# EDGAR Filing Document

**Accession Number:** 0001738079
**File Stem:** 0002071691-25-002274
**Filing Date:** 2025-9
**Character Count:** 493367
**Document Hash:** a23c0e9bb67d838431be60a64b0922a7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-002274.hdr.sgml**: 20250926

**ACCESSION NUMBER**: 0002071691-25-002274

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250926

**DATE AS OF CHANGE**: 20250926

**PERIOD START**: 20260430

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Managed Account Series II
- **CENTRAL INDEX KEY:** 0001738079

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23340
- **FILM NUMBER:** 251346959

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

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

## Series and Classes Contracts Data

### BlackRock Securitized Income Fund (Series ID: S000062368)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202318 | Investor A Shares    |  |
| C000202319 | Investor C Shares    |  |
| C000202320 | Institutional Shares |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Managed Account Series II

- **b. Investment Company Act file number:** 811-23340

- **c. CIK number of Registrant:** 0001738079

- **d. LEI of Registrant:** 549300WCPAZ0Y468K362

- **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:** BlackRock U.S. Mortgage Portfolio

- **b. EDGAR series identifier (if any):** S000062368

- **c. LEI of Series:** 7XZIIEG4IA6DDFOL6S68

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

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

- **b. Date as of which information is reported:** 2025-07-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $493048126.46

**Total Liabilities:** $74305650.02

**Net Assets:** $418742476.44

**Cash Not Reported:** $12596093.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 11897.00000000 | **1-Year:** 4664.87000000 | **5-Year:** 60223.13000000 | **10-Year:** 26547.89000000 | **30-Year:** 15259.19000000

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

- **3-Month:** 26459.01000000 | **1-Year:** 2064.04000000 | **5-Year:** 12043.76000000 | **10-Year:** 8754.74000000 | **30-Year:** 11803.27000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202319 | 0.06%                | 1.15%                | -0.09%               |
| Class ID C000202318 | 0.12%                | 1.10%                | 0.09%                |
| Class ID C000202320 | 0.03%                | 1.23%                | -0.00%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-205789.33              | $-708194.20                                |
| Month 2  | $-475483.84              | $3180968.58                                |
| Month 3  | $458630.37               | $-1841418.54                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Index

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                                                      | Title                                                                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WHARF Commercial Mortgage Trust                                           | WHARF Commercial Mortgage Trust, Series 2025-DC, Class A                                                                     | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429000 | PA      | $435820.54    | 0.10%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                                  | PRET LLC, Series 2024-NPL4, Class A1                                                                                         | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-MBS          | CORP              | US        |   1303917 | PA      | $1303510.57   | 0.31%             | 2054-07-25      | Variable      | 7.00%                 | 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      | $608894.39    | 0.15%             | 2042-07-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2023-XL3, Class A                                                                       | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1553023 | PA      | $1555935.03   | 0.37%             | 2040-12-09      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2022-78, Class D                                                            | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    745129 | PA      | $126270.03    | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M55C2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27841 | PA      | $26649.84     | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | 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      | $739903.85    | 0.18%             | 2037-06-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $144.28       | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | 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        |   1134511 | PA      | $896662.83    | 0.21%             | 2052-02-25      | Variable      | 5.20%                 | 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        |   1696261 | PA      | $808154.94    | 0.19%             | 2036-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100519 | PA      | $94285.23     | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72556 | PA      | $68616.27     | 0.02%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1166 | PA      | $1124.19      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2068 | PA      | $2155.38      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK9, Class XA                                                                                             | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3317959 | PA      | $49035.78     | 0.01%             | 2054-11-15      | Variable      | 0.75%                 | 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      | $468738.14    | 0.11%             | 2034-12-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42391 | PA      | $40839.70     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | 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        |    642139 | PA      | $645551.09    | 0.15%             | 2065-05-25      | Variable      | 0.00%                 | 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      | $1331456.12   | 0.32%             | 2067-02-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2022-4, Class B1                                                                          | CUSIP: 92538NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $891315.80    | 0.21%             | 2067-04-25      | Variable      | 4.76%                 | 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        |   1819170 | PA      | $1465822.39   | 0.35%             | 2051-12-26      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38087 | PA      | $33860.62     | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | 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      | $226996.25    | 0.05%             | 2035-04-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM3, Class A1                                                              | CUSIP: 64832CAC7<br>LEI: 2138002D8CMDYG7QOU84 | Long             | ABS-MBS          | CORP              | US        |    968711 | PA      | $971868.88    | 0.23%             | 2065-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413026 | PA      | $379453.01    | 0.09%             | 2048-01-01      | Fixed         | 3.50%                 | 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        |   6747788 | PA      | $284861.25    | 0.07%             | 2058-06-16      | Variable      | 0.88%                 | 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        |    185481 | PA      | $185129.24    | 0.04%             | 2059-12-15      | Floating      | 5.44%                 | 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      | $943110.54    | 0.23%             | 2049-10-25      | Variable      | 3.76%                 | 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        |    481960 | PA      | $482809.24    | 0.12%             | 2065-06-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes                                                                    | CUSIP: 3140J8TV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470792 | PA      | $463055.33    | 0.11%             | 2027-03-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-ARIA, Class A                                                                                          | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399875.56    | 0.10%             | 2036-10-15      | Floating      | 5.36%                 | 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        |    263241 | PA      | $240954.88    | 0.06%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-XL2, Class A                                                                       | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1024252 | PA      | $1024571.59   | 0.24%             | 2038-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LBAW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1035 | PA      | $1078.37      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | 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      | $432558.57    | 0.10%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $948493.75    | 0.23%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5942 | PA      | $6212.66      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-LC19, Class B                                                                         | CUSIP: 200474BF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    806000 | PA      | $793687.71    | 0.19%             | 2048-02-10      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-C32, Class B                                                              | CUSIP: 94989YBE2<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $495502.50    | 0.12%             | 2059-01-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| WaMu 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        |   1368950 | PA      | $1124664.53   | 0.27%             | 2047-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23693 | PA      | $23060.72     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQHT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25997 | PA      | $25432.99     | 0.01%             | 2029-02-01      | Fixed         | 3.00%                 | 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      | $385784.49    | 0.09%             | 2043-06-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51559 | PA      | $49753.77     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | 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      | $797500.00    | 0.19%             | 2041-06-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| CWABS Trust                                                               | CWABS Asset-Backed Certificates Trust, Series 2006-26, Class M1                                                              | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    889471 | PA      | $766650.04    | 0.18%             | 2037-06-25      | Floating      | 4.84%                 | 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      | $400354.60    | 0.10%             | 2039-12-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40501 | PA      | $39436.57     | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | 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        |   1363029 | PA      | $1364574.47   | 0.33%             | 2054-09-25      | Variable      | 6.33%                 | 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        |    554000 | PA      | $554690.95    | 0.13%             | 2040-03-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    500000 | PA      | $12562.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial Mortgage Trust                   | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class M1                                            | CUSIP: 52521VAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8498 | PA      | $8493.02      | 0.00%             | 2037-06-25      | Floating      | 4.87%                 | 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      | $829656.32    | 0.20%             | 2035-05-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                         | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                                                  | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    239522 | PA      | $239498.01    | 0.06%             | 2037-02-15      | Floating      | 5.84%                 | 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        |   1077701 | PA      | $544173.31    | 0.13%             | 2035-11-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56116 | PA      | $51717.11     | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73648 | PA      | $69775.66     | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70744 | PA      | $67023.77     | 0.02%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H060689<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1841000 | PA      | $1865665.68   | 0.45%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MCM Trust                                                                 | MCM Trust, Series 2021-VFN1                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    464862 | PA      | $327422.23    | 0.08%             | 2028-08-28      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8065 | PA      | $8220.01      | 0.00%             | 2040-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494821 | PA      | $433972.58    | 0.10%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17118 | PA      | $16070.49     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | 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        |    390925 | PA      | $151090.65    | 0.04%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-INV2, Class B1                                                                         | CUSIP: 12673UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    369344 | PA      | $369227.40    | 0.09%             | 2070-02-25      | Variable      | 7.11%                 | 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      | $324019.94    | 0.08%             | 2069-11-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-ARIA, Class G                                                                                          | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128000 | PA      | $127520.00    | 0.03%             | 2036-10-15      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50379 | PA      | $50609.87     | 0.01%             | 2041-12-20      | Fixed         | 5.50%                 | 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      | $33440.19     | 0.01%             | 2038-07-15      | Floating      | 10.46%                | 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        |    694607 | PA      | $695129.91    | 0.17%             | 2055-05-25      | Variable      | 8.16%                 | 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      | $1742529.05   | 0.42%             | 2040-07-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9446 | PA      | $8743.35      | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | 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        |    461577 | PA      | $441157.37    | 0.11%             | 2036-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2859000 | PA      | $2845039.53   | 0.68%             | 2025-09-11      | None          | 0.00%                 | 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        |    571382 | PA      | $91733.31     | 0.02%             | 2036-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11332 | PA      | $10740.74     | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60540 | PA      | $58027.38     | 0.01%             | 2031-07-01      | Fixed         | 2.50%                 | 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      | $328936.01    | 0.08%             | 2042-08-12      | Variable      | 5.52%                 | 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      | $920620.59    | 0.22%             | 2040-03-17      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| OPEN Trust                                                                | OPEN Trust, Series 2023-AIR, Class A                                                                                         | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99312 | PA      | $99374.25     | 0.02%             | 2040-11-15      | Floating      | 7.43%                 | 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      | $367490.92    | 0.09%             | 2052-06-15      | 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 K110, Class X1 | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4993250 | PA      | $308002.15    | 0.07%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14127 | PA      | $13589.67     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | 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      | $253696.67    | 0.06%             | 2070-02-25      | Variable      | 6.83%                 | 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        |   1380888 | PA      | $1385521.37   | 0.33%             | 2039-08-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36295QGH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29333 | PA      | $29930.31     | 0.01%             | 2038-07-15      | Fixed         | 5.50%                 | 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        |    150000 | PA      | $149940.60    | 0.04%             | 2030-04-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-48, Class FC                                          | CUSIP: 3136BSLD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    981730 | PA      | $984576.61    | 0.24%             | 2054-07-25      | Floating      | 5.45%                 | 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        |    320772 | PA      | $131369.67    | 0.03%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK8, Class A4                                                                                             | CUSIP: 06650AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $721980.83    | 0.17%             | 2050-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| CRSO Trust                                                                | CRSO Trust                                                                                                                   | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    427056 | PA      | $443993.77    | 0.11%             | 2028-07-10      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $973197.68    | 0.23%             | 2055-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -2 | NC      | $-7338.72     | -0.00%            |  |  |  | No            |                  1 | 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      | $431301.78    | 0.10%             | 2041-12-10      | Variable      | 5.97%                 | 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        |    364730 | PA      | $484726.33    | 0.12%             | 2051-11-25      | Fixed         | 0.00%                 | 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      | $497793.90    | 0.12%             | 2042-07-13      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94364 | PA      | $96211.82     | 0.02%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class F                                                                                          | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $342552.32    | 0.08%             | 2036-06-15      | Floating      | 8.39%                 | 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        |    496504 | PA      | $373056.98    | 0.09%             | 2051-08-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45722 | PA      | $43955.57     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class A3                                                                                             | CUSIP: 06541CBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $212801.62    | 0.05%             | 2064-05-15      | Fixed         | 2.02%                 | 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        |    671000 | PA      | $674774.38    | 0.16%             | 2040-06-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B2                                                                  | CUSIP: 10569NAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $494942.65    | 0.12%             | 2064-11-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       230 | NC      | $-54138.30    | -0.01%            |  |  |  | No            |                  1 | 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        |    175633 | PA      | $179145.19    | 0.04%             | 2056-10-16      | Floating      | 6.14%                 | 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        |    664445 | PA      | $627661.04    | 0.15%             | 2035-11-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M8N26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1598 | PA      | $1673.09      | 0.00%             | 2039-11-01      | Fixed         | 6.00%                 | 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        |    208248 | PA      | $211707.59    | 0.05%             | 2049-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4547 | PA      | $4313.06      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29907 | PA      | $28581.66     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | 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      | $1018165.10   | 0.24%             | 2064-10-25      | Variable      | 8.20%                 | 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        |   1289496 | PA      | $990796.51    | 0.24%             | 2036-03-27      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10762 | PA      | $10165.96     | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | 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        |   1053036 | PA      | $595551.39    | 0.14%             | 2037-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2014-5A, Class A1RR                                                        | CUSIP: 14311AAS1<br>LEI: 549300ODZUR61VZRRZ07 | Long             | ABS-CBDO         | CORP              | KY        |    236376 | PA      | $236612.10    | 0.06%             | 2031-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | HOMES Trust, Series 2025-AFC2, Class A1A                                                                                     | CUSIP: 43761YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735139 | PA      | $733852.95    | 0.18%             | 2060-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3680 | PA      | $3418.19      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | 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        |    190000 | PA      | $188316.85    | 0.04%             | 2029-07-15      | Floating      | 8.28%                 | 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        |    870957 | PA      | $177435.68    | 0.04%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2015-CR27, Class B                                                                               | CUSIP: 12635QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $975460.10    | 0.23%             | 2048-10-10      | Variable      | 4.33%                 | 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      | $500312.30    | 0.12%             | 2041-04-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59100 | PA      | $56847.30     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LSS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24219 | PA      | $24641.06     | 0.01%             | 2040-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H022689<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6080000 | PA      | $5111993.41   | 1.22%             | 2055-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9191000 | PA      | $9142340.55   | 2.18%             | 2055-08-25      | Fixed         | 5.50%                 | 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      | $634029.46    | 0.15%             | 2038-09-06      | Variable      | 2.85%                 | 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        |    795000 | PA      | $806852.02    | 0.19%             | 2041-07-05      | Variable      | 5.33%                 | 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        |    348000 | PA      | $349658.57    | 0.08%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143382 | PA      | $131365.40    | 0.03%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104619 | PA      | $102655.75    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    597098 | PA      | $572027.12    | 0.14%             | 2045-01-01      | Fixed         | 4.00%                 | 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        |    933476 | PA      | $156567.65    | 0.04%             | 2051-06-20      | Fixed         | 3.00%                 | 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        |    390000 | PA      | $397337.93    | 0.09%             | 2039-07-15      | Variable      | 5.57%                 | 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        |   3718769 | PA      | $368816.76    | 0.09%             | 2037-05-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       923 | PA      | $929.28       | 0.00%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18933 | PA      | $18464.03     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                                                  | BDS Ltd., Series 2021-FL9, Class A                                                                                           | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    104071 | PA      | $103821.44    | 0.02%             | 2038-11-16      | Floating      | 5.53%                 | 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      | $1918302.20   | 0.46%             | 2039-01-17      | Fixed         | 4.42%                 | 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        |    487147 | PA      | $350227.03    | 0.08%             | 2050-02-25      | Variable      | 3.54%                 | 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 A                                            | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $625058.50    | 0.15%             | 2038-09-06      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19206 | PA      | $18157.21     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2020-C7, Class A5                                                                               | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1723471.04   | 0.41%             | 2053-04-15      | Fixed         | 2.04%                 | 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        |     59813 | PA      | $59285.06     | 0.01%             | 2051-07-15      | Variable      | 4.06%                 | 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        |    185000 | PA      | $180999.71    | 0.04%             | 2036-01-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23751 | PA      | $21799.95     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | 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        |    573001 | PA      | $576613.34    | 0.14%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29912 | PA      | $29105.23     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | EFMT, Series 2025-NQM3, Class A1                                                                                             | CUSIP: 26846YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $749990.55    | 0.18%             | 2070-08-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E5K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13454 | PA      | $14169.40     | 0.00%             | 2039-05-20      | Fixed         | 6.50%                 | 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      | $96582.40     | 0.02%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101775 | PA      | $93835.08     | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 34 Ltd.                                | Neuberger Berman Loan Advisers CLO 34 Ltd., Series 2019-34A, Class A1R                                                       | CUSIP: 64132YAQ5<br>LEI: 5493009EGZQAPYYVLD80 | Long             | ABS-CBDO         | CORP              | KY        |   1915645 | PA      | $1915644.79   | 0.46%             | 2035-01-20      | Floating      | 5.57%                 | 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      | $1500.00      | 0.00%             | 2035-10-15      | Floating      | 8.16%                 | 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        |     98084 | PA      | $80222.87     | 0.02%             | 2035-09-25      | Floating      | 4.87%                 | 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        |    954807 | PA      | $954806.95    | 0.23%             | 2026-08-15      | Floating      | 5.83%                 | 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        |    911508 | PA      | $890541.28    | 0.21%             | 2064-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H5, Class A1                                                                               | CUSIP: 227920AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    747767 | PA      | $747774.88    | 0.18%             | 2070-07-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23112 | PA      | $22742.49     | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2025-5C36, Class A3                                                                             | CUSIP: 05556CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3629000 | PA      | $3745151.59   | 0.89%             | 2058-08-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W9RS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97438 | PA      | $95506.03     | 0.02%             | 2028-09-01      | Fixed         | 3.00%                 | 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      | $211936.32    | 0.05%             | 2036-07-15      | Fixed         | 7.46%                 | 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      | $115757.00    | 0.03%             | 2039-06-12      | Fixed         | 8.72%                 | 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        |  19982269 | PA      | $429372.99    | 0.10%             | 2056-07-15      | Variable      | 0.81%                 | 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      | $320300.00    | 0.08%             | 2034-08-15      | Floating      | 6.22%                 | 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      | $385052.50    | 0.09%             | 2034-05-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XEFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8480 | PA      | $8330.69      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | 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      | $128760.30    | 0.03%             | 2040-08-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23713 | PA      | $23088.02     | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32051 | PA      | $31186.89     | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6342 | PA      | $6164.04      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | 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      | $331682.60    | 0.08%             | 2048-11-16      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25576 | PA      | $24860.16     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | 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      | $444660.48    | 0.11%             | 2029-11-10      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-32, Class PI                                                              | CUSIP: 3136B9RB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4440399 | PA      | $964562.14    | 0.23%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       679 | PA      | $648.21       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58914 | PA      | $55725.66     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | 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      | $298501.72    | 0.07%             | 2042-05-05      | Variable      | 6.31%                 | 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        |    947484 | PA      | $940869.37    | 0.22%             | 2054-10-25      | Floating      | 5.50%                 | 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        |     89878 | PA      | $63291.86     | 0.02%             | 2036-08-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44020 | PA      | $39323.32     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180200 | PA      | $177322.25    | 0.04%             | 2041-06-20      | Fixed         | 4.50%                 | 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        |    765989 | PA      | $683755.44    | 0.16%             | 2069-12-16      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2025-SPRL, Class A                                                                       | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $666341.91    | 0.16%             | 2040-01-13      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| NCMF Trust                                                                | NCMF Trust                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    206000 | PA      | $208407.81    | 0.05%             | 2033-06-10      | Floating      | 8.44%                 | 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        |    241060 | PA      | $236554.83    | 0.06%             | 2030-03-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       262 | NC      | $-52926.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GSAA Trust                                                                | GSAA Trust, Series 2007-3, Class 1A1A                                                                                        | CUSIP: 3622EAAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1907787 | PA      | $997063.88    | 0.24%             | 2047-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV4, Class A                                                                      | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1249771.68   | 0.30%             | 2044-03-09      | Fixed         | 2.84%                 | 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      | $492838.42    | 0.12%             | 2042-04-15      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16029 | PA      | $15646.44     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class C                                                                                           | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    438000 | PA      | $432384.61    | 0.10%             | 2041-03-15      | Floating      | 8.78%                 | 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      | $453552.55    | 0.11%             | 2036-06-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21223 | PA      | $20868.88     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | 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        |    727475 | PA      | $660137.75    | 0.16%             | 2036-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                          | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A1                                                | CUSIP: 93934TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2833306 | PA      | $868559.46    | 0.21%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-5, Class A1                                                                          | CUSIP: 92540XAA9<br>LEI: 213800Z7TIVJRAYLRV98 | Long             | ABS-MBS          | CORP              | US        |    886498 | PA      | $886724.63    | 0.21%             | 2070-06-25      | Variable      | 5.43%                 | 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        |   1624127 | PA      | $1235515.34   | 0.30%             | 2053-09-20      | None          | 0.00%                 | 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      | $144989.60    | 0.03%             | 2042-11-10      | Variable      | 0.80%                 | 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      | $1398838.00   | 0.33%             | 2038-03-25      | Floating      | 5.40%                 | 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      | $306293.85    | 0.07%             | 2062-04-20      | Fixed         | 4.44%                 | 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        |   1480682 | PA      | $1479183.17   | 0.35%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1085 | PA      | $1067.84      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43619 | PA      | $38947.37     | 0.01%             | 2043-04-01      | 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        |  25831756 | PA      | $4005084.57   | 0.96%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4330 | PA      | $4205.80      | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-NQM2, Class A1                                                               | CUSIP: 281917AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    733572 | PA      | $733804.20    | 0.18%             | 2070-06-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                                                   | CUSIP: 617945AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    745973 | PA      | $746641.71    | 0.18%             | 2070-06-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434042 | PA      | $438211.17    | 0.10%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -22 | NC      | $-76397.64    | -0.02%            |  |  |  | No            |                  1 | 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        |    283098 | PA      | $279818.05    | 0.07%             | 2053-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18806 | PA      | $18567.25     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15777 | PA      | $15361.54     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class A1A                                                                   | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    278026 | PA      | $281728.22    | 0.07%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class C                                                                      | CUSIP: 05610MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $262762.50    | 0.06%             | 2027-06-15      | Floating      | 8.23%                 | 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        |    580000 | PA      | $575390.80    | 0.14%             | 2041-11-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13550 | PA      | $13192.58     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | 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      | $217121.34    | 0.05%             | 2035-07-15      | Variable      | 5.31%                 | 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        |    299121 | PA      | $297404.99    | 0.07%             | 2057-03-15      | Floating      | 5.44%                 | 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      | $502000.05    | 0.12%             | 2068-05-25      | Variable      | 8.07%                 | 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        |    568182 | PA      | $520212.80    | 0.12%             | 2052-06-25      | Fixed         | 2.72%                 | 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      | $210109.79    | 0.05%             | 2041-11-15      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9283 | PA      | $9134.51      | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | 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        |    160603 | PA      | $153707.34    | 0.04%             | 2065-01-25      | Variable      | 0.86%                 | 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      | $288527.40    | 0.07%             | 2036-10-14      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556142 | PA      | $559089.13    | 0.13%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46458 | PA      | $43864.21     | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | 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        |     17594 | PA      | $17434.99     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | 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      | $149761.04    | 0.04%             | 2041-06-15      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2025-SPRL, Class D                                                                       | CUSIP: 44855PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $438125.74    | 0.10%             | 2040-01-13      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1956 | PA      | $2045.22      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | 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        |    400000 | PA      | $401426.60    | 0.10%             | 2041-10-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP, Class A                                                                                        | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    503305 | PA      | $503304.90    | 0.12%             | 2038-11-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGU51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15101 | PA      | $15976.49     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | 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      | $229297.50    | 0.05%             | 2034-09-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296QBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10467 | PA      | $10956.11     | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | 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        |    211426 | PA      | $211960.19    | 0.05%             | 2055-05-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255819 | PA      | $238862.56    | 0.06%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20669 | PA      | $19309.69     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18593 | PA      | $17969.46     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                                                                      | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    683000 | PA      | $635279.40    | 0.15%             | 2044-03-09      | Variable      | 3.54%                 | 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        |    484294 | PA      | $486303.48    | 0.12%             | 2055-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT                | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-11, Class A7                                         | CUSIP: 93934FJB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1027265 | PA      | $863187.31    | 0.21%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AREIT LLC                                                                 | AREIT LLC, Series 2023-CRE8, Class A                                                                                         | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    514672 | PA      | $515284.13    | 0.12%             | 2041-08-17      | Floating      | 6.45%                 | 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        |    459247 | PA      | $458723.61    | 0.11%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-INV1, Class M1                                                                       | CUSIP: 92539FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1203188.40   | 0.29%             | 2068-02-25      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77211 | PA      | $75977.98     | 0.02%             | 2040-08-20      | Fixed         | 4.50%                 | 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      | $992965.20    | 0.24%             | 2039-04-17      | Fixed         | 6.60%                 | 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        |   3479631 | PA      | $70062.71     | 0.02%             | 2050-11-15      | Variable      | 1.15%                 | 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      | $363528.50    | 0.09%             | 2040-04-13      | Variable      | 10.30%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5443, Class FA                                                  | CUSIP: 3137HDXH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    975392 | PA      | $977833.04    | 0.23%             | 2054-08-25      | Floating      | 5.55%                 | 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        |    812000 | PA      | $817028.23    | 0.20%             | 2049-06-20      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156358 | PA      | $154114.69    | 0.04%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XII                                                            | Apidos CLO XII, Series 2013-12A, Class BRR                                                                                   | CUSIP: 03764DAP6<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1200585.24   | 0.29%             | 2031-04-15      | Floating      | 5.77%                 | 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      | $946123.44    | 0.23%             | 2032-05-25      | Floating      | 6.19%                 | 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      | $485452.34    | 0.12%             | 2030-02-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                                                       | Affirm Master Trust, Series 2025-1A, Class A                                                                                 | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    335000 | PA      | $336388.58    | 0.08%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157232 | PA      | $146537.76    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | 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      | $1093746.88   | 0.26%             | 2041-07-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67873 | PA      | $69257.19     | 0.02%             | 2039-01-01      | Fixed         | 5.50%                 | 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      | $306715.65    | 0.07%             | 2039-03-15      | Fixed         | 2.79%                 | 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      | $343587.72    | 0.08%             | 2035-04-10      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6392 | PA      | $6191.24      | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | 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      | $570148.02    | 0.14%             | 2032-04-20      | Fixed         | 2.00%                 | 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        |   1943663 | PA      | $1523403.96   | 0.36%             | 2037-02-25      | Floating      | 4.97%                 | 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        |    772000 | PA      | $769587.50    | 0.18%             | 2036-10-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XL Ltd.                                              | Madison Park Funding XL Ltd., Series 9A, Class AR2                                                                           | CUSIP: 55821CAA2<br>LEI: 549300UTF8S11AHH4P70 | Long             | ABS-CBDO         | CORP              | KY        |    442707 | PA      | $443041.03    | 0.11%             | 2030-05-28      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36230UEK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85584 | PA      | $80804.93     | 0.02%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                                       | PFS Financing Corp., Series 2024-A, Class B                                                                                  | CUSIP: 69335PFD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $320513.41    | 0.08%             | 2028-01-15      | Floating      | 5.64%                 | 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      | $252042.34    | 0.06%             | 2039-02-15      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103627 | PA      | $96095.43     | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2279 | PA      | $2193.05      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | 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      | $965477.65    | 0.23%             | 2067-05-25      | Variable      | 4.41%                 | 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        |    803226 | PA      | $1085746.74   | 0.26%             | 2047-09-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2023-DELC, Class B                                                                                          | CUSIP: 05610DAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    440000 | PA      | $443300.00    | 0.11%             | 2038-05-15      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10875 | PA      | $10422.78     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | 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        |    519682 | PA      | $498846.81    | 0.12%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XMJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12241 | PA      | $12026.51     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | 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      | $110930.68    | 0.03%             | 2034-04-17      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418RPY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14422 | PA      | $14239.12     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180D2Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55953 | PA      | $53783.57     | 0.01%             | 2043-08-20      | Fixed         | 4.50%                 | 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        |    505166 | PA      | $492800.01    | 0.12%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J93N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226126 | PA      | $219268.62    | 0.05%             | 2032-09-01      | Fixed         | 3.00%                 | 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      | $264995.74    | 0.06%             | 2028-04-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410TVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6117 | PA      | $6352.46      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38870 | PA      | $33900.35     | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | 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      | $1141217.85   | 0.27%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51295 | PA      | $52271.74     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50244 | PA      | $44862.21     | 0.01%             | 2043-04-01      | Fixed         | 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      | $223786.99    | 0.05%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47917 | PA      | $46880.76     | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | 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      | $141999.42    | 0.03%             | 2035-06-15      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                                | ROCK Trust, Series 2024-CNTR, Class E                                                                                        | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $131487.54    | 0.03%             | 2041-11-13      | Fixed         | 8.82%                 | 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        |    703088 | PA      | $658973.03    | 0.16%             | 2035-03-25      | Floating      | 4.82%                 | 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        |   1092727 | PA      | $1093985.60   | 0.26%             | 2031-04-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42098 | PA      | $39882.87     | 0.01%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10101 | PA      | $9628.85      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3283 | PA      | $3242.61      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16682 | PA      | $16147.40     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | 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        |    933431 | PA      | $781583.39    | 0.19%             | 2049-10-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| KSL Trust 2025-MAK                                                        | KSL Trust                                                                                                                    | CUSIP: 50116JAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184000 | PA      | $183993.66    | 0.04%             | 2030-06-15      | Floating      | 8.43%                 | 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      | $288480.29    | 0.07%             | 2053-03-15      | Variable      | 0.50%                 | 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      | $79404.38     | 0.02%             | 2041-08-15      | Floating      | 8.23%                 | 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        |   2257157 | PA      | $2208574.09   | 0.53%             | 2055-06-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33343 | PA      | $34201.75     | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296DQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12086 | PA      | $12671.96     | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | 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      | $149241.05    | 0.04%             | 2062-04-20      | Fixed         | 3.75%                 | 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      | $380475.00    | 0.09%             | 2039-06-15      | Floating      | 6.23%                 | 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        |     90370 | PA      | $90499.60     | 0.02%             | 2045-09-15      | Fixed         | 5.05%                 | 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        |     32657 | PA      | $28579.60     | 0.01%             | 2040-09-20      | Fixed         | 2.88%                 | 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      | $682703.63    | 0.16%             | 2058-06-25      | Variable      | 4.50%                 | 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      | $147993.23    | 0.04%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151404 | PA      | $153999.17    | 0.04%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18880 | PA      | $17852.41     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2150000 | PA      | $-102286.20   | -0.02%            |  |  |  | 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        |   1144319 | PA      | $1102864.44   | 0.26%             | 2036-08-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                                     | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class B                                                               | CUSIP: 682685AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    408000 | PA      | $416389.95    | 0.10%             | 2031-02-14      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3565 | PA      | $3313.78      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | 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      | $100511.35    | 0.02%             | 2034-02-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class A                                                          | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $891555.81    | 0.21%             | 2039-12-15      | Floating      | 5.79%                 | 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      | $214833.59    | 0.05%             | 2032-08-20      | Fixed         | 7.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45108 | PA      | $42141.62     | 0.01%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class E                                                                                           | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $743841.30    | 0.18%             | 2038-09-15      | Floating      | 8.06%                 | 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      | $902088.18    | 0.22%             | 2036-09-15      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2025-6, Class A1                                                                          | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $749317.88    | 0.18%             | 2070-07-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75114 | PA      | $73914.30     | 0.02%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213CWH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40264 | PA      | $40070.03     | 0.01%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5591 | PA      | $5480.19      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100417 | PA      | $89944.48     | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MCM Trust                                                                 | MCM Trust, Series 2018-NPL2                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    448756 | PA      | $431014.58    | 0.10%             | 2028-08-25      | Fixed         | 3.00%                 | No            |                  3 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-AR8, Class 2A                                  | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97394 | PA      | $83663.03     | 0.02%             | 2046-10-25      | Floating      | 4.82%                 | 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        |    349074 | PA      | $346672.83    | 0.08%             | 2061-06-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13185 | PA      | $12227.58     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | 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      | $680133.22    | 0.16%             | 2055-12-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37426 | PA      | $36017.95     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | 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        |   3577452 | PA      | $729960.11    | 0.17%             | 2051-06-25      | Fixed         | 4.00%                 | 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        |    881128 | PA      | $863895.91    | 0.21%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class F                                                                        | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693902 | PA      | $693901.73    | 0.17%             | 2038-07-15      | Floating      | 8.16%                 | 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        |    219000 | PA      | $219061.39    | 0.05%             | 2050-07-25      | Fixed         | 5.29%                 | 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        |   2361436 | PA      | $1278181.29   | 0.31%             | 2050-05-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-CR25, Class C                                                                         | CUSIP: 12593PBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $248999.42    | 0.06%             | 2048-08-10      | Variable      | 4.49%                 | 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        |    750000 | PA      | $749989.95    | 0.18%             | 2070-06-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255235 | PA      | $241813.55    | 0.06%             | 2040-11-20      | Fixed         | 4.00%                 | 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        |    370844 | PA      | $352668.84    | 0.08%             | 2068-11-15      | Fixed         | 2.15%                 | 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      | $181770.35    | 0.04%             | 2039-05-10      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38289 | PA      | $41012.19     | 0.01%             | 2041-02-20      | Fixed         | 6.50%                 | 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      | $504976.25    | 0.12%             | 2069-02-25      | Variable      | 8.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36361 | PA      | $34937.73     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B5, Class A4                                                                           | CUSIP: 08160BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $541098.86    | 0.13%             | 2051-07-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10034 | PA      | $9618.90      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3486 | PA      | $3644.86      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-ATH2, Class A1                                                                                       | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842210 | PA      | $838922.22    | 0.20%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11181 | PA      | $10866.91     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | 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        |    473557 | PA      | $475652.43    | 0.11%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class B                                                                                           | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315000 | PA      | $314999.59    | 0.08%             | 2041-03-15      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1911 | PA      | $1813.30      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | 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        |    705271 | PA      | $685639.90    | 0.16%             | 2036-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215160 | PA      | $216913.78    | 0.05%             | 2041-11-01      | Fixed         | 5.00%                 | 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      | $116923.72    | 0.03%             | 2037-02-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| ARES1                                                                     | ARES1, Series 2024-IND2, Class A                                                                                             | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $741618.75    | 0.18%             | 2034-10-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2021-A, Class C                                                                      | CUSIP: 76042UAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $439080.30    | 0.10%             | 2031-12-22      | Fixed         | 3.53%                 | 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      | $251008.58    | 0.06%             | 2033-12-15      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6325 | PA      | $6162.05      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 35 Ltd.                                       | Octagon Investment Partners 35 Ltd., Series 2018-1A, Class A1A                                                               | CUSIP: 67591TAA8<br>LEI: 549300EBYXJ9QVMC7X31 | Long             | ABS-CBDO         | CORP              | KY        |    133422 | PA      | $133433.40    | 0.03%             | 2031-01-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XHA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2930338 | PA      | $2739074.56   | 0.65%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class D                                                                                          | CUSIP: 05606GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $275302.36    | 0.07%             | 2036-06-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9943 | PA      | $9233.27      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class E                                             | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279000 | PA      | $279261.56    | 0.07%             | 2038-04-15      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19656 | PA      | $19245.86     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | 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        |    208000 | PA      | $207002.02    | 0.05%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23201 | PA      | $24258.11     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -190 | NC      | $-181798.54   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       121 | PA      | $115.76       | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | 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        |  17584345 | PA      | $2595651.54   | 0.62%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28460 | PA      | $27564.19     | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2025-INV1, Class B1                                                               | CUSIP: 26846XAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    264592 | PA      | $264988.33    | 0.06%             | 2070-03-25      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    875948 | PA      | $-116371.91   | -0.03%            |  |  |  | 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      | $355662.50    | 0.08%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60181 | PA      | $56539.13     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | 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      | $300390.60    | 0.07%             | 2039-06-10      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34864 | PA      | $32740.75     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2LQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23742 | PA      | $23283.35     | 0.01%             | 2042-12-20      | Fixed         | 4.50%                 | 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        |    280000 | PA      | $273087.78    | 0.07%             | 2059-12-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19470000 | PA      | $20081597.09  | 4.80%             | 2055-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50236 | PA      | $51665.45     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | 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        |      1152 | PA      | $1148.77      | 0.00%             | 2029-12-15      | Floating      | 4.80%                 | 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        |   1526381 | PA      | $859309.11    | 0.21%             | 2036-07-25      | Fixed         | 6.00%                 | 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        |   4744673 | PA      | $166038.89    | 0.04%             | 2060-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WaMu 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        |   1131757 | PA      | $508256.73    | 0.12%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN35, Class A5                                                                                             | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $631360.21    | 0.15%             | 2064-06-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28295 | PA      | $27311.08     | 0.01%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJ4P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92516 | PA      | $93170.13     | 0.02%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1380 | PA      | $1307.64      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WMRK Commercial Mortgage Trust                                            | WMRK Commercial Mortgage Trust, Series 2022-WMRK, Class A                                                                    | CUSIP: 929342AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $661650.00    | 0.16%             | 2027-11-15      | Floating      | 7.13%                 | 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      | $125388.43    | 0.03%             | 2041-10-15      | Floating      | 8.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YJGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6702 | PA      | $6621.51      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3286 | PA      | $3146.11      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                                 | IRV Trust, Series 2025-200P, Class A                                                                                         | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1195942.27   | 0.29%             | 2047-03-14      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5547 | PA      | $5151.17      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | 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      | $1003000.00   | 0.24%             | 2037-10-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-LP2, Class A                                                                       | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948207 | PA      | $949188.72    | 0.23%             | 2039-02-15      | Floating      | 5.35%                 | 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        |   1417978 | PA      | $574575.07    | 0.14%             | 2035-08-25      | Variable      | 4.27%                 | 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      | $1120943.96   | 0.27%             | 2042-10-18      | Floating      | 5.99%                 | 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      | $170874.51    | 0.04%             | 2033-12-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188254 | PA      | $192125.12    | 0.05%             | 2039-07-01      | Fixed         | 6.00%                 | 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      | $393144.25    | 0.09%             | 2070-01-25      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bills                                                                                                          | CUSIP: 912797PQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   7035000 | PA      | $7012378.04   | 1.67%             | 2025-08-28      | None          | 0.00%                 | 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        |    518314 | PA      | $438615.22    | 0.10%             | 2047-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121473 | PA      | $114661.90    | 0.03%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20764 | PA      | $19447.41     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32245 | PA      | $31016.07     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2027643.66   | 0.48%             | 2055-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2023-56, Class FA                                          | CUSIP: 3136BQMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247092 | PA      | $248146.07    | 0.06%             | 2053-11-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57864 | PA      | $56391.13     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18842 | PA      | $17497.46     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | 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        |    707144 | PA      | $708601.52    | 0.17%             | 2041-03-15      | Floating      | 5.73%                 | 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      | $2634024.54   | 0.63%             | 2039-02-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33617 | PA      | $31903.09     | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EGUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15753 | PA      | $16515.30     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10732 | PA      | $9954.80      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31629 | PA      | $29359.80     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | 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      | $1915269.00   | 0.46%             | 2059-11-25      | Variable      | 3.84%                 | 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      | $1002051.81   | 0.24%             | 2055-02-25      | Variable      | 7.33%                 | 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        |  15553261 | PA      | $2547902.49   | 0.61%             | 2051-02-20      | Fixed         | 3.00%                 | 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        |    266803 | PA      | $263549.20    | 0.06%             | 2035-11-15      | Fixed         | 3.63%                 | 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        |    124694 | PA      | $125889.80    | 0.03%             | 2052-11-15      | Floating      | 5.89%                 | 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        |    886010 | PA      | $389443.11    | 0.09%             | 2037-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2025-167G, Class E                                                                               | CUSIP: 12674VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $124499.56    | 0.03%             | 2040-08-10      | Variable      | 8.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11910 | PA      | $11432.61     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       709 | PA      | $706.30       | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | 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        |   1454339 | PA      | $1396478.63   | 0.33%             | 2059-02-25      | Variable      | 3.38%                 | 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        |    750000 | PA      | $749999.48    | 0.18%             | 2070-07-25      | Variable      | 5.44%                 | 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        |    344222 | PA      | $344018.93    | 0.08%             | 2037-01-20      | Floating      | 5.60%                 | 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      | $290194.28    | 0.07%             | 2039-01-05      | Variable      | 3.45%                 | 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      | $349695.08    | 0.08%             | 2047-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49597 | PA      | $47834.50     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GMJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69880 | PA      | $66969.94     | 0.02%             | 2042-02-01      | Fixed         | 4.00%                 | 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      | $590550.29    | 0.14%             | 2042-10-19      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                                                 | MFT Trust, Series 2020-ABC, Class C                                                                                          | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192000 | PA      | $122301.00    | 0.03%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-WCL1, Class E                                                                         | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $114065.84    | 0.03%             | 2041-06-15      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20157 | PA      | $19473.05     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41208 | PA      | $40339.36     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6231 | PA      | $6019.84      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | 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        |    744442 | PA      | $716059.63    | 0.17%             | 2065-07-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |   2131183 | PA      | $-154197.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-51, Class TF                                       | CUSIP: 38384KUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1230329 | PA      | $1228757.96   | 0.29%             | 2054-03-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXIV Ltd.                                                    | Symphony CLO XXIV Ltd., Series 2020-24A, Class AR                                                                            | CUSIP: 87167QAL2<br>LEI: 5493007X3UVVYJ005O73 | Long             | ABS-CBDO         | CORP              | KY        |    689980 | PA      | $690171.23    | 0.16%             | 2032-01-23      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412L5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       504 | PA      | $533.41       | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34232 | PA      | $33541.82     | 0.01%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617B9SG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19217 | PA      | $17911.31     | 0.00%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                       | COMM Mortgage Trust, Series 2025-167G, Class A                                                                               | CUSIP: 12674VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    601000 | PA      | $598501.52    | 0.14%             | 2040-08-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2CX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33878 | PA      | $35055.12     | 0.01%             | 2040-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83840 | PA      | $84984.70     | 0.02%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3218 | PA      | $3022.46      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XSMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20088 | PA      | $19616.58     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30900 | PA      | $29547.60     | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3                                                                    | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $589416.96    | 0.14%             | 2054-12-10      | Fixed         | 3.84%                 | 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        |    210000 | PA      | $209444.80    | 0.05%             | 2034-11-15      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| Houston Galleria Mall Trust                                               | Houston Galleria Mall Trust, Series 2025-HGLR, Class A                                                                       | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1136446.98   | 0.27%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2063 | PA      | $1985.12      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37254 | PA      | $36542.59     | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8592 | PA      | $8467.27      | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | 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      | $232917.01    | 0.06%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123836 | PA      | $118529.46    | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | 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        |    348000 | PA      | $348656.50    | 0.08%             | 2041-11-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7557 | PA      | $7006.86      | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118010 | PA      | $110940.53    | 0.03%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   3007131 | PA      | $243552.30    | 0.06%             |  |  |  | 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        |    750000 | PA      | $749396.03    | 0.18%             | 2070-08-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XCUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1287180 | PA      | $1190889.26   | 0.28%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M86W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24268 | PA      | $22625.14     | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | 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        |   3044739 | PA      | $144455.82    | 0.03%             | 2052-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12432 | PA      | $12147.92     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YNUR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18261 | PA      | $16161.13     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | 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      | $1010441.29   | 0.24%             | 2069-10-25      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11042 | PA      | $10576.42     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | 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      | $7557.82      | 0.00%             | 2034-11-25      | Floating      | 5.37%                 | 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        |   1305137 | PA      | $956935.54    | 0.23%             | 2037-03-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO Ltd.                                                      | 522 Funding CLO Ltd., Series 2018-3A, Class AR                                                                               | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    532036 | PA      | $532057.72    | 0.13%             | 2031-10-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2895 | PA      | $2742.81      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71232 | PA      | $64654.51     | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2023-46, Class FA                                          | CUSIP: 3136BQLF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1441739 | PA      | $1448607.26   | 0.35%             | 2053-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2019-OC11, Class A                                                                                          | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    826000 | PA      | $769711.65    | 0.18%             | 2041-12-09      | Fixed         | 3.20%                 | 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      | $791669.66    | 0.19%             | 2065-01-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BYFD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44228 | PA      | $41287.15     | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | 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      | $499376.20    | 0.12%             | 2037-05-15      | Floating      | 7.53%                 | 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      | $1054168.24   | 0.25%             | 2033-10-13      | Variable      | 4.87%                 | 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      | $369768.75    | 0.09%             | 2039-05-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9274 | PA      | $8930.67      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | 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        |    113634 | PA      | $109720.61    | 0.03%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39233 | PA      | $37778.07     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | 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        |   1127303 | PA      | $403356.68    | 0.10%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-VOLT, Class A                                                                      | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    857413 | PA      | $855805.24    | 0.20%             | 2036-09-15      | Floating      | 5.16%                 | 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        |    786192 | PA      | $788649.11    | 0.19%             | 2041-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10257 | PA      | $9769.80      | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXUE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1355 | PA      | $1418.87      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | 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      | $64851.13     | 0.02%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20704 | PA      | $19582.70     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                            | BSTN Commercial Mortgage Trust, Series 2025-1C, Class A                                                                      | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $369916.40    | 0.09%             | 2044-06-15      | Variable      | 5.37%                 | 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        |     93154 | PA      | $26028.75     | 0.01%             | 2036-03-25      | Floating      | 4.83%                 | 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        |    396495 | PA      | $397040.55    | 0.09%             | 2059-10-27      | Fixed         | 5.25%                 | 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        |     60403 | PA      | $56862.84     | 0.01%             | 2035-10-25      | Variable      | 4.84%                 | 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        |    421000 | PA      | $400020.43    | 0.10%             | 2037-03-15      | Floating      | 5.26%                 | 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      | $372246.35    | 0.09%             | 2029-11-10      | Variable      | 9.21%                 | 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        |   1847108 | PA      | $771011.80    | 0.18%             | 2037-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23458 | PA      | $20923.29     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class E                                                                        | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    343091 | PA      | $344484.89    | 0.08%             | 2038-07-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620ARCE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28272 | PA      | $27326.21     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | 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        |    210000 | PA      | $207975.39    | 0.05%             | 2050-04-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AHS64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31511 | PA      | $31010.33     | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2017-BNK8, Class ASB                                                                                            | CUSIP: 06650AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76240 | PA      | $75266.10     | 0.02%             | 2050-11-15      | Fixed         | 3.31%                 | 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        |      3536 | PA      | $2440.75      | 0.00%             | 2060-09-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A                                                               | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435000 | PA      | $446361.03    | 0.11%             | 2040-10-12      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| VEGAS                                                                     | VEGAS, Series 2024-GCS, Class D                                                                                              | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $328639.61    | 0.08%             | 2036-07-10      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14059 | PA      | $13556.06     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | 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      | $627560.34    | 0.15%             | 2042-06-05      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AJV                                                                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705000 | PA      | $704564.17    | 0.17%             | 2036-02-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143887 | PA      | $144703.04    | 0.03%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK5 Trust                                                               | BANK5 Trust, Series 2024-5YR6, Class A3                                                                                      | CUSIP: 066043AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $492364.20    | 0.12%             | 2057-05-15      | Fixed         | 6.22%                 | 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        |   1206614 | PA      | $1203494.52   | 0.29%             | 2051-11-25      | Variable      | 5.00%                 | 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      | $591475.00    | 0.14%             | 2034-03-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11446 | PA      | $10758.49     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | 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      | $165244.78    | 0.04%             | 2034-09-20      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                             | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3                                                | CUSIP: 92926SAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1274939 | PA      | $459166.31    | 0.11%             | 2037-04-25      | Floating      | 4.72%                 | 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        |     81546 | PA      | $81596.70     | 0.02%             | 2037-04-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416BRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11889 | PA      | $12431.08     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | 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      | $124245.71    | 0.03%             | 2035-03-15      | Floating      | 7.29%                 | 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        |    308003 | PA      | $307138.30    | 0.07%             | 2068-11-15      | Floating      | 5.36%                 | 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        |    223997 | PA      | $211015.84    | 0.05%             | 2034-08-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                                           | NYMT Loan Trust, Series 2025-CP1, Class A1                                                                                   | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $713882.78    | 0.17%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5444, Class FC                                                  | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1705686 | PA      | $1706341.62   | 0.41%             | 2054-08-25      | Floating      | 5.47%                 | 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        |    433563 | PA      | $415874.18    | 0.10%             | 2036-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class 5A1                                         | CUSIP: 93934FFB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    921778 | PA      | $741998.49    | 0.18%             | 2035-11-25      | Fixed         | 5.50%                 | 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        |   1000000 | PA      | $1009559.80   | 0.24%             | 2030-03-25      | Variable      | 6.79%                 | 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        |    720825 | PA      | $496234.66    | 0.12%             | 2037-07-25      | Fixed         | 6.00%                 | 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        |   1170565 | PA      | $121872.44    | 0.03%             | 2037-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22869 | PA      | $22020.32     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | 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      | $102610.64    | 0.02%             | 2036-09-15      | Fixed         | 6.74%                 | 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      | $980742.80    | 0.23%             | 2059-09-25      | Variable      | 5.66%                 | 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      | $191011.45    | 0.05%             | 2039-06-15      | Floating      | 7.53%                 | 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        |    361921 | PA      | $297332.28    | 0.07%             | 2036-05-25      | Floating      | 4.87%                 | 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        |   1241439 | PA      | $1225421.43   | 0.29%             | 2060-04-26      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2022-7, Class M1                                                                          | CUSIP: 92539NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    640000 | PA      | $620460.54    | 0.15%             | 2067-07-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJDD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       222 | PA      | $222.28       | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2024-HB13, Class M2                                                                                         | CUSIP: 12530VAC9<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $710074.35    | 0.17%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20769 | PA      | $21715.85     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | 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      | $229986.68    | 0.05%             | 2037-02-15      | Floating      | 9.00%                 | 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        |    410136 | PA      | $406327.09    | 0.10%             | 2034-09-25      | Floating      | 5.40%                 | 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      | $209653.86    | 0.05%             | 2041-05-14      | Fixed         | 6.03%                 | 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      | $878521.51    | 0.21%             | 2062-04-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3411 | PA      | $3275.86      | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                                  | PRET LLC, Series 2024-NPL5, Class A1                                                                                         | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-O            | CORP              | US        |    926513 | PA      | $925990.97    | 0.22%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| BANK                                                                      | BANK, Series 2021-BN33, Class A5                                                                                             | CUSIP: 06541CBL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120000 | PA      | $106081.13    | 0.03%             | 2064-05-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12020 | PA      | $11543.25     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | 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        |    328976 | PA      | $325004.39    | 0.08%             | 2036-02-15      | Fixed         | 3.50%                 | 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 A                                            | CUSIP: 46593KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $411798.01    | 0.10%             | 2039-11-09      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128E45R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       228 | PA      | $231.64       | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29919 | PA      | $26624.98     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                               | Extended Stay America Trust, Series 2021-ESH, Class A                                                                        | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    674174 | PA      | $674594.55    | 0.16%             | 2038-07-15      | Floating      | 5.54%                 | 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      | $277900.00    | 0.07%             | 2035-04-15      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHPD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41888 | PA      | $41286.44     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57817 | PA      | $56153.32     | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296DLL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1707 | PA      | $1806.44      | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       539 | PA      | $530.30       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1263 | PA      | $1173.83      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8321 | PA      | $8188.30      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37021 | PA      | $35628.09     | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TTAN                                                                      | TTAN MHC, Series 2021-MHC, Class F                                                                                           | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213698 | PA      | $214099.09    | 0.05%             | 2038-03-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61001 | PA      | $60302.77     | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RH28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11431 | PA      | $11707.10     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 4941, Class SH                                                  | CUSIP: 3137FQUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    374555 | PA      | $39438.47     | 0.01%             | 2049-12-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10458 | PA      | $9924.19      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                                   | Regatta VI Funding Ltd., Series 2016-1A, Class AR2                                                                           | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   2050000 | PA      | $2053323.05   | 0.49%             | 2034-04-20      | Floating      | 5.75%                 | 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        |    250000 | PA      | $250024.55    | 0.06%             | 2036-08-15      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class E                                                                | CUSIP: 36270GAJ0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $701308.37    | 0.17%             | 2038-09-10      | Variable      | 7.43%                 | 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        |   1800098 | PA      | $1624038.89   | 0.39%             | 2041-01-17      | Fixed         | 4.24%                 | 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        |    311770 | PA      | $312549.64    | 0.07%             | 2041-05-15      | Floating      | 5.98%                 | 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        |   1331113 | PA      | $868615.77    | 0.21%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12007 | PA      | $12041.69     | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | 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        |   1937019 | PA      | $713166.43    | 0.17%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2021-SOAR, Class G                                                                      | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131511 | PA      | $131551.76    | 0.03%             | 2038-06-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JMFR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12933 | PA      | $11899.81     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   2150000 | PA      | $-39158.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29258 | PA      | $28103.46     | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13960 | PA      | $13561.27     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | 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        |    206903 | PA      | $207032.60    | 0.05%             | 2041-10-15      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44720 | PA      | $40562.96     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | 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        |    179338 | PA      | $182273.02    | 0.04%             | 2051-11-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241K2E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       847 | PA      | $917.98       | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617AXW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5623 | PA      | $5253.21      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21000 | PA      | $21145.83     | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BFLD Mortgage Trust                                                       | BFLD Mortgage Trust, Series 2024-VICT, Class A                                                                               | CUSIP: 05555VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650000 | PA      | $652843.75    | 0.16%             | 2041-07-15      | Floating      | 6.23%                 | 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      | $431314.10    | 0.10%             | 2039-10-05      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 3CB                                         | CUSIP: 93934FME9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    948366 | PA      | $734461.28    | 0.18%             | 2036-03-25      | Fixed         | 6.00%                 | 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        |   1327668 | PA      | $886373.04    | 0.21%             | 2051-05-25      | Variable      | 5.03%                 | 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        |    419906 | PA      | $420231.78    | 0.10%             | 2041-05-17      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | EFMT, Series 2025-INV3, Class A1                                                                                             | CUSIP: 26847NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565566 | PA      | $565085.04    | 0.13%             | 2070-07-25      | Variable      | 5.44%                 | 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      | $202292.36    | 0.05%             | 2038-05-20      | Fixed         | 5.69%                 | 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      | $398800.08    | 0.10%             | 2070-03-25      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities, Inc. Mortgage Loan Trust                    | Deutsche Mortgage Securities, Inc., Series 2006-PR1, Class CWA1                                                              | CUSIP: 25157GCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1842070 | PA      | $925900.39    | 0.22%             | 2035-06-25      | Variable      | 6.00%                 | 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      | $620535.86    | 0.15%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6165 | PA      | $5900.38      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                                  | CFMT LLC, Series 2023-HB11, Class M2                                                                                         | CUSIP: 12530KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1203540.75   | 0.29%             | 2037-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EG3S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7749 | PA      | $8198.81      | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-SHIP, Class A                                                                | CUSIP: 36270GAA9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99365.63     | 0.02%             | 2038-09-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3152 | PA      | $3038.52      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | 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      | $139534.65    | 0.03%             | 2037-03-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4619 | PA      | $4528.07      | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31618 | PA      | $29619.96     | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | 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      | $111078.43    | 0.03%             | 2034-09-20      | Fixed         | 5.68%                 | 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      | $649284.99    | 0.16%             | 2038-06-10      | Fixed         | 6.75%                 | 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      | $342450.95    | 0.08%             | 2033-06-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | HOMES Trust, Series 2025-NQM3, Class A1                                                                                      | CUSIP: 40446GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980505 | PA      | $982309.96    | 0.23%             | 2070-02-25      | Variable      | 5.63%                 | 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        |    599330 | PA      | $512822.34    | 0.12%             | 2036-02-25      | Floating      | 5.07%                 | 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      | $446424.91    | 0.11%             | 2033-12-15      | Fixed         | 5.49%                 | 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        |   1272177 | PA      | $1231253.29   | 0.29%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138AJNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83852 | PA      | $82700.66     | 0.02%             | 2041-06-01      | Fixed         | 4.50%                 | 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        |   1001083 | PA      | $437517.16    | 0.10%             | 2036-12-25      | Fixed         | 6.00%                 | 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        |    144956 | PA      | $140875.78    | 0.03%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXI Ltd.                                             | Madison Park Funding XXI Ltd., Series 2016-21A, Class AARR                                                                   | CUSIP: 55820JBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    972558 | PA      | $974017.17    | 0.23%             | 2032-10-15      | Floating      | 5.66%                 | 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      | $222995.88    | 0.05%             | 2053-07-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128KUFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       164 | PA      | $169.01       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5295 | PA      | $5535.96      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | 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      | $534472.81    | 0.13%             | 2069-12-16      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Securities Cash Management                               | Dreyfus Treasury Securities Cash Management                                                                                  | CUSIP: 261941108<br>LEI: 549300U78VESCW509025 | Long             | STIV             | RF                | US        |   2689340 | NS      | $2689340.21   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119227 | PA      | $121886.99    | 0.03%             | 2041-05-20      | Fixed         | 5.50%                 | 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      | $1597452.31   | 0.38%             | 2030-06-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030686<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -260000 | PA      | $-222469.50   | -0.05%            | 2055-08-25      | Fixed         | 3.00%                 | 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        |    605116 | PA      | $630365.69    | 0.15%             | 2059-07-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q9VA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75609 | PA      | $74965.06     | 0.02%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138MPZ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1021 | PA      | $1005.67      | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30952 | PA      | $28767.29     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Galaxy XXI CLO Ltd.                                                       | Galaxy XXI CLO Ltd., Series 2015-21A, Class AR                                                                               | CUSIP: 36320WAL0<br>LEI: 549300BW4412X0TZDD77 | Long             | ABS-CBDO         | CORP              | KY        |     56183 | PA      | $56182.21     | 0.01%             | 2031-04-20      | Floating      | 5.61%                 | 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      | $206354.98    | 0.05%             | 2036-07-15      | Fixed         | 6.45%                 | 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      | $1119680.40   | 0.27%             | 2034-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3717 | PA      | $3513.86      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | 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        |    726364 | PA      | $731955.42    | 0.17%             | 2046-10-20      | Fixed         | 5.35%                 | 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      | $141006.18    | 0.03%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11477 | PA      | $10862.26     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FP6D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23600 | PA      | $21568.17     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | 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        |    868427 | PA      | $741728.95    | 0.18%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| STWD Trust                                                                | STWD Trust, Series 2021-FLWR, Class A                                                                                        | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946176 | PA      | $945880.20    | 0.23%             | 2036-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                                                                       | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    490000 | PA      | $460759.89    | 0.11%             | 2039-07-10      | Fixed         | 3.23%                 | 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      | $526236.43    | 0.13%             | 2033-12-15      | Fixed         | 5.11%                 | 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        |    133387 | PA      | $115923.32    | 0.03%             | 2048-05-25      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124390 | PA      | $114685.80    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                     | One Bryant Park Trust, Series 2019-OBP, Class A                                                                              | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072000 | PA      | $970995.20    | 0.23%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2025-8, Class A1                                                                            | CUSIP: 19689DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    579953 | PA      | $579385.66    | 0.14%             | 2070-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170590 | PA      | $166409.24    | 0.04%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-2, Class B1                                                                          | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $498965.70    | 0.12%             | 2068-03-25      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88026 | PA      | $81253.38     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | 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        |    991687 | PA      | $878508.30    | 0.21%             | 2031-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-2, Class 2CB                                         | CUSIP: 93934FMD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670897 | PA      | $452352.14    | 0.11%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M7WJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5351 | PA      | $5578.94      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | 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        |   1155230 | PA      | $474895.22    | 0.11%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-5, Class A3                                          | CUSIP: 93936PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192528 | PA      | $154883.58    | 0.04%             | 2037-06-25      | Fixed         | 7.00%                 | 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        |    868241 | PA      | $759606.85    | 0.18%             | 2049-10-25      | Variable      | 3.68%                 | 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        |    743296 | PA      | $744344.05    | 0.18%             | 2070-05-25      | Variable      | 0.00%                 | 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      | $340531.25    | 0.08%             | 2041-07-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2005 | PA      | $2096.10      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2025-NQM11, Class A1A                                                                                      | CUSIP: 67449BAL7<br>LEI: 254900KNWDG7C03UTA13 | Long             | ABS-MBS          | CORP              | US        |    740622 | PA      | $740749.52    | 0.18%             | 2065-05-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                                                                      | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $282012.50    | 0.07%             | 2041-10-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| WaMu 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        |    592025 | PA      | $539142.85    | 0.13%             | 2047-02-25      | Floating      | 4.67%                 | 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        |   1401213 | PA      | $1386041.33   | 0.33%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MF1 LLC                                                                   | MF1 Multifamily Housing Mortgage Loan Trust, Series 2024-FL14, Class A                                                       | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    418000 | PA      | $419812.51    | 0.10%             | 2039-03-19      | Floating      | 6.09%                 | 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        |  11852757 | PA      | $560783.56    | 0.13%             | 2056-07-15      | Variable      | 0.86%                 | 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        |    295000 | PA      | $295368.75    | 0.07%             | 2041-12-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307MSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29637 | PA      | $28613.22     | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | 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        |     61896 | PA      | $11417.88     | 0.00%             | 2052-01-20      | Fixed         | 3.50%                 | 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        |    185299 | PA      | $186116.19    | 0.04%             | 2050-04-15      | Fixed         | 4.95%                 | 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        |    426124 | PA      | $386288.94    | 0.09%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP, Class F                                                                                        | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629131 | PA      | $629131.13    | 0.15%             | 2038-11-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36296QPX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10299 | PA      | $10745.20     | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                                                                    | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $260812.50    | 0.06%             | 2041-11-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18164 | PA      | $17300.25     | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | 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        |   1170565 | PA      | $969681.58    | 0.23%             | 2037-03-25      | Floating      | 4.79%                 | 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      | $440689.71    | 0.11%             | 2034-03-15      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132LAE40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66618 | PA      | $64331.25     | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A                                             | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528228 | PA      | $528227.88    | 0.13%             | 2038-04-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM7, Class A1                                                                  | CUSIP: 10570TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $599994.42    | 0.14%             | 2065-07-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AQJP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281562 | PA      | $274183.61    | 0.07%             | 2040-03-15      | Fixed         | 4.50%                 | 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        |   1024052 | PA      | $14244.56     | 0.00%             | 2051-11-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GVKJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42725 | PA      | $39665.09     | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | 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      | $735449.67    | 0.18%             | 2041-02-15      | Floating      | 5.98%                 | 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      | $299943.00    | 0.07%             | 2039-12-15      | Floating      | 9.99%                 | 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        |    205000 | PA      | $205504.05    | 0.05%             | 2039-08-15      | Floating      | 6.69%                 | 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      | $522600.00    | 0.12%             | 2028-03-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                             | NYC Commercial Mortgage Trust, Series 2025-3BP, Class A                                                                      | CUSIP: 67120UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    467000 | PA      | $464639.46    | 0.11%             | 2042-02-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161749 | PA      | $156573.10    | 0.04%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82330 | PA      | $74062.89     | 0.02%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MHP                                                                       | MHP, Series 2022-MHIL, Class A                                                                                               | CUSIP: 55293DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497227 | PA      | $497227.46    | 0.12%             | 2039-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2016-3A, Class A1R2                                                                                    | CUSIP: 92915HAW3<br>LEI: 549300001G5S0D8B8343 | Long             | ABS-CBDO         | CORP              | KY        |    735676 | PA      | $735295.12    | 0.18%             | 2031-10-18      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4945276 | PA      | $4425945.31   | 1.06%             | 2052-06-01      | Fixed         | 3.50%                 | 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      | $575889.88    | 0.14%             | 2037-02-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71931 | PA      | $64271.13     | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178LYY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27311 | PA      | $25170.36     | 0.01%             | 2042-09-15      | Fixed         | 3.50%                 | 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        |   1555830 | PA      | $1543447.35   | 0.37%             | 2037-03-25      | Floating      | 4.92%                 | 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      | $604147.78    | 0.14%             | 2036-08-17      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2018-BA, Class A2B                                                              | CUSIP: 63940QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    357004 | PA      | $357066.33    | 0.09%             | 2059-12-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1998 | PA      | $1965.88      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16761 | PA      | $15906.98     | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                                     | OneMain Direct Auto Receivables Trust, Series 2025-1A, Class D                                                               | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440000 | PA      | $445829.08    | 0.11%             | 2037-07-14      | Fixed         | 6.10%                 | 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        |  18586515 | PA      | $3077629.55   | 0.73%             | 2050-08-20      | Fixed         | 3.00%                 | 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        |    589479 | PA      | $581693.90    | 0.14%             | 2033-09-15      | Floating      | 5.01%                 | 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      | $343016.24    | 0.08%             | 2039-11-10      | Fixed         | 5.52%                 | 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      | $419999.92    | 0.10%             | 2041-10-15      | Floating      | 6.29%                 | 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      | $384667.20    | 0.09%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-96, Class FL                                       | CUSIP: 38384PC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1801138 | PA      | $1798421.79   | 0.43%             | 2054-06-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XEE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8330 | PA      | $8175.89      | 0.00%             | 2028-12-01      | Fixed         | 3.50%                 | 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        |    300000 | PA      | $300706.14    | 0.07%             | 2052-04-15      | Fixed         | 8.35%                 | 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      | $359067.51    | 0.09%             | 2040-07-15      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-H3, Class A5                                                                     | CUSIP: 61767YAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $49154.16     | 0.01%             | 2051-07-15      | Fixed         | 4.18%                 | 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        |    445000 | PA      | $432264.86    | 0.10%             | 2041-12-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                                                | PRM5 Trust, Series 2025-PRM5, Class A                                                                                        | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    912000 | PA      | $903440.88    | 0.22%             | 2033-03-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36198S7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24890 | PA      | $23867.47     | 0.01%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24906 | PA      | $25376.10     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | 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        |   1210466 | PA      | $1205040.44   | 0.29%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53543 | PA      | $47874.59     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136055 | PA      | $124351.80    | 0.03%             | 2047-03-01      | Fixed         | 3.50%                 | 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        |    203000 | PA      | $202586.96    | 0.05%             | 2034-02-21      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418M2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105310 | PA      | $110106.22    | 0.03%             | 2037-05-01      | Fixed         | 6.00%                 | 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      | $157317.44    | 0.04%             | 2055-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16630 | PA      | $15729.57     | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | 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        |   2866704 | PA      | $1122284.21   | 0.27%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307380 | PA      | $283688.31    | 0.07%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Octagon 66 Ltd.                                                           | Octagon 66 Ltd., Series 2022-1A, Class A1R                                                                                   | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    650000 | PA      | $651794.26    | 0.16%             | 2036-11-16      | Floating      | 6.08%                 | 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      | $1135626.29   | 0.27%             | 2034-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76203 | PA      | $71333.89     | 0.02%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2024-INV4, Class B1                                                                         | CUSIP: 19688QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $506133.05    | 0.12%             | 2069-05-25      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98656 | PA      | $96103.13     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | 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        |    840000 | PA      | $839737.50    | 0.20%             | 2039-12-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2023-AA, Class A                                                                      | CUSIP: 56847FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $125747.35    | 0.03%             | 2035-10-22      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20302 | PA      | $19288.36     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class B1                                                                  | CUSIP: 10569NAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $505205.90    | 0.12%             | 2064-11-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202E2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14795 | PA      | $15234.06     | 0.00%             | 2039-02-20      | Fixed         | 5.50%                 | 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        |    610764 | PA      | $593461.94    | 0.14%             | 2037-01-25      | Variable      | 5.86%                 | 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        |    537681 | PA      | $534843.71    | 0.13%             | 2069-04-15      | Floating      | 5.46%                 | 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        |    750000 | PA      | $749178.96    | 0.18%             | 2070-07-25      | Variable      | 5.44%                 | 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        |    423009 | PA      | $439921.04    | 0.11%             | 2059-07-25      | Floating      | 7.50%                 | 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      | $977638.90    | 0.23%             | 2059-05-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7329 | PA      | $6853.85      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28856 | PA      | $28384.93     | 0.01%             | 2030-08-01      | Fixed         | 3.50%                 | 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        |    459228 | PA      | $382400.23    | 0.09%             | 2036-07-25      | Floating      | 18.27%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9467 | PA      | $9652.27      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36178LZL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19766 | PA      | $18216.57     | 0.00%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                                             | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                                                                      | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52195 | PA      | $52195.25     | 0.01%             | 2038-04-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E                                                                  | CUSIP: 36262MAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $295536.60    | 0.07%             | 2036-10-15      | Floating      | 8.01%                 | 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        |    914423 | PA      | $908850.12    | 0.22%             | 2064-05-25      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM3, Class A1                                                                                       | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591547 | PA      | $591191.18    | 0.14%             | 2070-05-25      | Variable      | 5.61%                 | 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        |    276109 | PA      | $276079.62    | 0.07%             | 2033-01-20      | Floating      | 5.43%                 | 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      | $851774.04    | 0.20%             | 2055-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66035 | PA      | $65195.88     | 0.02%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Trust                                           | GreenSky Home Improvement Trust, Series 2024-1, Class B                                                                      | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    328000 | PA      | $332735.93    | 0.08%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10261 | PA      | $9588.30      | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | 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        |    425000 | PA      | $426328.13    | 0.10%             | 2041-10-15      | Floating      | 6.98%                 | 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      | $499476.99    | 0.12%             | 2054-12-25      | Variable      | 9.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40811 | PA      | $39464.17     | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | 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        |    223000 | PA      | $224758.18    | 0.05%             | 2038-05-20      | Fixed         | 4.98%                 | 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        |    750000 | PA      | $749989.58    | 0.18%             | 2065-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XVIII Ltd.                                           | Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR                                                                  | CUSIP: 55819BAW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1062070 | PA      | $1062467.24   | 0.25%             | 2030-10-21      | Floating      | 5.53%                 | 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      | $234363.34    | 0.06%             | 2039-11-05      | Variable      | 7.00%                 | 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      | $1564021.88   | 0.37%             | 2042-03-15      | Floating      | 5.79%                 | 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      | $869372.47    | 0.21%             | 2039-02-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1223 | PA      | $1174.00      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79509 | PA      | $77507.41     | 0.02%             | 2046-07-01      | Fixed         | 4.50%                 | 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        |    111383 | PA      | $111511.70    | 0.03%             | 2031-07-18      | Floating      | 5.74%                 | 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        |    465691 | PA      | $466192.18    | 0.11%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-BOLT, Class F                                                                                         | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115000 | PA      | $114537.06    | 0.03%             | 2039-06-15      | Floating      | 8.78%                 | 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        |    207000 | PA      | $211222.99    | 0.05%             | 2059-10-27      | Fixed         | 6.43%                 | 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        |    297930 | PA      | $296379.71    | 0.07%             | 2062-04-20      | Floating      | 5.21%                 | 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      | $774988.82    | 0.19%             | 2030-06-15      | Floating      | 8.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3030 | PA      | $2838.53      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | 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        |    260520 | PA      | $288592.44    | 0.07%             | 2061-06-25      | Variable      | 6.75%                 | 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        |   1679623 | PA      | $620821.57    | 0.15%             | 2036-05-25      | Fixed         | 5.75%                 | 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      | $381543.49    | 0.09%             | 2065-01-25      | Variable      | 7.04%                 | 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        |    825121 | PA      | $460101.59    | 0.11%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-LP2, Class B                                                                       | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085000 | PA      | $1083982.81   | 0.26%             | 2039-02-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8349 | PA      | $8215.46      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | 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        |    417495 | PA      | $389297.62    | 0.09%             | 2037-03-25      | Floating      | 4.75%                 | 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        |   1454672 | PA      | $699472.93    | 0.17%             | 2051-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13837 | PA      | $12726.31     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | 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        |    816919 | PA      | $812635.71    | 0.19%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12128 | PA      | $11690.95     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E42P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3262 | PA      | $3158.84      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | 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        |   1117922 | PA      | $909833.61    | 0.22%             | 2036-11-25      | Floating      | 4.95%                 | 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        |    727316 | PA      | $725628.75    | 0.17%             | 2065-06-25      | Variable      | 5.33%                 | 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        |    506227 | PA      | $90769.11     | 0.02%             | 2046-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39714 | PA      | $38261.88     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43214 | PA      | $38594.11     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133252 | PA      | $134176.10    | 0.03%             | 2042-02-01      | Fixed         | 5.00%                 | 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        |    809000 | PA      | $809505.63    | 0.19%             | 2029-07-15      | Floating      | 5.83%                 | 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      | $100156.00    | 0.02%             | 2033-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AW3Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176691 | PA      | $171592.42    | 0.04%             | 2040-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51439 | PA      | $49294.87     | 0.01%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                                                       | Life Mortgage Trust, Series 2021-BMR, Class F                                                                                | CUSIP: 53218CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116900 | PA      | $115427.05    | 0.03%             | 2038-03-15      | Floating      | 6.81%                 | 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      | $1056648.44   | 0.25%             | 2041-06-15      | Floating      | 5.71%                 | 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        |    737910 | PA      | $338653.87    | 0.08%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2202 | PA      | $2139.71      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47833 | PA      | $45098.59     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | 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      | $822295.10    | 0.20%             | 2067-02-25      | Variable      | 4.20%                 | 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        |   1602815 | PA      | $1603876.51   | 0.38%             | 2031-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15242 | PA      | $14803.65     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | 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      | $295980.43    | 0.07%             | 2029-08-15      | Floating      | 6.33%                 | 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        |    360000 | PA      | $359887.50    | 0.09%             | 2037-04-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class A4                                                         | CUSIP: 46591ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $444110.81    | 0.11%             | 2051-06-15      | Fixed         | 4.21%                 | 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      | $149623.64    | 0.04%             | 2034-09-20      | Fixed         | 4.94%                 | 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      | $41770.60     | 0.01%             | 2053-04-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2021-STAR, Class B                                                                | CUSIP: 36264LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $863475.00    | 0.21%             | 2036-12-15      | Floating      | 5.86%                 | 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        |    100000 | PA      | $99788.87     | 0.02%             | 2032-08-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class A                                                                                           | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1000312.50   | 0.24%             | 2038-09-15      | Floating      | 5.51%                 | 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        |    840000 | PA      | $839475.84    | 0.20%             | 2041-08-15      | Floating      | 5.98%                 | 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        |   2895282 | PA      | $137202.76    | 0.03%             | 2053-04-15      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| TYSN Mortgage Trust                                                       | TYSN Mortgage Trust, Series 2023-CRNR, Class A                                                                               | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $399388.17    | 0.10%             | 2033-12-10      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2426 | PA      | $2536.90      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | 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      | $346767.88    | 0.08%             | 2055-02-25      | Variable      | 10.15%                | 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        |    832640 | PA      | $616830.38    | 0.15%             | 2037-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14193 | PA      | $14252.03     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | 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        |   2609196 | PA      | $452323.09    | 0.11%             | 2036-07-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WLF2, Class A                                                                                  | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    565000 | PA      | $567648.44    | 0.14%             | 2041-05-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| SMRT                                                                      | SMRT, Series 2022-MINI, Class A                                                                                              | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566000 | PA      | $564585.00    | 0.13%             | 2039-01-15      | Floating      | 5.34%                 | 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        |   2224159 | PA      | $1914111.20   | 0.46%             | 2066-07-25      | Variable      | 0.95%                 | 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        |    356331 | PA      | $357333.50    | 0.09%             | 2039-12-15      | Floating      | 5.63%                 | 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        |   1511467 | PA      | $598276.98    | 0.14%             | 2036-08-25      | Floating      | 4.79%                 | 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        |    738274 | PA      | $739204.23    | 0.18%             | 2065-05-25      | Variable      | 5.64%                 | 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        |    133914 | PA      | $127804.56    | 0.03%             | 2031-08-16      | Fixed         | 2.75%                 | 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      | $213137.84    | 0.05%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans LLC                                             | College Ave Student Loans LLC, Series 2021-C, Class C                                                                        | CUSIP: 19424WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    119868 | PA      | $112136.14    | 0.03%             | 2055-07-26      | Fixed         | 3.06%                 | 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        |    200000 | PA      | $197681.03    | 0.05%             | 2041-08-10      | Variable      | 7.47%                 | 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      | $503858.85    | 0.12%             | 2063-09-25      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31368HNR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152697 | PA      | $150789.24    | 0.04%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18733 | PA      | $17802.21     | 0.00%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-PAT, Class D                                                                                           | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146000 | PA      | $143454.84    | 0.03%             | 2041-03-15      | Floating      | 9.73%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5, Class A5                                                         | CUSIP: 46590TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97242.88     | 0.02%             | 2050-03-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020683<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5991000 | PA      | $4835248.39   | 1.15%             | 2055-08-15      | Fixed         | 2.00%                 | 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      | $450015.12    | 0.11%             | 2042-02-15      | Floating      | 6.19%                 | 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      | $335938.62    | 0.08%             | 2046-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JNZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160509 | PA      | $148862.22    | 0.04%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HHWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4662 | PA      | $4358.79      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92008 | PA      | $86517.85     | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | 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        |   1499651 | PA      | $588505.54    | 0.14%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       143 | NC      | $305893.87    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21656 | PA      | $20876.91     | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | 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      | $816718.24    | 0.20%             | 2056-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27013 | PA      | $26024.35     | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | 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 D                                            | CUSIP: 46593KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $188907.09    | 0.05%             | 2039-11-09      | Variable      | 6.48%                 | 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      | $69266.40     | 0.02%             | 2038-06-10      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27902 | PA      | $25360.25     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2014-2RA, Class A1                                                         | CUSIP: 14314LAC9<br>LEI: 549300K65HYRGER5BW54 | Long             | ABS-CBDO         | CORP              | KY        |    159511 | PA      | $159498.32    | 0.04%             | 2031-05-15      | Floating      | 5.64%                 | 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      | $534646.22    | 0.13%             | 2064-07-25      | Variable      | 8.07%                 | 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        |    479849 | PA      | $495992.70    | 0.12%             | 2037-07-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1948 | PA      | $1866.73      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | 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        |    750000 | PA      | $782948.70    | 0.19%             | 2057-07-15      | Fixed         | 6.01%                 | 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      | $555161.04    | 0.13%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7303 | PA      | $6846.59      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | 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        |    242424 | PA      | $243257.53    | 0.06%             | 2039-02-15      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11979 | PA      | $11552.95     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | 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        |    217203 | PA      | $188121.17    | 0.04%             | 2047-02-15      | Fixed         | 1.14%                 | 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        |    981962 | PA      | $961839.54    | 0.23%             | 2036-01-25      | Variable      | 4.86%                 | 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      | $347643.10    | 0.08%             | 2041-01-20      | Floating      | 6.28%                 | 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        |   1409995 | PA      | $1412638.55   | 0.34%             | 2041-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19591 | PA      | $17921.59     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | 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        |    395337 | PA      | $47878.41     | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15345 | PA      | $13998.72     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                   | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                                             | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1436426 | PA      | $1178501.64   | 0.28%             | 2039-05-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15889 | PA      | $14203.50     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | 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        |    551947 | PA      | $525041.17    | 0.13%             | 2047-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTER9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12227 | PA      | $11404.50     | 0.00%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22456 | PA      | $21770.73     | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2022-CSMO, Class B                                                                      | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185000 | PA      | $186156.25    | 0.04%             | 2027-06-15      | Floating      | 7.48%                 | 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      | $431514.45    | 0.10%             | 2066-12-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM4, Class A1                                                              | CUSIP: 64832FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $749160.42    | 0.18%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4867 | PA      | $4328.31      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP2, Class A                                                                                       | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1255000 | PA      | $1254607.81   | 0.30%             | 2036-11-15      | Floating      | 5.28%                 | 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        |   1689414 | PA      | $896485.24    | 0.21%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |    205000 | PA      | $205417.69    | 0.05%             | 2055-07-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2025-C35, Class A5                                                                              | CUSIP: 07337DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2727000 | PA      | $2822464.09   | 0.67%             | 2058-07-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27354 | PA      | $24495.42     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | 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        |   1094186 | PA      | $1078242.56   | 0.26%             | 2054-10-25      | Variable      | 9.53%                 | 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        |   1156690 | PA      | $1041707.72   | 0.25%             | 2037-07-26      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28984 | PA      | $26415.60     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes                                                                    | CUSIP: 3140J8TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154214 | PA      | $150808.42    | 0.04%             | 2027-09-01      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-7, Class A1                                                                            | CUSIP: 03466TAA5<br>LEI: 254900QTRHHMG5RQ9X60 | Long             | ABS-MBS          | CORP              | US        |    745026 | PA      | $745448.86    | 0.18%             | 2070-06-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| 2023-MIC Trust                                                            | 2023-MIC Trust, Series 2023-MIC, Class A                                                                                     | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $259637.59    | 0.06%             | 2038-12-05      | Variable      | 8.44%                 | 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      | $188215.16    | 0.04%             | 2039-07-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L4W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94307 | PA      | $94289.73     | 0.02%             | 2037-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132110 | PA      | $125512.27    | 0.03%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10092 | PA      | $9931.34      | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | 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        |    378408 | PA      | $204824.48    | 0.05%             | 2060-12-25      | Variable      | 3.99%                 | 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      | $421323.34    | 0.10%             | 2044-01-15      | Variable      | 2.78%                 | 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        |    685927 | PA      | $627445.82    | 0.15%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65130 | PA      | $61705.15     | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | 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        |    604664 | PA      | $108419.34    | 0.03%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19635 | PA      | $17328.48     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2018-3A, Class A1R2                                                                                    | CUSIP: 92917KAQ7<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |    610792 | PA      | $610930.35    | 0.15%             | 2031-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HBB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12677 | PA      | $11909.08     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | 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      | $378388.20    | 0.09%             | 2039-05-10      | Variable      | 10.26%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40350 | PA      | $39880.14     | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | 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      | $1012513.80   | 0.24%             | 2064-10-25      | Variable      | 7.19%                 | 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      | $234873.92    | 0.06%             | 2037-08-15      | Variable      | 5.01%                 | 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      | $501282.05    | 0.12%             | 2070-03-25      | Fixed         | 6.97%                 | 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        |   2175385 | PA      | $1848112.49   | 0.44%             | 2047-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44292 | PA      | $42128.82     | 0.01%             | 2039-12-01      | Fixed         | 3.50%                 | 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      | $2409309.50   | 0.58%             | 2041-02-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44093 | PA      | $41042.39     | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28604 | PA      | $27631.01     | 0.01%             | 2030-03-01      | Fixed         | 2.50%                 | 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        |   1089441 | PA      | $1065630.12   | 0.25%             | 2057-07-25      | Variable      | 4.10%                 | 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        |    229111 | PA      | $232937.68    | 0.06%             | 2049-02-20      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5277 | PA      | $4947.40      | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2025-V16, Class A3                                                                          | CUSIP: 08164RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889000 | PA      | $914420.69    | 0.22%             | 2057-08-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60390 | PA      | $56415.97     | 0.01%             | 2048-01-15      | Fixed         | 4.00%                 | 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        |   6270464 | PA      | $525444.85    | 0.13%             | 2053-07-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| BHMS                                                                      | BHMS, Series 2018-ATLS, Class C                                                                                              | CUSIP: 05549GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    269000 | PA      | $268274.99    | 0.06%             | 2035-07-15      | Floating      | 6.54%                 | 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        |   1874516 | PA      | $631806.85    | 0.15%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class B1                                                                 | CUSIP: 43789XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2985000 | PA      | $2953624.67   | 0.71%             | 2065-05-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21855 | PA      | $21334.61     | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20464 | PA      | $19630.98     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | 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        |    866477 | PA      | $867830.98    | 0.21%             | 2039-02-15      | Floating      | 5.78%                 | 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        |    553099 | PA      | $412070.17    | 0.10%             | 2035-11-25      | Floating      | 4.82%                 | 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      | $995080.70    | 0.24%             | 2068-02-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO Ltd.                                                      | Cayuga Park CLO Ltd., Series 2020-1A, Class AR                                                                               | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1503246.00   | 0.36%             | 2034-07-17      | Floating      | 5.70%                 | 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        |    484690 | PA      | $444758.05    | 0.11%             | 2036-10-25      | Fixed         | 6.25%                 | 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        |    466914 | PA      | $461504.82    | 0.11%             | 2053-01-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36129 | PA      | $32882.73     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15943 | PA      | $15600.14     | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | 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      | $599663.94    | 0.14%             | 2041-11-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197728 | PA      | $202414.36    | 0.05%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TTAN MHC                                                                  | TTAN MHC, Series 2021-MHC, Class A                                                                                           | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    648727 | PA      | $648930.02    | 0.15%             | 2038-03-15      | Floating      | 5.31%                 | 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      | $222743.98    | 0.05%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EHFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18106 | PA      | $19156.76     | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5828 | PA      | $5736.56      | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41700 | PA      | $40589.97     | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | 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        |    354097 | PA      | $354564.72    | 0.08%             | 2031-04-15      | Floating      | 5.60%                 | 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        |   5550587 | PA      | $1079338.24   | 0.26%             | 2050-05-25      | Fixed         | 4.50%                 | 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        |   1182530 | PA      | $766233.91    | 0.18%             | 2046-10-25      | Floating      | 4.91%                 | 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        |    746661 | PA      | $745061.20    | 0.18%             | 2063-01-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25919 | PA      | $25135.68     | 0.01%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TCO Commercial Mortgage Trust                                             | TCO Commercial Mortgage Trust, Series 2024-DPM, Class A                                                                      | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    945000 | PA      | $945885.94    | 0.23%             | 2039-12-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| KSL Trust 2025-MAK                                                        | KSL Trust                                                                                                                    | CUSIP: 50116JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $305032.37    | 0.07%             | 2030-06-15      | Floating      | 6.23%                 | 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        |    400959 | PA      | $400814.78    | 0.10%             | 2070-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8291 | PA      | $7687.67      | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | 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        |    450000 | PA      | $446523.03    | 0.11%             | 2039-01-15      | Floating      | 7.64%                 | 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      | $416915.14    | 0.10%             | 2038-07-14      | Fixed         | 5.79%                 | 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        |  20704792 | PA      | $2664553.48   | 0.64%             | 2049-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18307 | PA      | $18097.15     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13156 | PA      | $12889.76     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                                                 | KREF Ltd., Series 2022-FL3, Class A                                                                                          | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    763016 | PA      | $762534.68    | 0.18%             | 2039-02-17      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16959 | PA      | $16410.70     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | 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      | $380840.98    | 0.09%             | 2032-02-10      | Fixed         | 4.15%                 | 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        |   1953437 | PA      | $148807.39    | 0.04%             | 2061-11-16      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-BOLT, Class A                                                                                         | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $550515.63    | 0.13%             | 2039-06-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8824 | PA      | $8169.31      | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | 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        |     88160 | PA      | $88790.50     | 0.02%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20589 | PA      | $19152.60     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48859 | PA      | $45169.51     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10931 | PA      | $10474.17     | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52042 | PA      | $48433.70     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2015-4A, Class A1RR                                                        | CUSIP: 14311NAU8<br>LEI: 549300Q4PPEXLDSOKL32 | Long             | ABS-CBDO         | CORP              | KY        |    552891 | PA      | $553335.17    | 0.13%             | 2032-07-20      | Floating      | 5.55%                 | 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      | $711523.73    | 0.17%             | 2035-09-14      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3946 | PA      | $3662.56      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | 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      | $97236.60     | 0.02%             | 2036-01-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-LBA6, Class A                                                                                          | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880000 | PA      | $880822.36    | 0.21%             | 2039-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XV                                                             | Apidos CLO XV, Series 2013-15A, Class A1RR                                                                                   | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |     80401 | PA      | $80416.63     | 0.02%             | 2031-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-6, Class 3CB1                                        | CUSIP: 93935GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2592754 | PA      | $1032475.69   | 0.25%             | 2036-08-25      | Fixed         | 7.00%                 | 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      | $540303.12    | 0.13%             | 2041-12-10      | Variable      | 7.52%                 | 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        |    231927 | PA      | $230956.91    | 0.06%             | 2041-04-15      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6956 | PA      | $6750.37      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40170 | PA      | $35892.02     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34162 | PA      | $31682.72     | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38844 | PA      | $36134.39     | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3234000 | PA      | $2982411.55   | 0.71%             | 2055-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-54, Class FD                                          | CUSIP: 3136BSSL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720437 | PA      | $724026.38    | 0.17%             | 2054-08-25      | Floating      | 5.60%                 | 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        |    139682 | PA      | $135087.67    | 0.03%             | 2059-12-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                                       | Homeward Opportunities Fund I Trust, Series 2020-2, Class M1                                                                 | CUSIP: 43789XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2625000 | PA      | $2529282.53   | 0.60%             | 2065-05-25      | Variable      | 3.90%                 | 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        |    217978 | PA      | $218857.85    | 0.05%             | 2034-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WOLF, Class A                                                                                  | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $542025.00    | 0.13%             | 2039-03-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-8, Class A1                                                                            | CUSIP: 03466UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387356 | PA      | $387044.83    | 0.09%             | 2070-07-25      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47689 | PA      | $45846.25     | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15417000 | PA      | $12630005.55  | 3.02%             | 2055-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020687<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7130000 | PA      | $5576268.62   | 1.33%             | 2055-08-25      | Fixed         | 2.00%                 | 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      | $597277.20    | 0.14%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2023-DELC, Class A                                                                                          | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $362025.00    | 0.09%             | 2038-05-15      | Floating      | 7.03%                 | 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        |    108378 | PA      | $108445.66    | 0.03%             | 2041-10-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124202 | PA      | $121226.95    | 0.03%             | 2036-01-01      | Fixed         | 4.00%                 | 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      | $293212.37    | 0.07%             | 2055-07-20      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BJRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37825 | PA      | $35337.50     | 0.01%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2025-5C4, Class A3                                                             | CUSIP: 949931AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303000 | PA      | $314219.91    | 0.08%             | 2058-05-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                                            | BOCA Commercial Mortgage Trust, Series 2024-BOCA, Class A                                                                    | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $803500.00    | 0.19%             | 2041-08-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99487 | PA      | $100295.48    | 0.02%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39947 | PA      | $37246.64     | 0.01%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37938 | PA      | $35046.52     | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-31

**Name of Applicant:** Managed Account Series II

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer