06    | 0.16%             | 2047-03-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2007-9, Class A2A                                                                             | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    819753 | PA      | $446101.55    | 0.08%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2007-3F, Class 4A2                                                                           | CUSIP: 3622MWAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3701269 | PA      | $336590.43    | 0.06%             | 2037-05-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2006-9F, Class 3A1                                                                           | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    462959 | PA      | $430781.10    | 0.07%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2006-5, Class 1A1                                                                             | CUSIP: 362334GQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91124 | PA      | $25166.83     | 0.00%             | 2036-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                 | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                                        | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    647355 | PA      | $609250.59    | 0.10%             | 2035-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2017-375H, Class C                                                                | CUSIP: 36254JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $477938.05    | 0.08%             | 2037-09-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-FUN, Class B                                                                 | CUSIP: 36267CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $519837.50    | 0.09%             | 2028-03-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| GSAT Trust                                                                | GSAT Trust, Series 2025-BMF, Class A                                                                                         | CUSIP: 36271XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1742000 | PA      | $1739828.25   | 0.29%             | 2040-07-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-NQM2, Class A1                                                              | CUSIP: 36272EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354599 | PA      | $356509.70    | 0.06%             | 2065-06-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2024-RVR, Class E                                                                 | CUSIP: 36272JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $416000.12    | 0.07%             | 2041-08-10      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-NQM5, Class A1                                                              | CUSIP: 36273GAA6<br>LEI: 254900MQ3DUBXKU1DC81 | Long             | ABS-MBS          | CORP              | US        |    454186 | PA      | $451345.15    | 0.08%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2025-800D, Class A                                                                | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1463000 | PA      | $1463023.70   | 0.25%             | 2041-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2026-NQM3, Class A1                                                              | CUSIP: 36274UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999963.40   | 0.34%             | 2066-05-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-DSC2, Class A1                                                              | CUSIP: 36275JAC4<br>LEI: 254900Y4XCLF0D6VBG48 | Long             | ABS-MBS          | CORP              | US        |    662947 | PA      | $660049.18    | 0.11%             | 2066-01-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2026-DSC1, Class B1                                                              | CUSIP: 36276BAE6<br>LEI: 254900D34P4JFEYPLX58 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $739590.98    | 0.12%             | 2066-05-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                                                  | Gaea Mortgage Loan Trust, Series 2025-A, Class A                                                                             | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154469 | PA      | $152169.57    | 0.03%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                                                              | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693931 | PA      | $674126.29    | 0.11%             | 2065-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2026-CES2, Class A1A                                                             | CUSIP: 362980AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1999961.00   | 0.34%             | 2056-06-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2025-NQM4, Class A1                                                                                       | CUSIP: 367923AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618191 | PA      | $621158.46    | 0.10%             | 2070-06-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Kennedy Lewis CLO 12 Ltd.                                                 | Kennedy Lewis CLO 12 Ltd., Series 2023-12A, Class AR                                                                         | CUSIP: 37147VAL1<br>LEI: 549300OPJWALMOKFT505 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004601.40   | 0.34%             | 2038-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust                               | Goldman Home Improvement Trust Issuer Trust, Series 2022-GRN2, Class A                                                       | CUSIP: 38151JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    139883 | PA      | $142812.83    | 0.02%             | 2052-10-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2024-1A, Class A                                                           | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    589427 | PA      | $592736.21    | 0.10%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                                                           | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451562 | PA      | $453017.98    | 0.08%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class B                                                           | CUSIP: 38237EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180554 | PA      | $183231.28    | 0.03%             | 2049-02-20      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A                                                           | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295803 | PA      | $293788.43    | 0.05%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-2A, Class A                                                           | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337865 | PA      | $338962.35    | 0.06%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-2A, Class B                                                           | CUSIP: 38238FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    661499 | PA      | $666337.19    | 0.11%             | 2049-06-20      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6601436 | PA      | $297757.79    | 0.05%             | 2058-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2019-53, Class V                                                            | CUSIP: 38380M4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118465 | PA      | $112927.45    | 0.02%             | 2031-08-16      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2020-43                                                 | CUSIP: 38380PAD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1602311 | PA      | $117997.40    | 0.02%             | 2061-11-16      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-151, Class MI                                                          | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3581812 | PA      | $531361.84    | 0.09%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-146                                                                    | CUSIP: 38382KVC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1848927 | PA      | $346678.80    | 0.06%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-64, Class IH                                                           | CUSIP: 38382QME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16676516 | PA      | $2589105.78   | 0.44%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-58, Class IY                                                           | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14500645 | PA      | $2425943.34   | 0.41%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-87, Class NI                                                           | CUSIP: 38382TKQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2342612 | PA      | $388299.48    | 0.07%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-91, Class AI                                                           | CUSIP: 38382TNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15871833 | PA      | $2939365.02   | 0.50%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-104, Class IH                                                          | CUSIP: 38382UJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    895692 | PA      | $149707.64    | 0.03%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-97, Class LI                                                           | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17311536 | PA      | $2954767.52   | 0.50%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-149, Class KI                                                          | CUSIP: 38382XCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76650 | PA      | $12770.81     | 0.00%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2025-174, Class IH                                                          | CUSIP: 38383BQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194813 | PA      | $31821.78     | 0.01%             | 2054-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2021-193, Class IA                                                          | CUSIP: 38383DVA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4484042 | PA      | $733937.27    | 0.12%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-5, Class LI                                                            | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58109 | PA      | $10777.74     | 0.00%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-78                                                                     | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503773 | PA      | $83989.73     | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-88, Class IA                                                           | CUSIP: 38383R4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  24143217 | PA      | $4148966.01   | 0.70%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2023-130, Class OD                                                          | CUSIP: 38384ERP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1336534 | PA      | $1175162.30   | 0.20%             | 2053-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-6, Class ES                                        | CUSIP: 38384G2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5662988 | PA      | $385784.80    | 0.07%             | 2053-07-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2025-214, Class DI                                                          | CUSIP: 38385KR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1765553 | PA      | $381460.70    | 0.06%             | 2055-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2026-12, Class KI                                                           | CUSIP: 38385LYB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    296987 | PA      | $61536.99     | 0.01%             | 2056-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2026-51, Class GI                                                           | CUSIP: 38385PNE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13398047 | PA      | $2883932.20   | 0.49%             | 2056-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Trust, Series 2024-1, Class B                                                                      | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    236144 | PA      | $238925.87    | 0.04%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A4                                                             | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46550 | PA      | $46758.52     | 0.01%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2025-3A, Class A3                                                             | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108187 | PA      | $107878.79    | 0.02%             | 2060-12-27      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A2                                                              | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33097 | PA      | $33147.00     | 0.01%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class D                                                               | CUSIP: 39571XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171209 | PA      | $172922.73    | 0.03%             | 2059-10-27      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes 2025 LLC                                              | Greystone CRE Notes 2025 LLC, Series 2025-HC4, Class A                                                                       | CUSIP: 39809NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1125000 | PA      | $1125154.01   | 0.19%             | 2042-10-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| HONO Mortgage Trust                                                       | HONO Mortgage Trust, Series 2021-LULU, Class A                                                                               | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    373000 | PA      | $369036.88    | 0.06%             | 2036-10-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| HILT Commercial Mortgage Trust                                            | HILT Commercial Mortgage Trust, Series 2024-ORL, Class D                                                                     | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500000.00    | 0.08%             | 2037-05-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class A                                                                      | CUSIP: 404300AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $181334.47    | 0.03%             | 2039-05-10      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                                             | HTL Commercial Mortgage Trust, Series 2024-T53, Class E                                                                      | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $370449.96    | 0.06%             | 2039-05-10      | Variable      | 10.60%                | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class A                                                                                          | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553805 | PA      | $554150.64    | 0.09%             | 2041-10-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class D                                                                                          | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192230 | PA      | $192530.03    | 0.03%             | 2041-10-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust                                            | HLTN Commercial Mortgage Trust, Series 2026-DPLO, Class A                                                                    | CUSIP: 40446RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1001562.50   | 0.17%             | 2041-04-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                                          | Hilton USA Trust, Series 2025-NVIL, Class A                                                                                  | CUSIP: 432826AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    607000 | PA      | $607948.44    | 0.10%             | 2042-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                   | Home Equity Asset Trust, Series 2007-1, Class 2A3                                                                            | CUSIP: 43710LAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2065911 | PA      | $1824246.70   | 0.31%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                                            | Home Partners of America Trust, Series 2021-3, Class F                                                                       | CUSIP: 43730XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1792399 | PA      | $1660751.93   | 0.28%             | 2041-01-17      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | Homes Trust, Series 2025-NQM1, Class B1                                                                                      | CUSIP: 43761DAH3<br>LEI: 254900LUV7YA0N50XT86 | Long             | ABS-MBS          | CORP              | US        |    392500 | PA      | $392853.41    | 0.07%             | 2070-01-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | Homes Trust, Series 2025-NQM5, Class A1                                                                                      | CUSIP: 43762CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660648 | PA      | $658132.03    | 0.11%             | 2070-09-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class D                                                                       | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208000 | PA      | $192722.59    | 0.03%             | 2039-07-10      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                                  | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B2                                                            | CUSIP: 44644NAP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192779 | PA      | $193290.44    | 0.03%             | 2033-09-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| IP Mortgage Trust                                                         | IP Mortgage Trust, Series 2025-IP, Class A                                                                                   | CUSIP: 449843AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75000 | PA      | $75616.51     | 0.01%             | 2042-06-10      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust                                             | INT Commercial Mortgage Trust, Series 2025-PLAZA, Class A                                                                    | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99899.38     | 0.02%             | 2037-11-05      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| INT Commercial Mortgage Trust                                             | INT Commercial Mortgage Trust, Series 2025-PLAZA, Class B                                                                    | CUSIP: 44989YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451000 | PA      | $451795.11    | 0.08%             | 2037-11-05      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| INV Mortgage Trust                                                        | INV Mortgage Trust, Series 2024-IND, Class A                                                                                 | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $594750.00    | 0.10%             | 2041-11-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-1, Class 1A2B                                                                        | CUSIP: 45254TTL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220782 | PA      | $191485.51    | 0.03%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                                | Impac Secured Assets Trust, Series 2006-3, Class A1                                                                          | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691651 | PA      | $641144.75    | 0.11%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                                              | Imperial Fund Mortgage Trust, Series 2022-NQM3, Class A3                                                                     | CUSIP: 45276KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1016518.28   | 0.17%             | 2067-05-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| INCREF LLC                                                                | INCREF LLC, Series 2025-FL1, Class A                                                                                         | CUSIP: 45339NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    590000 | PA      | $590877.33    | 0.10%             | 2042-10-19      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2005-AR23, Class 6A1                                                                | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    611291 | PA      | $592927.62    | 0.10%             | 2035-11-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2005-AR31, Class 2A1                                                                | CUSIP: 45660LW39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932907 | PA      | $931749.66    | 0.16%             | 2036-01-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2006-AR15, Class A1                                                                 | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    481352 | PA      | $483389.85    | 0.08%             | 2036-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Trust                                          | IndyMac IMSC Mortgage Loan Trust, Series 2007-F2, Class 1A4                                                                  | CUSIP: 45670JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710378 | PA      | $479175.10    | 0.08%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Iskandar Enterprise LLC                                                   | Iskandar Enterprise LLC, Series 2026-1A, Class A21                                                                           | CUSIP: 464338AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1335000 | PA      | $1334634.96   | 0.23%             | 2056-04-17      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Iskandar Enterprise LLC                                                   | Iskandar Enterprise LLC, Series 2026-1A, Class A22                                                                           | CUSIP: 464338AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $279912.50    | 0.05%             | 2056-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Iskandar Enterprise LLC                                                   | Iskandar Enterprise LLC, Series 2026-1A, Class A23                                                                           | CUSIP: 464338AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163000 | PA      | $163000.00    | 0.03%             | 2056-04-17      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-OMNI, Class A                                            | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $429135.76    | 0.07%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class A                                            | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $812462.81    | 0.14%             | 2039-11-09      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class D                                            | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $189574.06    | 0.03%             | 2039-11-09      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class E                                            | CUSIP: 46593KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299101.22    | 0.05%             | 2039-11-09      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-IGLG, Class F                                            | CUSIP: 46593KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $299264.76    | 0.05%             | 2039-11-09      | Variable      | 8.49%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2024-VIS1, Class B2                                                                       | CUSIP: 465970AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    532000 | PA      | $533372.40    | 0.09%             | 2064-07-25      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2022-LTV1, Class M1                                                                       | CUSIP: 465976AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $417621.24    | 0.07%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class B                                            | CUSIP: 46646GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    654000 | PA      | $649304.67    | 0.11%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2025-BHR5, Class A                                            | CUSIP: 46649WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133724 | PA      | $133723.98    | 0.02%             | 2040-03-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2019-9, Class B6                                                                          | CUSIP: 46651YCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2273604 | PA      | $1317036.36   | 0.22%             | 2050-05-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2021-INV5, Class B6                                                                       | CUSIP: 46653XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1416980 | PA      | $742322.89    | 0.13%             | 2051-12-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D                                             | CUSIP: 46655AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $266350.00    | 0.04%             | 2039-01-05      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust                                              | JW Commercial Mortgage Trust, Series 2024-MRCO, Class D                                                                      | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $190000.00    | 0.03%             | 2039-06-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2025-NQM3, Class A1                                                                       | CUSIP: 46659QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    626611 | PA      | $629118.78    | 0.11%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2025-VIS2, Class A1                                                                       | CUSIP: 46659RAC1<br>LEI: 529900371ZWA9WXVGB88 | Long             | ABS-MBS          | CORP              | US        |    708682 | PA      | $710624.72    | 0.12%             | 2055-12-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2026-VIS1, Class B1                                                                       | CUSIP: 46660PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $492096.10    | 0.08%             | 2066-06-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2026-VIS1, Class B2                                                                       | CUSIP: 46660PAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $480856.30    | 0.08%             | 2066-06-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2026-NQM2, Class A1                                                                       | CUSIP: 46664AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999980.60   | 0.34%             | 2066-09-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding LLC                                                 | Jersey Mike's Funding LLC, Series 2026-1A, Class A2II                                                                        | CUSIP: 476681AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    413000 | PA      | $406995.43    | 0.07%             | 2056-02-15      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd.                                                    | KKR Financial CLO Ltd., Series 2013-1A, Class BR3                                                                            | CUSIP: 48249VBL4<br>LEI: 549300ZUUB37M3VWNC17 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003937.60   | 0.17%             | 2038-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                 | KREF Ltd., Series 2022-FL3, Class A                                                                                          | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    405218 | PA      | $404497.27    | 0.07%             | 2039-02-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                                             | KRE Commercial Mortgage Trust, Series 2026-ICNA, Class A                                                                     | CUSIP: 48275LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002500.00   | 0.17%             | 2043-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| KRE Commercial Mortgage Trust                                             | KRE Commercial Mortgage Trust, Series 2025-AIP4, Class A                                                                     | CUSIP: 50077KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186875 | PA      | $186700.72    | 0.03%             | 2042-03-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                                             | KSL Commercial Mortgage Trust, Series 2024-HT2, Class A                                                                      | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1017761 | PA      | $1017760.59   | 0.17%             | 2039-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| KSL Trust                                                                 | KSL Trust                                                                                                                    | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1223000 | PA      | $1222657.21   | 0.21%             | 2030-06-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| KSL Trust                                                                 | KSL Trust                                                                                                                    | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184000 | PA      | $184585.93    | 0.03%             | 2030-06-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| LEX Trust                                                                 | LEX Trust, Series 2026-450, Class A                                                                                          | CUSIP: 501970AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1102000 | PA      | $1100622.50   | 0.19%             | 2043-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| LEX Trust                                                                 | LEX Trust, Series 2026-450, Class E                                                                                          | CUSIP: 501970AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1485635.28   | 0.25%             | 2043-03-15      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| LCM 34 Ltd.                                                               | LCM 34 Ltd., Series 34A, Class BR                                                                                            | CUSIP: 50203CAQ6<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000758.00   | 0.17%             | 2034-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LQR Trust                                                                 | LQR Trust, Series 2025-CALI, Class E                                                                                         | CUSIP: 50216WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $249997.50    | 0.04%             | 2043-01-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class A                                                                                         | CUSIP: 52109XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284077 | PA      | $284253.08    | 0.05%             | 2041-10-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-7IND, Class D                                                                                         | CUSIP: 52109XAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301832 | PA      | $302018.79    | 0.05%             | 2041-10-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                               | Legacy Mortgage Asset Trust, Series 2019-SL2, Class A                                                                        | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1094507 | PA      | $1071035.39   | 0.18%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                           | Lehman XS Trust, Series 2007-16N, Class AF2                                                                                  | CUSIP: 52525BBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    743122 | PA      | $1069008.61   | 0.18%             | 2047-09-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-2A, Class B                                                                              | CUSIP: 52590AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    495000 | PA      | $494451.64    | 0.08%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class A                                                                              | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211000 | PA      | $209078.49    | 0.04%             | 2035-05-21      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-3A, Class C                                                                              | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114000 | PA      | $112511.73    | 0.02%             | 2035-05-21      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2026-1A, Class A                                                                              | CUSIP: 52603KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458000 | PA      | $457912.20    | 0.08%             | 2035-11-20      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2026-1A, Class C                                                                              | CUSIP: 52603KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    546000 | PA      | $545819.27    | 0.09%             | 2035-11-20      | Fixed         | 5.40%                 | No            |                  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        |    600000 | PA      | $581237.16    | 0.10%             | 2032-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class A                                                                              | CUSIP: 52604QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149000 | PA      | $149669.64    | 0.03%             | 2034-09-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class B                                                                              | CUSIP: 52604QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164000 | PA      | $165090.04    | 0.03%             | 2034-09-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2025-1A, Class C                                                                              | CUSIP: 52604QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $110858.46    | 0.02%             | 2034-09-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| LEX Mortgage Trust                                                        | LEX Mortgage Trust, Series 2024-BBG, Class A                                                                                 | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1055000 | PA      | $1052490.05   | 0.18%             | 2033-10-13      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Lodi Park CLO Ltd.                                                        | Lodi Park CLO Ltd., Series 2024-1A, Class D1                                                                                 | CUSIP: 540364AL0<br>LEI: 391200GQ88V33AWI7H75 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1957528.80   | 0.33%             | 2037-07-21      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4                                                                     | CUSIP: 542514RM8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    582210 | PA      | $521758.51    | 0.09%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                            | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A3                                                                     | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1461807 | PA      | $567648.27    | 0.10%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| LUX                                                                       | LUX Trust, Series 2023-LION, Class A                                                                                         | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128229 | PA      | $128844.83    | 0.02%             | 2040-08-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| M&T Bank RV Trust                                                         | M&T Bank RV Trust, Series 2026-1A, Class A                                                                                   | CUSIP: 551923AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93468 | PA      | $92135.26     | 0.02%             | 2046-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-W10, Class A                                                        | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    470000 | PA      | $467663.25    | 0.08%             | 2034-12-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2022-NQM1, Class M1                                                                                        | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $449512.20    | 0.08%             | 2066-12-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class A                                                                                 | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576070 | PA      | $575360.47    | 0.10%             | 2037-02-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class E                                                                                 | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    228817 | PA      | $226329.78    | 0.04%             | 2037-02-15      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HF1, Class A                                                                                 | CUSIP: 55287FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266209 | PA      | $266541.74    | 0.05%             | 2041-12-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class A                                                                                        | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628000 | PA      | $644532.73    | 0.11%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class X                                                                                        | CUSIP: 55318EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28000000 | PA      | $53096.40     | 0.01%             | 2038-06-10      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| MLTI Trust                                                                | MLTI Trust, Series 2026-SF75, Class A                                                                                        | CUSIP: 55318JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    546000 | PA      | $545320.23    | 0.09%             | 2036-03-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MLTI Trust                                                                | MLTI Trust, Series 2026-SF75, Class F                                                                                        | CUSIP: 55318JAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $988276.98    | 0.17%             | 2036-03-15      | Floating      | 7.65%                 | No            |                  2 | On Loan: No      |
| Mtp Abs Funding LLC                                                       | Mtp Abs Funding LLC, Series 2026-1A, Class A2                                                                                | CUSIP: 55378HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278000 | PA      | $278000.00    | 0.05%             | 2056-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Mtp Abs Funding LLC                                                       | Mtp Abs Funding LLC, Series 2026-1A, Class B                                                                                 | CUSIP: 55378HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    433000 | PA      | $434911.29    | 0.07%             | 2056-04-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MAC Trust                                                                 | MAC Trust, Series 2025-801B, Class A                                                                                         | CUSIP: 553918AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $998940.50    | 0.17%             | 2040-10-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                               | MF1 Multifamily Housing Mortgage Loan Trust, Series 2024-FL14, Class A                                                       | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    414469 | PA      | $414856.53    | 0.07%             | 2039-03-19      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MAD Commercial Mortgage Trust                                             | MAD Commercial Mortgage Trust, Series 2025-11MD, Class E                                                                     | CUSIP: 55616AAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $450535.32    | 0.08%             | 2042-10-15      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XL-R Ltd.                                            | Madison Park Funding XL-R Ltd., Series 2025-40RA, Class A                                                                    | CUSIP: 55823RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004495.80   | 0.34%             | 2038-10-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MAIN Trust                                                                | MAIN Trust, Series 2026-OLAS, Class A                                                                                        | CUSIP: 56036BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    692000 | PA      | $691996.56    | 0.12%             | 2041-01-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MAIN Trust                                                                | MAIN Trust, Series 2026-OLAS, Class F                                                                                        | CUSIP: 56036BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $699990.40    | 0.12%             | 2041-01-15      | Floating      | 8.90%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-AA, Class A                                                                      | CUSIP: 567920AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    372000 | PA      | $374093.99    | 0.06%             | 2038-05-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-AA, Class C                                                                      | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $201408.84    | 0.03%             | 2038-05-20      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2024-BA, Class D                                                                      | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $212594.36    | 0.04%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2021-BA, Class A                                                                      | CUSIP: 56847JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    425000 | PA      | $415057.30    | 0.07%             | 2036-11-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2025-BA, Class A                                                                      | CUSIP: 56847TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99512.56     | 0.02%             | 2038-11-22      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2021-AA, Class D                                                                      | CUSIP: 56848DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381000 | PA      | $368257.76    | 0.06%             | 2036-03-20      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2025-NQM3, Class A1                                                                                        | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    687983 | PA      | $689097.47    | 0.12%             | 2070-08-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2025-NQM3, Class M1                                                                                        | CUSIP: 58004LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    236842 | PA      | $237023.44    | 0.04%             | 2070-08-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2024-NPL1, Class A1                                                                                        | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1222045 | PA      | $1223880.86   | 0.21%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-TWA, Class E                                                                                 | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $115282.73    | 0.02%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| MHP Commercial Mortgage Trust                                             | MHP Commercial Mortgage Trust, Series 2025-MHIL2, Class E                                                                    | CUSIP: 59317DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $250310.38    | 0.04%             | 2040-09-15      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-MP, Class A                                                                      | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $140762.04    | 0.02%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I, Inc. Trust                                      | Morgan Stanley Capital I, Inc., Trust, Series 2006-NC2, Class M1                                                             | CUSIP: 617451EG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    794683 | PA      | $810379.06    | 0.14%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estate Capital Trust                             | Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-1, Class A3                                                       | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381906 | PA      | $145789.41    | 0.02%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-H6, Class D                                                                      | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $380130.02    | 0.06%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-DSC2, Class A1                                                   | CUSIP: 61778XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    701453 | PA      | $703805.85    | 0.12%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM5, Class A1                                                   | CUSIP: 61779BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    622654 | PA      | $624831.85    | 0.11%             | 2070-07-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2026-NQM4, Class A1                                                   | CUSIP: 61780QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1993732.20   | 0.34%             | 2071-03-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class B1A                                                  | CUSIP: 617932AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322838 | PA      | $325955.97    | 0.06%             | 2069-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust                                                   | Mosaic Solar Loan Trust, Series 2019-2A, Class A                                                                             | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29696 | PA      | $26262.26     | 0.00%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                                             | MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A                                                                     | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1633000 | PA      | $1632489.69   | 0.28%             | 2039-03-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust                                             | MTN Commercial Mortgage Trust, Series 2026-LPFX, Class A                                                                     | CUSIP: 624944AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4853000 | PA      | $4881056.41   | 0.82%             | 2043-05-15      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                                | NCMF Trust, Series 2025-MFS, Class E                                                                                         | CUSIP: 62887TAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $677265.84    | 0.11%             | 2033-06-10      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                                | NCMF Trust                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    206000 | PA      | $206837.76    | 0.03%             | 2033-06-10      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2024-3ELV, Class A                                                                                         | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295000 | PA      | $295000.00    | 0.05%             | 2029-08-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| NYMT Trust                                                                | NYMT Trust, Series 2024-RR1, Class A                                                                                         | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856994 | PA      | $851835.86    | 0.14%             | 2064-05-25      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2018-EA, Class B                                                                          | CUSIP: 63890BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270878 | PA      | $265839.70    | 0.04%             | 2059-12-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Navient Refinance Loan Trust                                              | Navient Refinance Loan Trust, Series 2025-C, Class A                                                                         | CUSIP: 638973AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85349 | PA      | $84700.34     | 0.01%             | 2055-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2019-D, Class A2A                                                          | CUSIP: 63941CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108615 | PA      | $105676.72    | 0.02%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2020-A, Class A2B                                                               | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    233900 | PA      | $233415.64    | 0.04%             | 2068-11-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2020-CA, Class A2A                                                         | CUSIP: 63941KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    283373 | PA      | $273619.12    | 0.05%             | 2068-11-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2019-BA, Class A2B                                                                        | CUSIP: 63941LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    274503 | PA      | $274362.81    | 0.05%             | 2059-12-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2020-IA, Class A1B                                                         | CUSIP: 63942AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    441246 | PA      | $438903.85    | 0.07%             | 2069-04-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class A                                                           | CUSIP: 63942EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649666 | PA      | $580679.45    | 0.10%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B                                                           | CUSIP: 63942EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    760000 | PA      | $548809.98    | 0.09%             | 2069-12-16      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2023-BA, Class A1A                                                                        | CUSIP: 63942TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66852 | PA      | $68354.67     | 0.01%             | 2072-03-15      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                              | Navient Education Loan Trust, Series 2025-A, Class B                                                                         | CUSIP: 63943EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193640 | PA      | $194991.30    | 0.03%             | 2055-07-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                              | Navient Education Loan Trust, Series 2025-A, Class D                                                                         | CUSIP: 63943EAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $851947.01    | 0.14%             | 2055-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                              | Navient Education Loan Trust, Series 2026-A, Class A                                                                         | CUSIP: 63943MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435000 | PA      | $433328.38    | 0.07%             | 2056-09-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Navient Education Loan Trust                                              | Navient Education Loan Trust, Series 2026-A, Class B                                                                         | CUSIP: 63943MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    702000 | PA      | $698342.30    | 0.12%             | 2056-09-15      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class A1B                                                                         | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    273771 | PA      | $273234.10    | 0.05%             | 2055-05-17      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class B                                                                           | CUSIP: 64032BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    176000 | PA      | $175032.83    | 0.03%             | 2055-05-17      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-BA, Class C                                                                           | CUSIP: 64032BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $98313.78     | 0.02%             | 2055-05-17      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-AA, Class A1B                                                                         | CUSIP: 64033XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253903 | PA      | $251959.38    | 0.04%             | 2057-03-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-BA, Class C                                                                           | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $149818.35    | 0.03%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-DA, Class B                                                                           | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $630388.29    | 0.11%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class A2                                                                           | CUSIP: 64035DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $880396.44    | 0.15%             | 2062-04-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class B1                                                                           | CUSIP: 64035DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $225906.88    | 0.04%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class C                                                                            | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $151813.76    | 0.03%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class AFL                                                                         | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    232070 | PA      | $230931.73    | 0.04%             | 2062-04-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class B                                                                           | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    268841 | PA      | $238324.88    | 0.04%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class D                                                                           | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362000 | PA      | $321371.22    | 0.05%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-CA, Class A1B                                                                         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96212 | PA      | $95972.03     | 0.02%             | 2065-06-22      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2025-CA, Class D                                                                           | CUSIP: 64035UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $102353.42    | 0.02%             | 2065-06-22      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVI-S Ltd.                                           | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class D1R2                                                                | CUSIP: 64131TBG8<br>LEI: 549300UHUHCR3388B324 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2989086.90   | 0.50%             | 2039-04-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 30 Ltd.                                | Neuberger Berman Loan Advisers CLO 30 Ltd., Series 2018-30A, Class A1R2                                                      | CUSIP: 64132MBA5<br>LEI: 549300WWWM7IDWOVIL36 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2003038.80   | 0.34%             | 2037-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2026-NQM5, Class A1                                                              | CUSIP: 647913AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999610.37   | 0.34%             | 2066-04-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2020-RPL1, Class B3                                                              | CUSIP: 64828XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2015885.00   | 0.34%             | 2059-11-25      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class F                                                               | CUSIP: 64831KAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2739000 | PA      | $2693679.68   | 0.46%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class B1                                                              | CUSIP: 64832DAG6<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |    789000 | PA      | $794340.82    | 0.13%             | 2065-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class B2                                                              | CUSIP: 64832DAH4<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |    394300 | PA      | $383359.83    | 0.06%             | 2065-01-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                                                              | CUSIP: 64832FAC0<br>LEI: 2138001CG5SYL78G3648 | Long             | ABS-MBS          | CORP              | US        |    631758 | PA      | $633627.91    | 0.11%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| NRZT                                                                      | NRZT, Series 2025-NQM6, Class A1                                                                                             | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921456 | PA      | $919842.83    | 0.16%             | 2065-10-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2026-NQM1, Class A1                                                              | CUSIP: 64832LAE3<br>LEI: 213800ECBEJHYYK9P940 | Long             | ABS-MBS          | CORP              | US        |   1940400 | PA      | $1925934.10   | 0.33%             | 2065-11-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2026-NQM3, Class B1                                                              | CUSIP: 64832PAJ3<br>LEI: 213800BXPAJOYIE7S264 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $988210.50    | 0.17%             | 2066-02-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                                             | Nomura Resecuritization Trust, Series 2014-8R, Class 1A2                                                                     | CUSIP: 65540QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    905429 | PA      | $867258.76    | 0.15%             | 2036-10-26      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| NRTH Commercial Mortgage Trust                                            | NRTH Commercial Mortgage Trust, Series 2025-PARK, Class A                                                                    | CUSIP: 669985AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075000 | PA      | $1074328.88   | 0.18%             | 2040-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ORL Trust                                                                 | ORL Trust, Series 2024-GLKS, Class A                                                                                         | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $400625.00    | 0.07%             | 2039-12-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-300P, Class D                                                                     | CUSIP: 67121TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498272.65    | 0.08%             | 2042-07-13      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                                           | NYMT Loan Trust, Series 2025-CP1, Class A1                                                                                   | CUSIP: 67121VAA2<br>LEI: 254900JF85A0S614L988 | Long             | ABS-MBS          | CORP              | US        |    677763 | PA      | $652716.67    | 0.11%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-11X, Class A                                                                      | CUSIP: 67122NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1353375.00   | 0.23%             | 2040-10-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-28L, Class A                                                                      | CUSIP: 67123JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314000 | PA      | $313138.32    | 0.05%             | 2038-11-05      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2025-77C, Class A                                                                                          | CUSIP: 67123LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970000 | PA      | $963891.91    | 0.16%             | 2036-01-10      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2026-NQM6, Class A1LC                                                                                      | CUSIP: 67124EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1985897.80   | 0.34%             | 2066-04-26      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2026-1325, Class A                                                                     | CUSIP: 67124GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1000662.10   | 0.17%             | 2041-05-09      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 32 Ltd.                                       | Octagon Investment Partners 32 Ltd., Series 2017-1A, Class A1R3                                                              | CUSIP: 67573CAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5010640.00   | 0.85%             | 2037-10-31      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVII Ltd.                                     | Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2                                                             | CUSIP: 67590GBL2<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |    267351 | PA      | $267340.92    | 0.05%             | 2031-01-25      | Floating      | 5.33%                 | No            |                  3 | 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        |   1072000 | PA      | $992172.13    | 0.17%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class D                                                                            | CUSIP: 68245HAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $386981.69    | 0.07%             | 2032-02-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| 1301 Trust                                                                | 1301 Trust, Series 2025-1301, Class F                                                                                        | CUSIP: 682461AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259000 | PA      | $268943.85    | 0.05%             | 2042-08-11      | Variable      | 8.37%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class A                                                                          | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174623 | PA      | $169711.79    | 0.03%             | 2036-01-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust                                                  | One New York Plaza Trust, Series 2020-1NYP, Class AJ                                                                         | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96937.50     | 0.02%             | 2036-01-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2020-2A, Class D                                                                    | CUSIP: 682696AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $725412.23    | 0.12%             | 2035-09-14      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2019-2A, Class C                                                                    | CUSIP: 68269BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $288972.48    | 0.05%             | 2036-10-14      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2023-2A, Class C                                                                    | CUSIP: 68269HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $102634.23    | 0.02%             | 2036-09-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2023-2A, Class D                                                                    | CUSIP: 68269HAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    880000 | PA      | $905385.18    | 0.15%             | 2036-09-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2024-1A, Class B                                                                    | CUSIP: 68269NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $207516.98    | 0.04%             | 2041-05-14      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2025-1A, Class D                                                                    | CUSIP: 68270DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415000 | PA      | $416484.29    | 0.07%             | 2038-07-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| 1345T                                                                     | 1345T, Series 2025-AOA, Class A                                                                                              | CUSIP: 68271CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1595000 | PA      | $1595000.00   | 0.27%             | 2042-06-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| 1345T                                                                     | 1345T, Series 2025-AOA, Class E                                                                                              | CUSIP: 68271CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $780579.59    | 0.13%             | 2042-06-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| ONNI Commerical Mortgage Trust                                            | ONNI Commerical Mortgage Trust, Series 2024-APT, Class A                                                                     | CUSIP: 682939AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $494900.00    | 0.08%             | 2039-07-15      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1                                                                  | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    813351 | PA      | $700744.60    | 0.12%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4                                                                  | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490739 | PA      | $481627.65    | 0.08%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| PLYM Commercial Mortgage Trust                                            | PLYM Commercial Mortgage Trust, Series 2026-IND, Class D                                                                     | CUSIP: 69292BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $995004.20    | 0.17%             | 2043-03-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                       | PFS Financing Corp., Series 2025-B, Class B                                                                                  | CUSIP: 69335PFV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    484000 | PA      | $488020.49    | 0.08%             | 2030-02-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| PKHL Commercial Mortgage Trust                                            | PKHL Commercial Mortgage Trust, Series 2021-MF, Class NR                                                                     | CUSIP: 69356GAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $36435.84     | 0.01%             | 2038-07-15      | Floating      | 9.77%                 | No            |                  2 | On Loan: No      |
| PGA Trust                                                                 | PGA Trust, Series 2024-RSR2, Class A                                                                                         | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $379881.25    | 0.06%             | 2039-06-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| PENN Commercial Mortgage Trust                                            | PENN Commercial Mortgage Trust, Series 2025-P11, Class A                                                                     | CUSIP: 69382VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328000 | PA      | $333139.76    | 0.06%             | 2042-08-10      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                  | PRPM LLC, Series 2025-RCF4, Class A3                                                                                         | CUSIP: 69382WAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $969616.70    | 0.16%             | 2055-08-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM5, Class A1A                                                                                      | CUSIP: 69383FAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702560 | PA      | $701438.79    | 0.12%             | 2070-10-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2026-NQM2, Class A1                                                                                       | CUSIP: 69384EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999969.20   | 0.34%             | 2071-04-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2026-AFC3, Class A1                                                                                      | CUSIP: 69393JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999984.60   | 0.34%             | 2061-05-01      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2022-1A, Class A1R                                                                            | CUSIP: 69689QAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004382.00   | 0.34%             | 2038-10-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                                          | Planet Fitness Master Issuer LLC, Series 2025-1A, Class A2II                                                                 | CUSIP: 72703PAJ2<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $154856.57    | 0.03%             | 2055-12-06      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                                               | Point Broadband Funding LLC, Series 2025-1A, Class B                                                                         | CUSIP: 73052AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293000 | PA      | $293337.39    | 0.05%             | 2055-07-20      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Post CLO Ltd.                                                             | Post CLO Ltd., Series 2024-1A, Class A1                                                                                      | CUSIP: 73743EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2002843.40   | 0.34%             | 2037-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| PRM8 Trust                                                                | PRM8 Trust, Series 2026-PRM8, Class A                                                                                        | CUSIP: 74290LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2140000 | PA      | $2127293.75   | 0.36%             | 2041-05-10      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| PRM8 Trust                                                                | PRM8 Trust, Series 2026-PRM8, Class D                                                                                        | CUSIP: 74290LAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1158000 | PA      | $1146420.00   | 0.19%             | 2041-05-10      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| PRM8 Trust                                                                | PRM8 Trust, Series 2026-PRM8, Class E                                                                                        | CUSIP: 74290LAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1980000.00   | 0.33%             | 2041-05-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR3, Class F                                                                        | CUSIP: 74331UAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $999569.80    | 0.17%             | 2039-04-17      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR10, Class F                                                                       | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1242583 | PA      | $1214761.03   | 0.21%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2021-SFR11, Class F                                                                       | CUSIP: 74333XAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1941812.60   | 0.33%             | 2039-01-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2022-SFR1, Class F                                                                        | CUSIP: 74333YAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2417679.75   | 0.41%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2023-SFR1, Class E1                                                                       | CUSIP: 74334FAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    925000 | PA      | $917126.03    | 0.15%             | 2040-03-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                | Progress Residential Trust, Series 2026-SFR1, Class E                                                                        | CUSIP: 74334HAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $921562.70    | 0.16%             | 2043-02-17      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2026-NQM1, Class A1                                                                                       | CUSIP: 74391DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1995344.60   | 0.34%             | 2071-02-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| PRPM Issuer LLC                                                           | PRPM Issuer LLC, Series 2026-CRE1, Class A                                                                                   | CUSIP: 74391FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1000132.60   | 0.17%             | 2043-03-19      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2025-1A, Class A2                                                                              | CUSIP: 74690FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1203000 | PA      | $1179774.28   | 0.20%             | 2055-10-05      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2026-1A, Class B                                                                               | CUSIP: 74690FAS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56000 | PA      | $55172.96     | 0.01%             | 2056-01-05      | Fixed         | 6.73%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2026-2A, Class A2                                                                              | CUSIP: 74690FAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72000 | PA      | $71278.30     | 0.01%             | 2056-01-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2026-4A, Class A2                                                                              | CUSIP: 74690FBC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    769000 | PA      | $769401.80    | 0.13%             | 2056-03-05      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| QTS Issuer ABS II LLC                                                     | QTS Issuer ABS II LLC, Series 2026-5A, Class A2                                                                              | CUSIP: 74690FBE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192000 | PA      | $193317.50    | 0.03%             | 2056-03-06      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| RAAC Trust                                                                | RAAC Trust, Series 2006-SP3, Class M3                                                                                        | CUSIP: 74919QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1144424 | PA      | $1195621.39   | 0.20%             | 2036-08-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QS1, Class 1A5                                                                                       | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790522 | PA      | $597228.48    | 0.10%             | 2037-01-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                                | RASC Trust, Series 2006-EMX9, Class 1A4                                                                                      | CUSIP: 74924VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1096996 | PA      | $908234.98    | 0.15%             | 2036-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2006-SA2, Class 2A1                                                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86347 | PA      | $57182.48     | 0.01%             | 2036-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                 | RMF Buyout Issuance Trust, Series 2021-HB1, Class M6                                                                         | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042402 | PA      | $933176.02    | 0.16%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| RR 16 Ltd.                                                                | RR 16 Ltd., Series 2021-16A, Class A1R                                                                                       | CUSIP: 74971CAJ2<br>LEI: 549300FLUOZC8QYYKL96 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $5000414.00   | 0.84%             | 2036-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Race Point X CLO Ltd.                                                     | Race Point X CLO Ltd., Series 2016-10A, Class B2R                                                                            | CUSIP: 74983DBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    443120 | PA      | $444533.91    | 0.08%             | 2031-07-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QO2, Class A1                                                                                        | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162489 | PA      | $336060.01    | 0.06%             | 2047-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QH5, Class AII                                                                                       | CUSIP: 75116EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876552 | PA      | $379660.26    | 0.06%             | 2037-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                                                   | Regatta 31 Funding Ltd., Series 2025-1A, Class A1                                                                            | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1400000 | PA      | $1399579.16   | 0.24%             | 2038-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class B                                                                   | CUSIP: 758983AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $203705.36    | 0.03%             | 2036-07-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class D                                                                   | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $208780.10    | 0.04%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class A                                                                   | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $526825.01    | 0.09%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class B                                                                   | CUSIP: 75907AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    444000 | PA      | $446178.09    | 0.08%             | 2033-12-15      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class C                                                                   | CUSIP: 75907AAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $170879.43    | 0.03%             | 2033-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-2, Class D                                                                   | CUSIP: 75907AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $251204.65    | 0.04%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2025-1, Class B                                                                   | CUSIP: 75908AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $110672.27    | 0.02%             | 2034-04-17      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2025-2, Class A                                                                   | CUSIP: 75908BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    131000 | PA      | $130023.64    | 0.02%             | 2037-11-16      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2024-A, Class C                                                                      | CUSIP: 76041RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $211370.40    | 0.04%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2025-A, Class A                                                                      | CUSIP: 76042FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230000 | PA      | $228558.91    | 0.04%             | 2034-11-20      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2021-1R, Class A1                                                                    | CUSIP: 76090NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109410 | PA      | $106517.70    | 0.02%             | 2065-01-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                               | RFMSI Trust, Series 2005-SA3, Class 1A                                                                                       | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1391810 | PA      | $537802.46    | 0.09%             | 2035-08-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A2                                                          | CUSIP: 76113NAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610245 | PA      | $444569.70    | 0.08%             | 2036-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A5                                                          | CUSIP: 76113NAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    571678 | PA      | $90643.59     | 0.02%             | 2036-07-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                    | Residential Asset Securitization Trust, Series 2006-A7CB, Class 2A6                                                          | CUSIP: 76113NAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    459465 | PA      | $353989.57    | 0.06%             | 2036-07-25      | Floating      | 23.85%                | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2019-2, Class B2                                                                     | CUSIP: 76119DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $988915.40    | 0.17%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                                           | Residential Mortgage Loan Trust, Series 2019-3, Class B2                                                                     | CUSIP: 76119NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $996698.60    | 0.17%             | 2059-09-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                                  | Retained Vantage Data Centers Issuer LLC, Series 2025-1A, Class A2A                                                          | CUSIP: 76134KAM6<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $152172.10    | 0.03%             | 2050-08-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Sesac Finance LLC                                                         | Sesac Finance LLC, Series 2025-1, Class A2                                                                                   | CUSIP: 78396YAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $156470.08    | 0.03%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SCG Commercial Mortgage Trust                                             | SCG Commercial Mortgage Trust, Series 2025-DLFN, Class E                                                                     | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $125027.96    | 0.02%             | 2035-03-15      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| SCG Trust                                                                 | SCG Trust, Series 2025-SNIP, Class A                                                                                         | CUSIP: 78398JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1002500.00   | 0.17%             | 2042-09-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                             | SG Residential Mortgage Trust, Series 2026-3, Class A1LC                                                                     | CUSIP: 78398MAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999947.20   | 0.34%             | 2066-04-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class A                                                                                         | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $421468.99    | 0.07%             | 2041-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| SCG Mortgage Trust                                                        | SCG Mortgage Trust, Series 2024-MSP, Class A                                                                                 | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $500000.00    | 0.08%             | 2041-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                                                | SDAL Trust, Series 2025-DAL, Class A                                                                                         | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492000 | PA      | $491999.85    | 0.08%             | 2042-04-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| SLM Private Credit Student Loan Trust                                     | SLM Private Credit Student Loan Trust, Series 2004-B, Class A4                                                               | CUSIP: 78443CBP8<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |    449515 | PA      | $445984.69    | 0.08%             | 2033-09-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class A2A1                                                                  | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397851 | PA      | $394135.11    | 0.07%             | 2053-01-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class B                                                                     | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67484 | PA      | $65884.43     | 0.01%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class C                                                                     | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111474 | PA      | $98084.76     | 0.02%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class APL                                                                   | CUSIP: 78448YAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    241223 | PA      | $239050.22    | 0.04%             | 2053-01-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-B, Class A1B                                                                   | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    151443 | PA      | $154046.64    | 0.03%             | 2056-10-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-A, Class A2A                                                                   | CUSIP: 78449PAB5<br>LEI: 549300QHI21JZK7YIR34 | Long             | ABS-O            | CORP              | US        |    152179 | PA      | $151669.58    | 0.03%             | 2036-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-C, Class A2A                                                                   | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |    143744 | PA      | $143210.10    | 0.02%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2020-B, Class B                                                                     | CUSIP: 78449XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $228247.75    | 0.04%             | 2053-07-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| SLG Commercial Mortgage Trust                                             | SLG Commercial Mortgage Trust, Series 2026-PAT, Class A                                                                      | CUSIP: 78451CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1077000 | PA      | $1069596.49   | 0.18%             | 2039-02-15      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                                          | SLG Office Trust, Series 2026-OMA, Class F                                                                                   | CUSIP: 78451FAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $503462.10    | 0.09%             | 2041-04-15      | Variable      | 7.92%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                      | SMRT, Series 2022-MINI, Class B                                                                                              | CUSIP: 78457JAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $849203.13    | 0.14%             | 2039-01-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SWCH Commercial Mortgage Trust                                            | SWCH Commercial Mortgage Trust, Series 2025-DATA, Class A                                                                    | CUSIP: 78489CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4956250.00   | 0.84%             | 2042-02-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                   | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1                                                          | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1511 | PA      | $1503.16      | 0.00%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                                                   | Sandstone Peak III Ltd., Series 2024-1A, Class A1                                                                            | CUSIP: 799928AA4<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.34%             | 2037-04-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Sandstone Peak III Ltd.                                                   | Sandstone Peak III Ltd., Series 2024-1A, Class A1R                                                                           | CUSIP: 799928AS5<br>LEI: 2549005C0PJHMYEI7U38 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2000000.00   | 0.34%             | 2037-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Santander Mortgage Asset Receivable Trust                                 | Santander Mortgage Asset Receivable Trust, Series 2025-NQM3, Class A1                                                        | CUSIP: 80263AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    543831 | PA      | $546718.09    | 0.09%             | 2065-05-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| SCOTT Trust                                                               | SCOTT Trust, Series 2023-SFS, Class A                                                                                        | CUSIP: 810064AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $370993.56    | 0.06%             | 2040-03-10      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Sculptor CLO XXIX Ltd.                                                    | Sculptor CLO XXIX Ltd., Series 29A, Class AR                                                                                 | CUSIP: 81124EAQ3<br>LEI: 254900GX0OVY3JW8NA67 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005394.80   | 0.34%             | 2038-07-22      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                            | Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B                                                   | CUSIP: 81378KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1798376 | PA      | $720511.17    | 0.12%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class E                                                                    | CUSIP: 81631WAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287000 | PA      | $286015.13    | 0.05%             | 2034-11-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class F                                                                    | CUSIP: 81631WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $139089.73    | 0.02%             | 2034-11-15      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| SG Residential Mortgage Trust                                             | SG Residential Mortgage Trust, Series 2026-1, Class A1                                                                       | CUSIP: 818916AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986844 | PA      | $979085.79    | 0.17%             | 2066-01-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 6 Ltd.                                                   | Silver Point CLO 6 Ltd., Series 2024-6A, Class A1                                                                            | CUSIP: 82808MAA1<br>LEI: 254900RSFBN3VCGBVP05 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002118.70   | 0.17%             | 2037-10-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 7 Ltd.                                                   | Silver Point CLO 7 Ltd., Series 2024-7A, Class A1                                                                            | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |   1750000 | PA      | $1754474.05   | 0.30%             | 2038-01-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 12 Ltd.                                                  | Silver Point CLO 12 Ltd., Series 2025-12A, Class A1                                                                          | CUSIP: 82809MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004845.80   | 0.34%             | 2038-10-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO 11 Ltd.                                                  | Silver Point CLO 11 Ltd., Series 2025-11A, Class A1                                                                          | CUSIP: 82809XAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002497.80   | 0.17%             | 2038-07-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XXII Ltd.                                                | Sixth Street CLO XXII Ltd., Series 2023-22A, Class AR                                                                        | CUSIP: 83011LAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2997453.00   | 0.51%             | 2038-04-21      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO XVIII Ltd.                                               | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class A1R                                                                      | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004814.40   | 0.34%             | 2038-10-17      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2017-B, Class B                                                                     | CUSIP: 83189DAD2<br>LEI: 549300NWENTZ8X7JUC78 | Long             | ABS-O            | CORP              | US        |    434177 | PA      | $427312.06    | 0.07%             | 2041-12-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2019-B, Class A2B                                                                   | CUSIP: 83192CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192909 | PA      | $193013.73    | 0.03%             | 2037-06-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2019-B, Class B                                                                     | CUSIP: 83192CAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    406000 | PA      | $388636.68    | 0.07%             | 2043-06-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class B                                                                     | CUSIP: 831943AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $807412.96    | 0.14%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-C, Class A1B                                                                   | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101411 | PA      | $102414.26    | 0.02%             | 2052-11-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class B                                                                     | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59619 | PA      | $58198.70     | 0.01%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Sofi Professional Loan Program LLC                                        | SoFi Professional Loan Program LLC, Series 2019-C, Class BFX                                                                 | CUSIP: 83401CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    373000 | PA      | $337803.79    | 0.06%             | 2048-11-16      | Fixed         | 3.05%                 | 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        |    187071 | PA      | $167426.38    | 0.03%             | 2047-02-15      | Fixed         | 1.14%                 | No            |                  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        |    179935 | PA      | $180427.55    | 0.03%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class B                                                                     | CUSIP: 83406YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100759.96    | 0.02%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Sofi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2026-B, Class A                                                                     | CUSIP: 83407MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    453000 | PA      | $452960.09    | 0.08%             | 2036-02-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Sofi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2026-B, Class B                                                                     | CUSIP: 83407MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48000 | PA      | $47947.89     | 0.01%             | 2036-02-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Sofi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2026-B, Class C                                                                     | CUSIP: 83407MAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48000 | PA      | $47935.57     | 0.01%             | 2036-02-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Sofi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2026-B, Class D                                                                     | CUSIP: 83407MAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48000 | PA      | $47943.73     | 0.01%             | 2036-02-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO V-R Ltd.                                                  | Sound Point CLO V-R Ltd., Series 2014-1RA, Class A                                                                           | CUSIP: 83607EAA0<br>LEI: 549300UPX3H8ENJXHI23 | Long             | ABS-CBDO         | CORP              | KY        |     46141 | PA      | $46160.74     | 0.01%             | 2031-07-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Sounds Point CLO IV-R Ltd.                                                | Sounds Point CLO IV-R Ltd., Series 2013-3RA, Class A                                                                         | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | KY        |    465309 | PA      | $465522.12    | 0.08%             | 2031-04-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO VI-R Ltd.                                                 | Sound Point CLO VI-R Ltd., Series 2014-2RA, Class A                                                                          | CUSIP: 83613WAA2<br>LEI: 5493001FKRL3V2YW2890 | Long             | ABS-CBDO         | CORP              | KY        |    585271 | PA      | $585557.09    | 0.10%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class B2                                                                   | CUSIP: 85209FAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    775000 | PA      | $735589.55    | 0.12%             | 2050-01-28      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A                                                                  | CUSIP: 85213XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978666 | PA      | $969234.90    | 0.16%             | 2057-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                                           | Spruce Hill Mortgage Loan Trust, Series 2020-SH2, Class B1                                                                   | CUSIP: 85214RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1881783 | PA      | $1855931.75   | 0.31%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| STDIO Commercial Mortgage Trust                                           | STDIO Commercial Mortgage Trust, Series 2025-RLGH, Class A                                                                   | CUSIP: 85781AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $495652.50    | 0.08%             | 2038-09-15      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                                           | Stream Innovations Issuer Trust, Series 2025-1A, Class A                                                                     | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71371 | PA      | $71426.34     | 0.01%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                     | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-MN1A, Class A1                                            | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1008943 | PA      | $575281.35    | 0.10%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Summit Issuer LLC                                                         | Summit Issuer LLC, Series 2025-1A, Class A2                                                                                  | CUSIP: 86613XAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147000 | PA      | $147086.02    | 0.02%             | 2055-11-20      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| TCI-Symphony CLO Ltd.                                                     | TCI-Symphony CLO Ltd., Series 2017-1A, Class D                                                                               | CUSIP: 87232BAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1007596.00   | 0.17%             | 2030-07-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd.                                                     | TCI-Flatiron CLO Ltd., Series 2018-1A, Class DR2                                                                             | CUSIP: 87232CAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $993243.30    | 0.17%             | 2035-07-29      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| MIC Trust (The)                                                           | MIC Trust (The), Series 2023-MIC, Class A                                                                                    | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $383230.15    | 0.06%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                                     | Taco Bell Funding LLC, Series 2025-1A, Class A2I                                                                             | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219000 | PA      | $216513.34    | 0.04%             | 2055-08-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                 | Towd Point Mortgage Trust, Series 2026-FIX2, Class A1A                                                                       | CUSIP: 89183VCG6<br>LEI: 25490034D0KGIZRC3Y05 | Long             | ABS-O            | CORP              | US        |   1166667 | PA      | $1166656.27   | 0.20%             | 2066-04-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XX Ltd.                                                      | Trinitas CLO XX Ltd., Series 2022-20A, Class D1R                                                                             | CUSIP: 89640EAU2<br>LEI: 5493007IXHTJ7TQMIW41 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001542.00   | 0.17%             | 2035-07-20      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XXIX Ltd.                                                    | Trinitas CLO XXIX Ltd., Series 2024-29A, Class D1                                                                            | CUSIP: 89643BAL5<br>LEI: 2549000HOL90CNMWDO78 | Long             | ABS-CBDO         | CORP              | KY        |    740000 | PA      | $744253.45    | 0.13%             | 2037-07-23      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                                         | 1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2                                                              | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $357050.00    | 0.06%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class E                                                                    | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237000 | PA      | $234037.50    | 0.04%             | 2034-09-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2998503 | PA      | $119295.46    | 0.02%             | 2052-10-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| UPG HI Issuer Trust                                                       | UPG HI Issuer Trust, Series 2025-2, Class A                                                                                  | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83142 | PA      | $82530.11     | 0.01%             | 2047-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US Bank NA                                                                | US Bank NA, Series 2026-RVM1, Class B1                                                                                       | CUSIP: 90355PAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238593 | PA      | $236230.89    | 0.04%             | 2046-12-25      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                                | UNIV Trust, Series 2025-APTS, Class A                                                                                        | CUSIP: 91336XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2954000 | PA      | $2946650.45   | 0.50%             | 2042-11-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| UNIV Trust                                                                | UNIV Trust, Series 2025-APTS, Class B                                                                                        | CUSIP: 91336XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $398507.20    | 0.07%             | 2042-11-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST4, Class A                                                                     | CUSIP: 91533MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67448 | PA      | $67560.82     | 0.01%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST6, Class B                                                                     | CUSIP: 91533QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211000 | PA      | $210117.79    | 0.04%             | 2032-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST7, Class A                                                                     | CUSIP: 91533RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70746 | PA      | $70746.29     | 0.01%             | 2032-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST5, Class B                                                                     | CUSIP: 91535BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144000 | PA      | $143710.23    | 0.02%             | 2032-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                                            | Upgrade Master Pass-Thru Trust, Series 2025-ST8, Class C                                                                     | CUSIP: 91535UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    228000 | PA      | $226542.10    | 0.04%             | 2033-12-15      | Fixed         | 5.25%                 | 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        |    161456 | PA      | $161012.59    | 0.03%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                                          | VB-S1 Issuer LLC, Series 2026-1A, Class C2                                                                                   | CUSIP: 91825HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367000 | PA      | $358839.53    | 0.06%             | 2056-03-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                                          | VB-S1 Issuer LLC, Series 2026-1A, Class F                                                                                    | CUSIP: 91825HAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    747000 | PA      | $749679.64    | 0.13%             | 2056-03-15      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| VCC Trust                                                                 | VCC Trust, Series 2025-MC1, Class A1                                                                                         | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    510857 | PA      | $508590.74    | 0.09%             | 2055-05-25      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-TI, Class A                                                                                         | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $340513.23    | 0.06%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-GCS, Class D                                                                                        | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    378000 | PA      | $375242.15    | 0.06%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M4                                                              | CUSIP: 92257HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    805221 | PA      | $719155.56    | 0.12%             | 2049-10-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2019-3, Class M6                                                              | CUSIP: 92257HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789925 | PA      | $658684.17    | 0.11%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-4, Class M5                                                              | CUSIP: 92258DAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1596752 | PA      | $1292112.82   | 0.22%             | 2051-12-26      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2022-1, Class M4                                                              | CUSIP: 92258XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1037449 | PA      | $866942.25    | 0.15%             | 2052-02-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2020-1, Class M4                                                              | CUSIP: 92259LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425189 | PA      | $325002.56    | 0.05%             | 2050-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-2, Class M5                                                              | CUSIP: 92259MAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424086 | PA      | $318406.63    | 0.05%             | 2051-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-2, Class M5                                                              | CUSIP: 92259PAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274884 | PA      | $279906.37    | 0.05%             | 2054-04-25      | Variable      | 10.72%                | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M6                                                              | CUSIP: 92259TAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1128361 | PA      | $839688.79    | 0.14%             | 2051-05-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-5, Class M4                                                              | CUSIP: 92261AAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    954922 | PA      | $954099.12    | 0.16%             | 2054-10-25      | Fixed         | 9.47%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2024-6, Class M4                                                              | CUSIP: 92261BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495907 | PA      | $499098.32    | 0.08%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-RTL1, Class A1                                                           | CUSIP: 92262GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981527 | PA      | $987991.77    | 0.17%             | 2030-03-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-5, Class M2                                                              | CUSIP: 92262KAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1244206 | PA      | $1240233.13   | 0.21%             | 2055-12-25      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-3, Class A                                                               | CUSIP: 92262RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    427157 | PA      | $428575.84    | 0.07%             | 2055-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2026-1, Class A                                                               | CUSIP: 92262WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975833 | PA      | $962656.71    | 0.16%             | 2056-02-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2026-1, Class M3                                                              | CUSIP: 92262WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497448 | PA      | $488969.19    | 0.08%             | 2056-02-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2026-1, Class M4                                                              | CUSIP: 92262WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248724 | PA      | $244197.84    | 0.04%             | 2056-02-25      | Variable      | 8.48%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M3                                                              | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998721 | PA      | $1005983.28   | 0.17%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2025-1, Class M4                                                              | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    345763 | PA      | $348004.54    | 0.06%             | 2055-02-25      | Fixed         | 10.15%                | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2026-2, Class A1LC                                                                        | CUSIP: 92490GAE8<br>LEI: 213800OKSLL73WD2H386 | Long             | ABS-MBS          | CORP              | US        |   1114638 | PA      | $1095564.87   | 0.19%             | 2071-02-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-4, Class B1                                                                          | CUSIP: 92539TAE3<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498284.55    | 0.08%             | 2068-05-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2024-2, Class B2                                                                          | CUSIP: 92539UAF7<br>LEI: 213800KSJFZ5H8FZ7C61 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $506032.05    | 0.09%             | 2069-02-25      | Variable      | 8.67%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-2, Class B1                                                                          | CUSIP: 92540VAG0<br>LEI: 213800TTP1CNX4WER720 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $504283.30    | 0.09%             | 2070-03-25      | Fixed         | 6.97%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                          | Vista Point Securitization Trust, Series 2026-CES1, Class A2                                                                 | CUSIP: 92790EAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $987234.30    | 0.17%             | 2056-02-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                          | Vista Point Securitization Trust, Series 2025-CES3, Class A1                                                                 | CUSIP: 92842MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    713011 | PA      | $712387.45    | 0.12%             | 2055-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                          | Vista Point Securitization Trust, Series 2026-CES2, Class A1                                                                 | CUSIP: 92842NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1999974.80   | 0.34%             | 2056-05-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                                             | VTR Commercial Mortgage Trust, Series 2025-STEM, Class A                                                                     | CUSIP: 92890YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    892000 | PA      | $885787.22    | 0.15%             | 2039-10-13      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| VTR Commercial Mortgage Trust                                             | VTR Commercial Mortgage Trust, Series 2025-STEM, Class D                                                                     | CUSIP: 92890YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    381000 | PA      | $374981.27    | 0.06%             | 2039-10-13      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2017-3A, Class CRR                                                                                     | CUSIP: 92915QBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $996156.00    | 0.17%             | 2034-04-20      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2021-1A, Class AR                                                                                      | CUSIP: 92918QAN0<br>LEI: 549300TZK6NKU72KPL60 | Long             | ABS-CBDO         | CORP              | KY        |   1135000 | PA      | $1134532.49   | 0.19%             | 2034-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates Trust                         | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3                                                | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1244518 | PA      | $442066.61    | 0.07%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA1, Class A1A                                       | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560213 | PA      | $525080.30    | 0.09%             | 2047-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class E                                                                     | CUSIP: 92987LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353000 | PA      | $362344.26    | 0.06%             | 2040-07-15      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates Trust                         | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE1, Class 2A3                                                | CUSIP: 933631AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1106044 | PA      | $495757.57    | 0.08%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OA5, Class 2A                                        | CUSIP: 93364BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1304560 | PA      | $1106967.74   | 0.19%             | 2047-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class 5A1                                         | CUSIP: 93934FFB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    887429 | PA      | $734906.17    | 0.12%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-11, Class A7                                         | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940006 | PA      | $816560.65    | 0.14%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 2CB                                         | CUSIP: 93934FMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599315 | PA      | $402862.01    | 0.07%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 3CB                                         | CUSIP: 93934FME9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    924788 | PA      | $733642.01    | 0.12%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates Trust                         | Washington Mutual WMABS, Series 2007-HE2, Class 2A1                                                                          | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2793197 | PA      | $839079.81    | 0.14%             | 2037-02-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-6, Class 3CB1                                        | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487208 | PA      | $972481.02    | 0.16%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR8, Class 2A                                        | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95599 | PA      | $84778.21     | 0.01%             | 2046-10-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates Trust                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-5, Class A3                                          | CUSIP: 93936PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183936 | PA      | $155106.71    | 0.03%             | 2037-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                        | Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A1                                                                | CUSIP: 94984TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1059708 | PA      | $897115.52    | 0.15%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                        | Wells Fargo Alternative Loan Trust, Series 2007-PA1, Class A2                                                                | CUSIP: 94984TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1059707 | PA      | $113562.60    | 0.02%             | 2037-03-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-1745, Class A                                                             | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $470750.95    | 0.08%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A                                                              | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $607447.36    | 0.10%             | 2036-08-17      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class XA                                                             | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3392013 | PA      | $40677.36     | 0.01%             | 2050-11-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class A                                                             | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216000 | PA      | $216768.98    | 0.04%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class B                                                             | CUSIP: 95004AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $203631.64    | 0.03%             | 2043-07-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class C                                                             | CUSIP: 95004AAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199689.57    | 0.03%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2024-BPRC, Class D                                                             | CUSIP: 95004AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $199366.90    | 0.03%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| WEST Trust                                                                | WEST Trust, Series 2025-ROSE, Class A                                                                                        | CUSIP: 955909AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339000 | PA      | $340915.89    | 0.06%             | 2035-04-10      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                                     | Western Alliance Bank, Series 2021-CL2, Class M1                                                                             | CUSIP: 95763PNC1<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |    398734 | PA      | $418207.80    | 0.07%             | 2059-07-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Western Alliance Bank                                                     | Western Alliance Bank, Series 2021-CL2, Class M2                                                                             | CUSIP: 95763PND9<br>LEI: SI7YQSVPFZBSQ878IC17 | Long             | ABS-MBS          | CORP              | US        |    570390 | PA      | $607097.83    | 0.10%             | 2059-07-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1660000 | PA      | $41445.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   6410000 | PA      | $163994.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2500000 | PA      | $72129.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   3700000 | PA      | $81130.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1930000 | PA      | $21150.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1700000 | PA      | $9065.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wireless PropCo Funding LLC                                               | Wireless PropCo Funding LLC, Series 2025-1A, Class B                                                                         | CUSIP: 97655EAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    448000 | PA      | $423938.46    | 0.07%             | 2055-06-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MCM Associates Ltd.                                                       | MCM Associates Ltd.                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    824735 | PA      | $788820.03    | 0.13%             | 2031-09-25      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| MCM Associates Ltd.                                                       | MCM Associates Ltd.                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    552541 | PA      | $439054.24    | 0.07%             | 2031-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       831 | NC      | $-403013.72   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       604 | NC      | $-212081.47   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       299 | NC      | $-94083.38    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         9 | NC      | $-12107.16    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        68 | NC      | $-187084.66   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $5584.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-30

**Name of Applicant:** BlackRock ETF Trust II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer