# EDGAR Filing Document

**Accession Number:** 0000933691
**File Stem:** 0001145549-23-013525
**Filing Date:** 2023-2
**Character Count:** 207219
**Document Hash:** 138ea8a5f9f7c7928e37bc1a488822cd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-013525.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001145549-23-013525

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JNL SERIES TRUST
- **CENTRAL INDEX KEY:** 0000933691
- **IRS NUMBER:** 381659835
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08894
- **FILM NUMBER:** 23683255

**BUSINESS ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951
- **BUSINESS PHONE:** (517) 367-4336

**MAIL ADDRESS:**
- **STREET 1:** 1 CORPORATE WAY
- **CITY:** LANSING
- **STATE:** MI
- **ZIP:** 48951

## Series and Classes Contracts Data

### JNL/DoubleLine Total Return Fund (Series ID: S000068111)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000218180 | JNL/DoubleLine Total Return Fund (A) |  |
| C000218181 | JNL/DoubleLine Total Return Fund (I) |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JNL Series Trust

- **b. Investment Company Act file number:** 811-8894

- **c. CIK number of Registrant:** 0000933691

- **d. LEI of Registrant:** 549300T5WIPN6IWM0D45

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

  - **Street Address 1:** 1 Corporate Way

  - **City:** Lansing

  - **State:** MI

  - **Foreign country:** US

  - **Zip / Postal Code:** 48951

  - **Telephone number:** 517-367-4336

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

- **a. Name of Series:** JNL/DoubleLine Total Return Fund

- **b. EDGAR series identifier (if any):** S000068111

- **c. LEI of Series:** 5493001TIT2IUM88SU79

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2040317362.91

**Total Liabilities:** $1298499.87

**Net Assets:** $2039018863.04

**Cash Not Reported:** $246239.73

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -77.105377833732 | **1-Year:** -5347.263658593320 | **5-Year:** -46842.071509373798 | **10-Year:** -207838.458655544213 | **30-Year:** -335577.994852410740

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

- **3-Month:** -2887.840961762539 | **1-Year:** -34542.383166139416 | **5-Year:** -38710.278147763544 | **10-Year:** -90235.031982260142 | **30-Year:** -37640.609773011653

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218180 | -2.19%               | 2.74%                | -0.89%               |
| Class ID C000218181 | -2.07%               | 2.71%                | -0.88%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-9981961.56             | $-43183038.84                              |
| Month 2  | $-12422379.15            | $61273207.91                               |
| Month 3  | $-5031425.02             | $-18514250.43                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Alternative Loan Trust 2007-5CB                                                   | Alternative Loan Trust 2007-5CB                                                   | CUSIP: 02150EAE3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-CBDO         | CORP              | US        |   3255082 | PA      | $241417.36    | 0.01%             | 2037-04-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C12                                                     | BBCMS Mortgage Trust 2021-C12                                                     | CUSIP: 05552XBJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  12456990 | PA      | $695138.66    | 0.03%             | 2054-11-18      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| BX Trust 2017-APPL                                                                | BX Trust 2017-APPL                                                                | CUSIP: 05607DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970333 | PA      | $955551.22    | 0.05%             | 2034-07-17      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 Mortgage Trust                                                        | CD 2017-CD6 Mortgage Trust                                                        | CUSIP: 125039AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243000 | PA      | $205552.56    | 0.01%             | 2027-11-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CFCRE 2016-C4 Mortgage Trust                                                      | CFCRE 2016-C4 Mortgage Trust                                                      | CUSIP: 12531YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  72212128 | PA      | $2844262.42   | 0.14%             | 2058-05-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  63705296 | PA      | $5020206.67   | 0.25%             | 2062-08-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38381DBP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  43644805 | PA      | $2924132.12   | 0.14%             | 2063-08-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Aircraft Lease Securitisation Limited                                             | Aircraft Lease Securitisation Limited                                             | CUSIP: 16165YAU6<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |   2478018 | PA      | $2063122.32   | 0.10%             | 2028-12-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Cmalt (Citimortgage Alternative Loan Trust), Series 2006-A4                       | Cmalt (Citimortgage Alternative Loan Trust), Series 2006-A4                       | CUSIP: 17309VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159717 | PA      | $970212.38    | 0.05%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418EE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8738194 | PA      | $8205777.76   | 0.40%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14403345 | PA      | $13901514.09  | 0.68%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust, Series 2007-FF2                               | First Franklin Mortgage Loan Trust, Series 2007-FF2                               | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5443115 | PA      | $2972176.31   | 0.15%             | 2023-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 3622ABEL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  36325696 | PA      | $31319037.54  | 1.54%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                        | GS Mortgage Securities Corp Trust 2018-TWR                                        | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436000 | PA      | $401712.57    | 0.02%             | 2031-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S5 Trust                                                        | RFMSI Series 2007-S5 Trust                                                        | CUSIP: 749580AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4748957 | PA      | $3728218.34   | 0.18%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Visio 2021-1R Trust                                                               | Visio 2021-1R Trust                                                               | CUSIP: 92837UAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6161000 | PA      | $4779697.64   | 0.23%             | 2056-05-25      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Volt XCIV, LLC                                                                    | Volt XCIV, LLC                                                                    | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2452828 | PA      | $2199406.43   | 0.11%             | 2024-01-25      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C19                                          | WFRBS Commercial Mortgage Trust 2014-C19                                          | CUSIP: 92938VAW5<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-CBDO         | CORP              | US        |  13430646 | PA      | $105574.28    | 0.01%             | 2047-03-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust 2006-4                                     | Banc of America Alternative Loan Trust 2006-4                                     | CUSIP: 05950AAV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2970685 | PA      | $2627117.90   | 0.13%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128MJ3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2642612 | PA      | $2449576.36   | 0.12%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128MJVG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5571519 | PA      | $5047939.77   | 0.25%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5099534 | PA      | $4607560.19   | 0.23%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3187708 | PA      | $2866507.52   | 0.14%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust 2017-5                                            | LSTAR Commercial Mortgage Trust 2017-5                                            | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  32605481 | PA      | $670316.52    | 0.03%             | 2050-03-11      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust 2007-R5                                     | MASTR Adjustable Rate Mortgages Trust 2007-R5                                     | CUSIP: 57645WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12017084 | PA      | $8108423.76   | 0.40%             | 2035-11-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Bank 2020-BNK25                                                                   | Bank 2020-BNK25                                                                   | CUSIP: 06539WBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306000 | PA      | $255232.43    | 0.01%             | 2030-01-17      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Benchmark 2018-B7 Mortgage Trust                                                  | Benchmark 2018-B7 Mortgage Trust                                                  | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  90127559 | PA      | $1518360.96   | 0.07%             | 2053-05-16      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Bravo Residential Funding Trust 2020-RPL1                                         | Bravo Residential Funding Trust 2020-RPL1                                         | CUSIP: 10568YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $3885077.70   | 0.19%             | 2059-05-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136ALB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12775365 | PA      | $11106848.89  | 0.54%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                                              | Pretium Mortgage Credit Partners LLC                                              | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3736219 | PA      | $3371761.80   | 0.17%             | 2024-09-25      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust 2017-2                                     | Velocity Commercial Capital Loan Trust 2017-2                                     | CUSIP: 92258VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2086093 | PA      | $1970273.54   | 0.10%             | 2026-07-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO III Ltd                                                               | Vibrant CLO III Ltd                                                               | CUSIP: 92557UAW7<br>LEI: 54930073XIEUISQCY218 | Long             | ABS-CBDO         | CORP              | KY        |   1184455 | PA      | $1157509.47   | 0.06%             | 2031-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-VOLT                                            | BX Commercial Mortgage Trust 2021-VOLT                                            | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3062000 | PA      | $2848674.44   | 0.14%             | 2023-09-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-VOLT                                            | BX Commercial Mortgage Trust 2021-VOLT                                            | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3062000 | PA      | $2818314.71   | 0.14%             | 2023-09-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Benchmark 2021-B27 Mortgage Trust                                                 | Benchmark 2021-B27 Mortgage Trust                                                 | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20267606 | PA      | $1423104.14   | 0.07%             | 2054-07-17      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust 2021-OVA                                                         | SLG Office Trust 2021-OVA                                                         | CUSIP: 78449RAN5<br>LEI: 549300Z8X84XIDB6JE13 | Long             | ABS-MBS          | CORP              | US        |   3062000 | PA      | $1996503.00   | 0.10%             | 2031-07-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| COMM 2015-DC1 Mortgage Trust                                                      | COMM 2015-DC1 Mortgage Trust                                                      | CUSIP: 12629NAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19826884 | PA      | $298119.01    | 0.01%             | 2048-02-12      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9129275 | PA      | $8288475.73   | 0.41%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance II Limited                                              | Sapphire Aviation Finance II Limited                                              | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7466307 | PA      | $5682247.78   | 0.28%             | 2027-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Shackleton 2015-VIII CLO LTD                                                      | Shackleton 2015-VIII CLO LTD                                                      | CUSIP: 81883AAL3<br>LEI: 549300NCJRO2LKFZ8G86 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1963064.00   | 0.10%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128MJW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3137990 | PA      | $2835254.65   | 0.14%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132DNAE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  11716288 | PA      | $10379205.38  | 0.51%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Trinity Rail Leasing 2010 LLC                                                     | Trinity Rail Leasing 2010 LLC                                                     | CUSIP: 89656CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3315982 | PA      | $3205758.44   | 0.16%             | 2031-01-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Volt XCVI, LLC                                                                    | Volt XCVI, LLC                                                                    | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5751311 | PA      | $5195088.67   | 0.25%             | 2024-02-26      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38381HMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  80296513 | PA      | $3617261.54   | 0.18%             | 2063-11-16      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust 2007-1                                               | MASTR Alternative Loan Trust 2007-1                                               | CUSIP: 55275SAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2642104 | PA      | $964791.30    | 0.05%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed Certificates WMABS Series 2006-HE5 Trust           | Washington Mutual Asset-Backed Certificates WMABS Series 2006-HE5 Trust           | CUSIP: 93934XAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55730 | PA      | $18383.37     | 0.00%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-B33                                                                     | CSMC 2021-B33                                                                     | CUSIP: 12658WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3482000 | PA      | $2732372.76   | 0.13%             | 2031-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| ME Funding LLC 2019-1                                                             | ME Funding LLC 2019-1                                                             | CUSIP: 55282GAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6305000 | PA      | $6114497.58   | 0.30%             | 2024-07-30      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                                            | Taco Bell Funding, LLC                                                            | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4950000 | PA      | $4145074.56   | 0.20%             | 2027-02-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Acceptance Corp.                              | Credit Suisse First Boston Mortgage Acceptance Corp.                              | CUSIP: 2254W0PC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5554926 | PA      | $3133093.99   | 0.15%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FS Rialto 2021-FL2 Issuer, Ltd.                                                   | FS Rialto 2021-FL2 Issuer, Ltd.                                                   | CUSIP: 30319YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3500000 | PA      | $3323715.50   | 0.16%             | 2038-05-18      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2019-C54                                    | Wells Fargo Commercial Mortgage Trust 2019-C54                                    | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  37177799 | PA      | $1561895.11   | 0.08%             | 2052-12-17      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Willis Engine Structured Trust IV                                                 | Willis Engine Structured Trust IV                                                 | CUSIP: 97064EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1495104 | PA      | $1173254.32   | 0.06%             | 2026-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd                                                            | HalseyPoint CLO I, Ltd                                                            | CUSIP: 406375AC9<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2913534.00   | 0.14%             | 2033-01-20      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Hayfin Kingsland VIII Ltd                                                         | Hayfin Kingsland VIII Ltd                                                         | CUSIP: 42086PAC7<br>LEI: 549300XUB7O56T8A7081 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1966750.00   | 0.10%             | 2031-04-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| JNL Government Money Market Fund                                                  | JNL Government Money Market Fund                                                  | CUSIP: 46628D437<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  38251391 | NS      | $38251390.91  | 1.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18                       | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18                       | CUSIP: 61763XAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1348892.70   | 0.07%             | 2024-09-17      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                       | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                       | CUSIP: 61766LBT5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18286012 | PA      | $490503.99    | 0.02%             | 2049-01-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Nassau 2018-I Ltd.                                                                | Nassau 2018-I Ltd.                                                                | CUSIP: 63170MAA1<br>LEI: 5493003RNMF4L18JF715 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1946608.00   | 0.10%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust 2018-FL1                             | Natixis Commercial Mortgage Securities Trust 2018-FL1                             | CUSIP: 63874MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1178687 | PA      | $1144014.51   | 0.06%             | 2035-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust 2020-RPL1                                     | New Residential Mortgage Loan Trust 2020-RPL1                                     | CUSIP: 64828XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5300000 | PA      | $3946511.97   | 0.19%             | 2059-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-B33                                                                     | CSMC 2021-B33                                                                     | CUSIP: 12658WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    977000 | PA      | $838005.63    | 0.04%             | 2031-10-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-SPT1 Trust                                                              | CSMC 2020-SPT1 Trust                                                              | CUSIP: 12659LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $5721854.60   | 0.28%             | 2024-07-25      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418DXL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14443414 | PA      | $12339293.12  | 0.61%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                                                    | FirstKey Homes 2020-SFR1 Trust                                                    | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5100000 | PA      | $4554697.80   | 0.22%             | 2025-09-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2016-GS3                                             | GS Mortgage Securities Trust 2016-GS3                                             | CUSIP: 36251PAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23582783 | PA      | $799281.83    | 0.04%             | 2049-10-13      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                        | GS Mortgage Securities Corp Trust 2018-TWR                                        | CUSIP: 36251SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $862284.60    | 0.04%             | 2031-07-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-JR2 Trust                                                               | CSMC 2021-JR2 Trust                                                               | CUSIP: 12659NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7252376 | PA      | $6610378.95   | 0.32%             | 2024-09-25      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| CVP CLO 2017-2 Ltd                                                                | CVP CLO 2017-2 Ltd                                                                | CUSIP: 12662CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1970316.00   | 0.10%             | 2031-01-21      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust 2006-OA1                                                  | GSR Mortgage Loan Trust 2006-OA1                                                  | CUSIP: 362631AF0<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-MBS          | CORP              | US        |  12564100 | PA      | $1889264.93   | 0.09%             | 2046-08-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007 S7 Trust                                                        | RFMSI Series 2007 S7 Trust                                                        | CUSIP: 76200RAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075282 | PA      | $833457.19    | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2005-43                                                    | Alternative Loan Trust 2005-43                                                    | CUSIP: 12667GLC5<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   1882593 | PA      | $1593776.96   | 0.08%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38382LR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  43921599 | PA      | $5662622.94   | 0.28%             | 2050-12-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Benchmark 2020-B19 Mortgage Trust                                                 | Benchmark 2020-B19 Mortgage Trust                                                 | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  36311236 | PA      | $2777515.44   | 0.14%             | 2053-09-17      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140J93H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7281598 | PA      | $6547887.28   | 0.32%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust 2007-NC1                               | HSI Asset Securitization Corporation Trust 2007-NC1                               | CUSIP: 40430TAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9761658 | PA      | $5941717.25   | 0.29%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding 2013-2 Ltd.                                         | Halcyon Loan Advisors Funding 2013-2 Ltd.                                         | CUSIP: 40537YAN3<br>LEI: 5493007BSG4LRQVLD578 | Long             | ABS-CBDO         | CORP              | KY        |    534550 | PA      | $427639.78    | 0.02%             | 2025-08-01      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140LC2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  26578766 | PA      | $19905201.82  | 0.98%             | 2046-09-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  13933456 | PA      | $12529488.51  | 0.61%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NP SPE II LLC                                                                     | NP SPE II LLC                                                                     | CUSIP: 62954JAB0<br>LEI: 549300M4DFCB4G0UM882 | Long             | ABS-CBDO         | CORP              | US        |   7500000 | PA      | $6235314.75   | 0.31%             | 2026-09-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| PMT Issuer Trust - FMSR                                                           | PMT Issuer Trust - FMSR                                                           | CUSIP: 69346MAD1<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1852447.60   | 0.09%             | 2026-03-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust 2006-AR1                                | First Horizon Mortgage Pass-Through Trust 2006-AR1                                | CUSIP: 32051G2W4<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |   2652702 | PA      | $1269804.00   | 0.06%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Global SC Finance VI SRL                                                          | Global SC Finance VI SRL                                                          | CUSIP: 37959PAA5<br>LEI: 549300NP8065N4YHMG91 | Long             | ABS-CBDO         | CORP              | US        |   1500261 | PA      | $1327421.25   | 0.07%             | 2040-10-17      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK Mortgage Trust                                                     | MRCD 2019-PARK Mortgage Trust                                                     | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1018000 | PA      | $854330.13    | 0.04%             | 2024-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK Mortgage Trust                                                     | MRCD 2019-PARK Mortgage Trust                                                     | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4267000 | PA      | $3417845.67   | 0.17%             | 2024-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XVIII, Ltd.                                                  | Madison Park Funding XVIII, Ltd.                                                  | CUSIP: 55819BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1356009.00   | 0.07%             | 2030-10-21      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                                               | MidOcean Credit CLO                                                               | CUSIP: 59802MAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2447172.50   | 0.12%             | 2031-07-21      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| NLY 2019-FL2 Issuer Ltd.                                                          | NLY 2019-FL2 Issuer Ltd.                                                          | CUSIP: 629167AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3371000 | PA      | $3355323.84   | 0.16%             | 2023-01-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                                  | RBSGC Mortgage Loan Trust 2007-B                                                  | CUSIP: 74927XBA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2606917 | PA      | $243599.72    | 0.01%             | 2037-01-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2006-S6 Trust                                                        | RFMSI Series 2006-S6 Trust                                                        | CUSIP: 74957VAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191499 | PA      | $156571.70    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Limited                                             | Shenton Aircraft Investment I Limited                                             | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-CBDO         | CORP              | KY        |   7139799 | PA      | $5342632.99   | 0.26%             | 2027-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Sofi Professional Loan Program 2017-F LLC                                         | Sofi Professional Loan Program 2017-F LLC                                         | CUSIP: 83401BAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8000000 | PA      | $6766848.80   | 0.33%             | 2027-05-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust 2020-1                                                      | Toorak Mortgage Trust 2020-1                                                      | CUSIP: 89052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5100000 | PA      | $4804337.19   | 0.24%             | 2023-03-25      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust 2014-C25                                          | WFRBS Commercial Mortgage Trust 2014-C25                                          | CUSIP: 92939LAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  23127533 | PA      | $263612.24    | 0.01%             | 2047-11-18      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2007-AR8                                            | Citigroup Mortgage Loan Trust 2007-AR8                                            | CUSIP: 17313FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1493988 | PA      | $1244063.15   | 0.06%             | 2047-07-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2014-GC21                                     | Citigroup Commercial Mortgage Trust 2014-GC21                                     | CUSIP: 17322MBB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20331099 | PA      | $223613.62    | 0.01%             | 2047-05-10      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-GC36                                     | Citigroup Commercial Mortgage Trust 2016-GC36                                     | CUSIP: 17324TAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  19424720 | PA      | $573792.63    | 0.03%             | 2049-02-12      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                                      | GS Mortgage Securities Corp.                                                      | CUSIP: 362334QE7<br>LEI: CU46ESEFJB81SUVBJO28 | Long             | ABS-CBDO         | CORP              | US        |   4010116 | PA      | $1545907.35   | 0.08%             | 2046-03-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC34                                            | GS Mortgage Securities Trust 2015-GC34                                            | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-CBDO         | CORP              | US        |  21160555 | PA      | $567375.84    | 0.03%             | 2048-10-13      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS7                                             | GS Mortgage Securities Trust 2017-GS7                                             | CUSIP: 36254CAX8<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-CBDO         | CORP              | US        |  32530070 | PA      | $1215778.83   | 0.06%             | 2050-08-12      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140X8GW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  24625904 | PA      | $21203851.68  | 1.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140X8QX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12148789 | PA      | $9986459.95   | 0.49%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418BL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    932904 | PA      | $854620.47    | 0.04%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418CAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5361355 | PA      | $4762492.93   | 0.23%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1870687 | PA      | $1682192.65   | 0.08%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                             | Treasury, United States Department of                                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100000000 | PA      | $71875000.00  | 3.52%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust 2020-2                                               | Upstart Securitization Trust 2020-2                                               | CUSIP: 91680CAA7<br>LEI: 549300PN2KS41LBX8D66 | Long             | ABS-CBDO         | CORP              | US        |    629249 | PA      | $615451.27    | 0.03%             | 2030-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust 2021-4                                               | Upstart Securitization Trust 2021-4                                               | CUSIP: 91682NAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5250000 | PA      | $4700772.30   | 0.23%             | 2031-09-20      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA3 Trust                                       | Wells Fargo Alternative Loan 2007-PA3 Trust                                       | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1151308 | PA      | $888375.21    | 0.04%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-LC20                                   | Wells Fargo Commercial Mortgage Trust 2015-LC20                                   | CUSIP: 94989EAL1<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |   2386000 | PA      | $2150948.70   | 0.11%             | 2025-03-17      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-C31                                    | Wells Fargo Commercial Mortgage Trust 2015-C31                                    | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1850000 | PA      | $1635362.63   | 0.08%             | 2025-11-18      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| COMM 2013-CCRE12 Mortgage Trust                                                   | COMM 2013-CCRE12 Mortgage Trust                                                   | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-CBDO         | CORP              | US        |  27993472 | PA      | $149345.17    | 0.01%             | 2046-10-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE19 Mortgage Trust                                                   | COMM 2014-CCRE19 Mortgage Trust                                                   | CUSIP: 12592GBJ1<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | ABS-MBS          | CORP              | US        |   1163000 | PA      | $1080189.28   | 0.05%             | 2024-08-12      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COMM 2014-CCRE17 Mortgage Trust                                                   | COMM 2014-CCRE17 Mortgage Trust                                                   | CUSIP: 12631DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  26691760 | PA      | $232776.17    | 0.01%             | 2047-05-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C4 Commercial Mortgage Trust                                           | CSAIL 2015-C4 Commercial Mortgage Trust                                           | CUSIP: 12635RBD9<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |   1911000 | PA      | $1723959.16   | 0.08%             | 2025-11-18      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd                                                                | CAL Funding IV Ltd                                                                | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2426250 | PA      | $2143286.28   | 0.11%             | 2028-03-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro CLO 2016-1 Designated Activity Company      | Carlyle Global Market Strategies Euro CLO 2016-1 Designated Activity Company      | CUSIP: 14312HAU0<br>LEI: 549300N3CJKPCWZ7KX23 | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1946714.00   | 0.10%             | 2034-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Gulf Stream Meridian 4 Ltd                                                        | Gulf Stream Meridian 4 Ltd                                                        | CUSIP: 402562AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2500000 | PA      | $2441532.50   | 0.12%             | 2034-07-17      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                             | Home Partners of America 2018-1 Trust                                             | CUSIP: 437300AJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1042199 | PA      | $806171.30    | 0.04%             | 2029-09-19      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                             | Home Partners of America 2018-1 Trust                                             | CUSIP: 437300AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200320 | PA      | $916342.83    | 0.04%             | 2029-09-19      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer, LLC                                                  | Aligned Data Centers Issuer, LLC                                                  | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5000000 | PA      | $4258913.00   | 0.21%             | 2026-08-17      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-3T1                                                   | Alternative Loan Trust 2007-3T1                                                   | CUSIP: 02149VAF6<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |  11131458 | PA      | $5717527.71   | 0.28%             | 2037-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132FCDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10310559 | PA      | $9354520.32   | 0.46%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3133KJ3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13739895 | PA      | $11727529.52  | 0.58%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust 2016-JP2                               | JPMCC Commercial Mortgage Securities Trust 2016-JP2                               | CUSIP: 46590MAW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5081000 | PA      | $4285911.91   | 0.21%             | 2026-07-17      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Trust 2006-WMC4                                    | JP Morgan Mortgage Acquisition Trust 2006-WMC4                                    | CUSIP: 46630BAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  21760596 | PA      | $10879601.76  | 0.53%             | 2036-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137BP6M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10196472 | PA      | $9564007.32   | 0.47%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  67988522 | PA      | $3613100.42   | 0.18%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Jp Morgan Resecuritization Trust Series 2009-10                                   | Jp Morgan Resecuritization Trust Series 2009-10                                   | CUSIP: 46634ABH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1164200 | PA      | $1141113.52   | 0.06%             | 2037-03-26      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2007-12                                        | Morgan Stanley Mortgage Loan Trust 2007-12                                        | CUSIP: 61755GBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1110132 | PA      | $488351.38    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38380RM64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  11316416 | PA      | $716879.11    | 0.04%             | 2063-04-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38381HKJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  29525156 | PA      | $1709633.47   | 0.08%             | 2064-06-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                       | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30                       | CUSIP: 61766NBC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16798508 | PA      | $615537.65    | 0.03%             | 2049-09-17      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR5 Trust                                              | Progress Residential 2021-SFR5 Trust                                              | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15840000 | PA      | $13342800.24  | 0.65%             | 2026-07-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Starm Mortgage Loan Trust 2007-2                                                  | Starm Mortgage Loan Trust 2007-2                                                  | CUSIP: 78473TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    446747 | PA      | $228646.65    | 0.01%             | 2037-04-25      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-P2                                     | Wells Fargo Commercial Mortgage Trust 2015-P2                                     | CUSIP: 95000AAX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17615636 | PA      | $382516.49    | 0.02%             | 2048-12-17      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-RC1                                    | Wells Fargo Commercial Mortgage Trust 2017-RC1                                    | CUSIP: 95001FBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  16136523 | PA      | $735701.19    | 0.04%             | 2060-01-16      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C55                                    | Wells Fargo Commercial Mortgage Trust 2020-C55                                    | CUSIP: 95002EBF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  58458561 | PA      | $3737939.79   | 0.18%             | 2053-02-18      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust 2018-CBM                                                              | BBCMS Trust 2018-CBM                                                              | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1599000 | PA      | $1533071.95   | 0.08%             | 2037-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C10                                                     | BBCMS Mortgage Trust 2021-C10                                                     | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  22752121 | PA      | $1637467.88   | 0.08%             | 2054-07-17      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                        | GS Mortgage Securities Corp Trust 2018-TWR                                        | CUSIP: 36251SAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $842566.00    | 0.04%             | 2031-07-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2019-GC38                                            | GS Mortgage Securities Trust 2019-GC38                                            | CUSIP: 36252SAX5<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-CBDO         | CORP              | US        |  43284949 | PA      | $1848007.59   | 0.09%             | 2052-02-12      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2014-GC24                                            | GS Mortgage Securities Trust 2014-GC24                                            | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  37577147 | PA      | $341809.24    | 0.02%             | 2047-09-12      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38381ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  38784856 | PA      | $2101914.26   | 0.10%             | 2061-12-16      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association Guaranteed REMIC Pass-Through Securities | Government National Mortgage Association Guaranteed REMIC Pass-Through Securities | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  32595685 | PA      | $4325682.14   | 0.21%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-L3                                            | Morgan Stanley Capital I Trust 2019-L3                                            | CUSIP: 61691UBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3847000 | PA      | $3337361.75   | 0.16%             | 2029-11-16      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140LEY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $8010783.00   | 0.39%             | 2032-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  19152858 | PA      | $16932687.10  | 0.83%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137A4T98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   5966268 | PA      | $589211.92    | 0.03%             | 2040-12-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1953257 | PA      | $1807662.93   | 0.09%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MED Trust 2021-MDLN                                                               | MED Trust 2021-MDLN                                                               | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4422000 | PA      | $3997509.67   | 0.20%             | 2023-11-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| MP CLO VIII Ltd                                                                   | MP CLO VIII Ltd                                                                   | CUSIP: 62481WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1500000 | PA      | $1445178.00   | 0.07%             | 2034-04-28      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXIII                                                             | Sound Point CLO XXIII                                                             | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1927058.00   | 0.09%             | 2034-07-17      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO  Ltd                                                                | Jamestown CLO  Ltd                                                                | CUSIP: 47047LAC3<br>LEI: 254900G01W2J355PT310 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $967244.00    | 0.05%             | 2030-04-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2019-COR6                              | JPMDB Commercial Mortgage Securities Trust 2019-COR6                              | CUSIP: 48129RAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4415000 | PA      | $3805718.96   | 0.19%             | 2029-11-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| PR Mortgage Loan Trust                                                            | PR Mortgage Loan Trust                                                            | CUSIP: 69358KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5814666 | PA      | $5199986.18   | 0.26%             | 2047-09-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-9, LLC                                                                  | PRPM 2021-9, LLC                                                                  | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3413302 | PA      | $3091716.64   | 0.15%             | 2024-10-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO Ltd 2016-1                                 | Park Avenue Institutional Advisers CLO Ltd 2016-1                                 | CUSIP: 700162AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2453675.00   | 0.12%             | 2031-08-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR3 Trust                                              | Progress Residential 2021-SFR3 Trust                                              | CUSIP: 74333VAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8500000 | PA      | $7124598.00   | 0.35%             | 2026-05-19      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Volt XCII, LLC                                                                    | Volt XCII, LLC                                                                    | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6802763 | PA      | $5823579.00   | 0.29%             | 2024-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Issuer, LLC                                                  | Vantage Data Centers Issuer, LLC                                                  | CUSIP: 92211MAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4556042 | PA      | $4546754.28   | 0.22%             | 2023-11-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust 2021-2                                        | Starwood Mortgage Residential Trust 2021-2                                        | CUSIP: 85573HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5537000 | PA      | $4192939.76   | 0.21%             | 2023-05-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| STEELE CREEK CLO 2016-1 LTD                                                       | STEELE CREEK CLO 2016-1 LTD                                                       | CUSIP: 858102AX4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1955246.00   | 0.10%             | 2031-06-16      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140XEB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   8038777 | PA      | $7344113.28   | 0.36%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BBCMS 2017-DELC Mortgage Trust                                                    | BBCMS 2017-DELC Mortgage Trust                                                    | CUSIP: 05552EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1660000 | PA      | $1610293.62   | 0.08%             | 2036-08-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Commonbond Student Loan Trust 2018-B-GS                                           | Commonbond Student Loan Trust 2018-B-GS                                           | CUSIP: 20268MAD8<br>LEI: 549300EJIXF1G1X7PN20 | Long             | ABS-CBDO         | CORP              | US        |     90284 | PA      | $80836.76     | 0.00%             | 2028-08-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   9052968 | PA      | $8417775.11   | 0.41%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust 2007-B                                                  | RBSGC Mortgage Loan Trust 2007-B                                                  | CUSIP: 74927XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2606917 | PA      | $858724.76    | 0.04%             | 2036-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S4 Trust                                                        | RFMSI Series 2007-S4 Trust                                                        | CUSIP: 74958YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802544 | PA      | $644497.04    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A6                                    | Residential Asset Securitization Trust 2006-A6                                    | CUSIP: 76113FBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2640878 | PA      | $1449625.74   | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Securities (USA) LLC                                                | Credit Suisse Securities (USA) LLC                                                | CUSIP: 225470AB9<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | CORP              | US        |   4001489 | PA      | $1375912.82   | 0.07%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AHR44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14416006 | PA      | $13761772.76  | 0.67%             | 2044-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XXXIX                                                                  | Apidos CLO XXXIX                                                                  | CUSIP: 03766HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1969516.00   | 0.10%             | 2035-04-23      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ABFC 2007-WMC1 Trust                                                              | ABFC 2007-WMC1 Trust                                                              | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3633191 | PA      | $2395301.99   | 0.12%             | 2037-06-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust    | CUSIP: 93934NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1048012 | PA      | $790652.24    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-LC20                                   | Wells Fargo Commercial Mortgage Trust 2015-LC20                                   | CUSIP: 94989EAH0<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-CBDO         | CORP              | US        |  19858544 | PA      | $361510.90    | 0.02%             | 2050-04-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Loan Trust, 2007-A                                                 | RBSGC Mortgage Loan Trust, 2007-A                                                 | CUSIP: 74927WAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2627888 | PA      | $2390923.74   | 0.12%             | 2037-01-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| RFMSI Series 2007-S2 Trust                                                        | RFMSI Series 2007-S2 Trust                                                        | CUSIP: 749583AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    539736 | PA      | $425882.80    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                             | Wells Fargo & Company                                                             | CUSIP: 95000DBK6<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |   1937000 | PA      | $1706518.31   | 0.08%             | 2026-04-17      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2006-16AX                                      | Morgan Stanley Mortgage Loan Trust 2006-16AX                                      | CUSIP: 61749KAE3<br>LEI: 549300RLSHIMYD3FZB52 | Long             | ABS-CBDO         | CORP              | US        |  18394605 | PA      | $6560270.38   | 0.32%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loan Trust 2020-1                                                    | Mosaic Solar Loan Trust 2020-1                                                    | CUSIP: 61946NAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1908441 | PA      | $1625535.45   | 0.08%             | 2032-11-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Rali Series 2006-Qs5 Trust                                                        | Rali Series 2006-Qs5 Trust                                                        | CUSIP: 75114TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1676508 | PA      | $1324509.37   | 0.06%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                             | Treasury, United States Department of                                             | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 235000000 | PA      | $194535937.50 | 9.54%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities I LLC                                        | Bear Stearns Asset Backed Securities I LLC                                        | CUSIP: 07387UGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353320 | PA      | $342887.52    | 0.02%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benchmark 2021-B29 Mortgage Trust                                                 | Benchmark 2021-B29 Mortgage Trust                                                 | CUSIP: 08163JAH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  38734000 | PA      | $1817132.02   | 0.09%             | 2054-09-17      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137B4X27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1995126 | PA      | $1946691.72   | 0.10%             | 2032-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137B7AC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |   2169453 | PA      | $211334.20    | 0.01%             | 2054-01-15      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO 2014-2 Ltd                                                       | BlueMountain CLO 2014-2 Ltd                                                       | CUSIP: 09626QBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2863845.00   | 0.14%             | 2030-10-21      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132JMEK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3200557 | PA      | $2905788.59   | 0.14%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15956385 | PA      | $13555153.06  | 0.66%             | 2040-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                        | GS Mortgage Securities Corp Trust 2018-TWR                                        | CUSIP: 36251SAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $822830.20    | 0.04%             | 2031-07-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp Trust 2018-TWR                                        | GS Mortgage Securities Corp Trust 2018-TWR                                        | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $783328.50    | 0.04%             | 2031-07-15      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GS1                                             | GS Mortgage Securities Trust 2015-GS1                                             | CUSIP: 36252AAE6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-CBDO         | CORP              | US        |  32408096 | PA      | $589665.31    | 0.03%             | 2048-11-13      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Treasury, United States Department of                                             | Treasury, United States Department of                                             | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7100000 | PA      | $7242000.00   | 0.36%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust    | CUSIP: 93936HAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1041784 | PA      | $1017467.83   | 0.05%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140J7XW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   2477980 | PA      | $2372684.94   | 0.12%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM, LLC                                                                         | PRPM, LLC                                                                         | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1136392 | PA      | $1030757.66   | 0.05%             | 2024-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136A0A49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    381892 | PA      | $1297.59      | 0.00%             | 2040-01-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136A4UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    834131 | PA      | $796632.64    | 0.04%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2020-GC45                                            | GS Mortgage Securities Trust 2020-GC45                                            | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  48700864 | PA      | $1582339.76   | 0.08%             | 2053-02-14      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Master Asset Securitization Trust                                                 | Master Asset Securitization Trust                                                 | CUSIP: 57643MMK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2211878 | PA      | $1518252.47   | 0.07%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PRET 2021-NPL5 LLC                                                                | PRET 2021-NPL5 LLC                                                                | CUSIP: 74143KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  11515925 | PA      | $10113999.30  | 0.50%             | 2024-10-25      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Primose Funding LLC                                                               | Primose Funding LLC                                                               | CUSIP: 74166YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9700000 | PA      | $8831597.80   | 0.43%             | 2026-07-30      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Comm 2016-DC2 Mortgage Trust                                                      | Comm 2016-DC2 Mortgage Trust                                                      | CUSIP: 12594CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340000 | PA      | $1200413.94   | 0.06%             | 2026-02-12      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132L7N21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   9131813 | PA      | $8527541.21   | 0.42%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential 2021-SFR8 Trust                                              | Progress Residential 2021-SFR8 Trust                                              | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5100000 | PA      | $4195516.02   | 0.21%             | 2026-10-19      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| RALI Series 2006-QS4 Trust                                                        | RALI Series 2006-QS4 Trust                                                        | CUSIP: 749228AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1561714 | PA      | $1205685.35   | 0.06%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol II Issuer, LLC                                                        | Sunnova Sol II Issuer, LLC                                                        | CUSIP: 86745PAA1<br>LEI: 549300JK1Y1VVC3JU540 | Long             | ABS-CBDO         | CORP              | US        |   7165765 | PA      | $5677690.65   | 0.28%             | 2030-10-30      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust 2015-SBC5                                     | Waterfall Commercial Mortgage Trust 2015-SBC5                                     | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1443549 | PA      | $1420519.50   | 0.07%             | 2026-01-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO 2018-2, LLC                                                         | Wellfleet CLO 2018-2, LLC                                                         | CUSIP: 94949JAA3<br>LEI: 254900QO5AI38SSR4719 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1942336.00   | 0.10%             | 2031-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3133KKVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7603536 | PA      | $6502979.07   | 0.32%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136A5JE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    805751 | PA      | $769929.96    | 0.04%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust 2019-G                                                   | Ajax Mortgage Loan Trust 2019-G                                                   | CUSIP: 00969VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5377112 | PA      | $5529148.33   | 0.27%             | 2059-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AED46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1591481 | PA      | $1482574.33   | 0.07%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AQZR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1987370 | PA      | $1913280.90   | 0.09%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer, LLC                                                  | Aligned Data Centers Issuer, LLC                                                  | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3293991.20   | 0.16%             | 2026-08-17      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-15CB                                                  | Alternative Loan Trust 2006-15CB                                                  | CUSIP: 02147RAG5<br>LEI: 5493008WNOU8I3M5WW38 | Long             | ABS-MBS          | CORP              | US        |   1202378 | PA      | $1107989.87   | 0.05%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 2018-10, Ltd.                                               | Anchorage Capital CLO 2018-10, Ltd.                                               | CUSIP: 03331JAA0<br>LEI: 549300PXQERPW8QV9145 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1973230.00   | 0.10%             | 2031-10-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38378DY25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144759 | PA      | $1088783.39   | 0.05%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AT5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1382720 | PA      | $1334381.37   | 0.07%             | 2044-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AVJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10959534 | PA      | $10358784.31  | 0.51%             | 2047-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  56346997 | PA      | $3611025.50   | 0.18%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136B1VR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |   7578251 | PA      | $604224.55    | 0.03%             | 2042-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136B9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |  40213647 | PA      | $2253062.06   | 0.11%             | 2031-09-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31398SPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |    198820 | PA      | $1982.55      | 0.00%             | 2025-12-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                        | Great Wolf Trust 2019-WOLF                                                        | CUSIP: 39152TAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3908000 | PA      | $3698349.87   | 0.18%             | 2036-12-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| IndyMac MBS, Inc.                                                                 | IndyMac MBS, Inc.                                                                 | CUSIP: 45660LSU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7157890 | PA      | $4322268.78   | 0.21%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C33                               | JPMBB Commercial Mortgage Securities Trust 2015-C33                               | CUSIP: 46645JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2224000 | PA      | $1961169.24   | 0.10%             | 2025-11-18      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                   | CUSIP: 46645WBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2666000 | PA      | $2314539.35   | 0.11%             | 2023-07-07      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program 2021-1 Trust                                           | SoFi Consumer Loan Program 2021-1 Trust                                           | CUSIP: 83406GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3330495 | PA      | $3311424.30   | 0.16%             | 2030-05-25      | Fixed         | 9.72%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-3                                     | Structured Asset Investment Loan Trust 2006-3                                     | CUSIP: 863587AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5324705 | PA      | $3223929.97   | 0.16%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO 2019-1, Ltd                                                      | Steele Creek CLO 2019-1, Ltd                                                      | CUSIP: 85817BAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $942431.00    | 0.05%             | 2032-04-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                           | Structured Asset Securities Corporation                                           | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5427008 | PA      | $3263878.70   | 0.16%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust 2017-A                                                         | Aqua Finance Trust 2017-A                                                         | CUSIP: 03837PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    714297 | PA      | $703628.09    | 0.03%             | 2024-10-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BBCMS 2017-DELC Mortgage Trust                                                    | BBCMS 2017-DELC Mortgage Trust                                                    | CUSIP: 05552EAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1653000 | PA      | $1588383.73   | 0.08%             | 2036-08-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AEUQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    189629 | PA      | $166622.93    | 0.01%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AQQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  11975903 | PA      | $11103633.56  | 0.54%             | 2045-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136BLQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  20189224 | PA      | $18381496.73  | 0.90%             | 2030-05-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136BMNV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   7842690 | PA      | $6060341.23   | 0.30%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO 2018-9, Ltd.                                                        | Elevation CLO 2018-9, Ltd.                                                        | CUSIP: 28622XAA4<br>LEI: 549300BOE42FYBAXFR86 | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2445260.00   | 0.12%             | 2031-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38381DUB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  81724044 | PA      | $6027082.89   | 0.30%             | 2063-06-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137BEXP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  58576296 | PA      | $56243653.53  | 2.76%             | 2044-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137BLFY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    514725 | PA      | $398862.66    | 0.02%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    888296 | PA      | $798789.34    | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3138YJJY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3643324 | PA      | $3418531.40   | 0.17%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2016-C2                                | JPMDB Commercial Mortgage Securities Trust 2016-C2                                | CUSIP: 46590LAV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  18377694 | PA      | $667556.86    | 0.03%             | 2049-06-17      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-4                                     | Structured Asset Investment Loan Trust 2006-4                                     | CUSIP: 86360WAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20500000 | PA      | $6013636.05   | 0.29%             | 2036-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| AMSR 2019-SFR1 Trust                                                              | AMSR 2019-SFR1 Trust                                                              | CUSIP: 00178XAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3300000 | PA      | $2800376.70   | 0.14%             | 2027-01-20      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Rate Adjustable Mortgage Trust                                                    | Rate Adjustable Mortgage Trust                                                    | CUSIP: 007036KH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3338005 | PA      | $2785058.69   | 0.14%             | 2035-08-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust                                                            | CUSIP: 02147QAR3<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   1499845 | PA      | $901190.35    | 0.04%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2006-18                                           | CHL Mortgage Pass-Through Trust 2006-18                                           | CUSIP: 12544ABL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2118574 | PA      | $1149741.05   | 0.06%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Dryden 53 CLO Ltd., Series 2017-53A                                               | Dryden 53 CLO Ltd., Series 2017-53A                                               | CUSIP: 26243EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $963742.00    | 0.05%             | 2031-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Hospitality Investors Trust, Inc.                                                 | Hospitality Investors Trust, Inc.                                                 | CUSIP: 40443RAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2656919 | PA      | $2489644.47   | 0.12%             | 2036-11-17      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| Ixis Real Estate Capital Trust 2006-HE1                                           | Ixis Real Estate Capital Trust 2006-HE1                                           | CUSIP: 45071KDE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4391158 | PA      | $2260894.29   | 0.11%             | 2036-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CSAIL 2019-C16 Commercial Mortgage Trust                                          | CSAIL 2019-C16 Commercial Mortgage Trust                                          | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8920800 | PA      | $630266.09    | 0.03%             | 2052-06-17      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| CSAIL 2015-C1 Commercial Mortgage Trust                                           | CSAIL 2015-C1 Commercial Mortgage Trust                                           | CUSIP: 126281BB9<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-CBDO         | CORP              | US        |  17671875 | PA      | $218597.56    | 0.01%             | 2050-04-15      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-2                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-2                       | CUSIP: 25152BAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10842762 | PA      | $8973649.00   | 0.44%             | 2047-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust 2016-P3                                       | Citigroup Commercial Mortgage Trust 2016-P3                                       | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14818035 | PA      | $533821.20    | 0.03%             | 2049-04-16      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust                                                             | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10500000 | PA      | $8662714.20   | 0.42%             | 2026-07-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AJHE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3853889 | PA      | $3396397.36   | 0.17%             | 2041-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                                | BX Trust 2019-OC11                                                                | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4941000 | PA      | $3733282.24   | 0.18%             | 2029-12-11      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AQ5N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |     86575 | PA      | $85996.02     | 0.00%             | 2043-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137AT2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8200000 | PA      | $7521094.12   | 0.37%             | 2032-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2021-XL2                                             | BX Commercial Mortgage Trust 2021-XL2                                             | CUSIP: 05609KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4132222 | PA      | $3884610.20   | 0.19%             | 2023-10-16      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Bravo Residential Funding Trust 2021-A                                            | Bravo Residential Funding Trust 2021-A                                            | CUSIP: 105693AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7854718 | PA      | $7221804.75   | 0.35%             | 2024-01-25      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137AX2D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8911197 | PA      | $7634153.96   | 0.37%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137AXTB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   3278534 | PA      | $2271983.21   | 0.11%             | 2043-01-15      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| CMALT (Citimortgage Alternative Loan Trust), Series 2007-A5                       | CMALT (Citimortgage Alternative Loan Trust), Series 2007-A5                       | CUSIP: 12566WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920720 | PA      | $834490.62    | 0.04%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Comm 2015-Ccre26 Mortgage Trust                                                   | Comm 2015-Ccre26 Mortgage Trust                                                   | CUSIP: 12593QBF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  25268307 | PA      | $484140.77    | 0.02%             | 2048-10-13      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137B34E5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  10000000 | PA      | $9072683.00   | 0.44%             | 2033-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137B4HG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4787936.00   | 0.23%             | 2033-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comm 2016-DC2 Mortgage Trust                                                      | Comm 2016-DC2 Mortgage Trust                                                      | CUSIP: 12594CBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14833349 | PA      | $340644.90    | 0.02%             | 2049-02-12      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-6, LLC                                                                  | PRPM 2021-6, LLC                                                                  | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10201764 | PA      | $9137889.33   | 0.45%             | 2024-07-25      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137B4J49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   6199000 | PA      | $5695896.60   | 0.28%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137BCBR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    777154 | PA      | $765759.46    | 0.04%             | 2041-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-7, LLC                                                                  | PRPM 2021-7, LLC                                                                  | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3611772 | PA      | $3244826.23   | 0.16%             | 2024-08-25      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust 2021-OVA                                                         | SLG Office Trust 2021-OVA                                                         | CUSIP: 78449RAL9<br>LEI: 549300Z8X84XIDB6JE13 | Long             | ABS-MBS          | CORP              | US        |   3062000 | PA      | $2142556.73   | 0.11%             | 2031-07-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38380RUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  18631415 | PA      | $1332541.17   | 0.07%             | 2063-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38383UW71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20044481 | PA      | $16773772.66  | 0.82%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                                              | SOHO Trust 2021-SOHO                                                              | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4623000 | PA      | $3367106.57   | 0.17%             | 2038-08-12      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust 2017-C1                                             | UBS Commercial Mortgage Trust 2017-C1                                             | CUSIP: 90276EAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15217190 | PA      | $771948.28    | 0.04%             | 2050-06-17      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities T                                | J.P. Morgan Chase Commercial Mortgage Securities T                                | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3483784 | PA      | $3222838.63   | 0.16%             | 2037-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2020-COR7                              | JPMDB Commercial Mortgage Securities Trust 2020-COR7                              | CUSIP: 46652JAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  38895996 | PA      | $2907950.23   | 0.14%             | 2053-05-15      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C56                                    | Wells Fargo Commercial Mortgage Trust 2020-C56                                    | CUSIP: 95002RBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  58358183 | PA      | $3820564.32   | 0.19%             | 2053-06-17      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| LHome Mortgage Trust 2021-RTL2                                                    | LHome Mortgage Trust 2021-RTL2                                                    | CUSIP: 501895AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5245248.60   | 0.26%             | 2026-06-25      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust, Series 2006-HE3                           | Merrill Lynch Mortgage Investors Trust, Series 2006-HE3                           | CUSIP: 590212AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  17097035 | PA      | $4404888.60   | 0.22%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31394CCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |   3019852 | PA      | $220812.20    | 0.01%             | 2035-02-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C21                               | JPMBB Commercial Mortgage Securities Trust 2014-C21                               | CUSIP: 46642EBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1841387.40   | 0.09%             | 2024-07-17      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Labrador Aviation Finance Limited                                                 | Labrador Aviation Finance Limited                                                 | CUSIP: 50543LAA0<br>LEI: 549300FTBC83WH0X4750 | Long             | ABS-CBDO         | CORP              | BM        |  12619345 | PA      | $10007292.19  | 0.49%             | 2024-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Capital Inc.                                               | Merrill Lynch Mortgage Capital Inc.                                               | CUSIP: 59020VAS2<br>LEI: L6ZLCV6SY6K01EC4P845 | Long             | ABS-CBDO         | CORP              | US        |  29786631 | PA      | $10788020.83  | 0.53%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| PMT Credit Risk Transfer Trust 2019-3R                                            | PMT Credit Risk Transfer Trust 2019-3R                                            | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672351 | PA      | $646414.98    | 0.03%             | 2024-10-29      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-7 Trust    | CUSIP: 93935HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17769142 | PA      | $5128350.41   | 0.25%             | 2036-09-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2020-C58                                    | Wells Fargo Commercial Mortgage Trust 2020-C58                                    | CUSIP: 95002UBE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  32447412 | PA      | $3177883.29   | 0.16%             | 2053-07-17      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128MJV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5657885 | PA      | $5119117.64   | 0.25%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128MJVE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2592727 | PA      | $2349077.90   | 0.12%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  19233597 | PA      | $17503925.38  | 0.86%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A3                                    | Residential Asset Securitization Trust 2007-A3                                    | CUSIP: 76113WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675428 | PA      | $677064.80    | 0.03%             | 2037-04-25      | Floating      | 12.74%                | No            |                  2 | On Loan: No      |
| Sound Point CLO IV-R, Ltd.                                                        | Sound Point CLO IV-R, Ltd.                                                        | CUSIP: 83609YAC0<br>LEI: 549300PYVBTBHWS9X081 | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2936376.00   | 0.14%             | 2031-04-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust 2005-3XS                           | Structured Adjustable Rate Mortgage Loan Trust 2005-3XS                           | CUSIP: 863579B31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3619521 | PA      | $2967446.52   | 0.15%             | 2035-11-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Sunnova Helios III Issuer, LLC                                                    | Sunnova Helios III Issuer, LLC                                                    | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3653353 | PA      | $3148059.46   | 0.15%             | 2029-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL4 LLC                                                                | VCAT 2021-NPL4 LLC                                                                | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3293336 | PA      | $2932909.20   | 0.14%             | 2024-08-26      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| VOLT XCVII, LLC                                                                   | VOLT XCVII, LLC                                                                   | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1847244 | PA      | $1612876.55   | 0.08%             | 2024-03-25      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| VOLT CV LLC                                                                       | VOLT CV LLC                                                                       | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872053 | PA      | $767910.51    | 0.04%             | 2024-11-25      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA3 Trust                                       | Wells Fargo Alternative Loan 2007-PA3 Trust                                       | CUSIP: 94985GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1195117 | PA      | $1001686.76   | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31398NRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    278590 | PA      | $268780.91    | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   1715056 | PA      | $1542242.98   | 0.08%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  14238170 | PA      | $12957735.50  | 0.64%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 36179RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1381285 | PA      | $1272431.61   | 0.06%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2015-GC34                                            | GS Mortgage Securities Trust 2015-GC34                                            | CUSIP: 36250VAJ1<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |    782000 | PA      | $709833.36    | 0.03%             | 2025-10-10      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| NLY 2019-FL2 Issuer Ltd.                                                          | NLY 2019-FL2 Issuer Ltd.                                                          | CUSIP: 629167AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3371000 | PA      | $3366961.88   | 0.17%             | 2036-02-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust 2020-2PAC                            | Natixis Commercial Mortgage Securities Trust 2020-2PAC                            | CUSIP: 63875DAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4415000 | PA      | $3883938.19   | 0.19%             | 2025-04-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR4      | Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR4      | CUSIP: 65535VSD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410852 | PA      | $289227.70    | 0.01%             | 2036-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust 2011-4R                                             | Nomura Resecuritization Trust 2011-4R                                             | CUSIP: 65539CAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6428609 | PA      | $5466558.41   | 0.27%             | 2041-07-26      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A6                                    | Residential Asset Securitization Trust 2007-A6                                    | CUSIP: 76114CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2896461 | PA      | $684329.39    | 0.03%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO 2018-1 Ltd                                                     | Rockford Tower CLO 2018-1 Ltd                                                     | CUSIP: 77342JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2949660.00   | 0.14%             | 2031-05-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| DBJPM 2016-C1 Mortgage Trust                                                      | DBJPM 2016-C1 Mortgage Trust                                                      | CUSIP: 23312LAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20644697 | PA      | $698292.43    | 0.03%             | 2049-05-12      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| DOLP Trust 2021-NYC                                                               | DOLP Trust 2021-NYC                                                               | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $652978.50    | 0.03%             | 2031-05-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust                                                             | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11300000 | PA      | $9302486.57   | 0.46%             | 2026-10-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128M9VU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   7693394 | PA      | $6984838.73   | 0.34%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136A0R33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGA              | US        |   1028830 | PA      | $110036.51    | 0.01%             | 2041-09-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  17432602 | PA      | $16412734.00  | 0.80%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136BMFV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10265583 | PA      | $7860543.01   | 0.39%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137A4MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGA              | US        |    469996 | PA      | $10059.27     | 0.00%             | 2040-11-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137BF4T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2054979 | PA      | $1922896.89   | 0.09%             | 2044-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137BGG60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |  13601369 | PA      | $11802123.07  | 0.58%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137BMFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   2968000 | PA      | $2785368.51   | 0.14%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137FMES7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   5940556 | PA      | $5500844.41   | 0.27%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3138ELXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |    585427 | PA      | $580224.02    | 0.03%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3138WFF43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   5136716 | PA      | $4782723.59   | 0.23%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust 2019-WOLF                                                        | Great Wolf Trust 2019-WOLF                                                        | CUSIP: 39152TAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3908000 | PA      | $3664224.43   | 0.18%             | 2036-12-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                   | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                   | CUSIP: 46629VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4783228 | PA      | $4149991.53   | 0.20%             | 2034-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2020-COR7                              | JPMDB Commercial Mortgage Securities Trust 2020-COR7                              | CUSIP: 46652JBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4562000 | PA      | $3611469.44   | 0.18%             | 2030-03-15      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates, WaMu Series 200X-HEX Trust                        | WaMu Asset-Backed Certificates, WaMu Series 200X-HEX Trust                        | CUSIP: 542514TT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  14268974 | PA      | $4998077.85   | 0.25%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Short-Term Investments Trust                                                      | Short-Term Investments Trust                                                      | CUSIP: 55358PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2097335 | PA      | $2056749.42   | 0.10%             | 2037-10-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XII                                                                    | Apidos CLO XII                                                                    | CUSIP: 03764DAK7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $939572.00    | 0.05%             | 2031-04-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust 2017-Atrm                                            | Atrium Hotel Portfolio Trust 2017-Atrm                                            | CUSIP: 04965JAJ2<br>LEI: 5493005J860FXWR4WJ55 | Long             | ABS-MBS          | CORP              | US        |   2378000 | PA      | $2105022.01   | 0.10%             | 2036-12-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C9                                                      | BBCMS Mortgage Trust 2021-C9                                                      | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  35748504 | PA      | $3204138.40   | 0.16%             | 2054-02-18      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust 2021-C11                                                     | BBCMS Mortgage Trust 2021-C11                                                     | CUSIP: 05493MAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  43094938 | PA      | $3306519.49   | 0.16%             | 2054-09-17      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| BBCMS 2018-TALL Mortgage Trust                                                    | BBCMS 2018-TALL Mortgage Trust                                                    | CUSIP: 05548WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6125000 | PA      | $3711803.29   | 0.18%             | 2037-03-16      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| COMM 2018-HCLV Mortgage Trust                                                     | COMM 2018-HCLV Mortgage Trust                                                     | CUSIP: 20048KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3070000 | PA      | $2858718.30   | 0.14%             | 2033-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132M3KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    184212 | PA      | $178851.62    | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132M3YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1607444 | PA      | $1560664.74   | 0.08%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3133BHLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8334108 | PA      | $8041132.41   | 0.39%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3136A7XH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  12052989 | PA      | $10915988.62  | 0.54%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137ARCX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     36000 | PA      | $24094.29     | 0.00%             | 2042-06-15      | Floating      | 0.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3137BCT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    106572 | PA      | $106367.81    | 0.01%             | 2040-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38377LAG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    802541 | PA      | $3743.45      | 0.00%             | 2040-03-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Home Partners of America 2018-1 Trust                                             | Home Partners of America 2018-1 Trust                                             | CUSIP: 437300AG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2279210 | PA      | $1782379.43   | 0.09%             | 2029-09-19      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust 2006-AR2                                         | IndyMac INDA Mortgage Loan Trust 2006-AR2                                         | CUSIP: 45661SAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978797 | PA      | $854853.63    | 0.04%             | 2036-09-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2015-C31                               | JPMBB Commercial Mortgage Securities Trust 2015-C31                               | CUSIP: 46590JBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2065000 | PA      | $1463688.73   | 0.07%             | 2025-10-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP                  | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP                  | CUSIP: 46651WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2666000 | PA      | $1749930.14   | 0.09%             | 2026-12-07      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO  Ltd                                                                | Jamestown CLO  Ltd                                                                | CUSIP: 47047LAA7<br>LEI: 254900G01W2J355PT310 | Long             | ABS-CBDO         | CORP              | KY        |   2953702 | PA      | $2913035.75   | 0.14%             | 2030-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Loancore 2019-CRE2 Issuer Ltd.                                                    | Loancore 2019-CRE2 Issuer Ltd.                                                    | CUSIP: 53946JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3116739 | PA      | $3097599.12   | 0.15%             | 2024-02-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-JR1 Trust                                                               | CSMC 2021-JR1 Trust                                                               | CUSIP: 12657XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513030 | PA      | $478549.46    | 0.02%             | 2024-04-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust, Series 2007-RFC1                                  | Carrington Mortgage Loan Trust, Series 2007-RFC1                                  | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3340049 | PA      | $3197835.10   | 0.16%             | 2036-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust Series 2006-S2                                       | Chase Mortgage Finance Trust Series 2006-S2                                       | CUSIP: 16163BAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6600204 | PA      | $2907524.61   | 0.14%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Grace Trust                                                                       | Grace Trust                                                                       | CUSIP: 38406JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1845000 | PA      | $1265404.14   | 0.06%             | 2030-12-12      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust 2020-BPL1                                       | Homeward Opportunities Fund Trust 2020-BPL1                                       | CUSIP: 43789YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3790316 | PA      | $3780952.55   | 0.19%             | 2023-08-25      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C21                               | JPMBB Commercial Mortgage Securities Trust 2014-C21                               | CUSIP: 46642EBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1469000 | PA      | $1391936.99   | 0.07%             | 2024-07-17      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                        | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                        | CUSIP: 61690KAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1356371 | PA      | $1787.02      | 0.00%             | 2046-02-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| BX Trust 2021-RISE                                                                | BX Trust 2021-RISE                                                                | CUSIP: 12434EAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1084000 | PA      | $1018701.90   | 0.05%             | 2023-11-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust 2007-8                                            | CHL Mortgage Pass-Through Trust 2007-8                                            | CUSIP: 12545AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2138950 | PA      | $1003236.64   | 0.05%             | 2038-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust 2021-JL1                                            | Citigroup Mortgage Loan Trust 2021-JL1                                            | CUSIP: 17329CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1463929 | PA      | $1313020.60   | 0.06%             | 2062-02-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2017-GS7                                             | GS Mortgage Securities Trust 2017-GS7                                             | CUSIP: 36254CBB5<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   4800000 | PA      | $4081754.88   | 0.20%             | 2027-07-12      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust 2019-L3                                            | Morgan Stanley Capital I Trust 2019-L3                                            | CUSIP: 61691UBF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  70695691 | PA      | $2368517.73   | 0.12%             | 2052-11-18      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust 2007-8XS                                       | Morgan Stanley Mortgage Loan Trust 2007-8XS                                       | CUSIP: 61754PAA2<br>LEI: 549300NAJR4EOJG3S510 | Long             | ABS-MBS          | CORP              | US        |   1023407 | PA      | $498036.77    | 0.02%             | 2037-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                       | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                       | CUSIP: 61766RBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2960000 | PA      | $2396871.84   | 0.12%             | 2026-10-19      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust 2018-GS9                                             | GS Mortgage Securities Trust 2018-GS9                                             | CUSIP: 36255NAZ8<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1644576.80   | 0.08%             | 2028-03-10      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| Galaxy XXII CLO Ltd                                                               | Galaxy XXII CLO Ltd                                                               | CUSIP: 36320TAV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4500000 | PA      | $4376209.50   | 0.21%             | 2034-04-17      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust 2006-BNC3                                  | Structured Asset Investment Loan Trust 2006-BNC3                                  | CUSIP: 86361KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5176782 | PA      | $3294009.63   | 0.16%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Wind River 2014-1 CLO Ltd.                                                        | Wind River 2014-1 CLO Ltd.                                                        | CUSIP: 88432CBB1<br>LEI: 549300AMLFWC1VCUN251 | Long             | ABS-CBDO         | CORP              | US        |   2489754 | PA      | $2433405.90   | 0.12%             | 2031-07-18      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132JNU21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |    968481 | PA      | $940296.61    | 0.05%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140HWQB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25000000 | PA      | $21912420.00  | 1.07%             | 2029-11-01      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae REMIC Trust 2020-095                                                   | Ginnie Mae REMIC Trust 2020-095                                                   | CUSIP: 38382GAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  14858511 | PA      | $2077469.43   | 0.10%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38382NPW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  17367085 | PA      | $2609255.10   | 0.13%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38382RCV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  60241944 | PA      | $1921922.84   | 0.09%             | 2051-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38382RPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  19638479 | PA      | $270205.84    | 0.01%             | 2051-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19                       | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19                       | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1782688.00   | 0.09%             | 2024-12-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PMT Credit Risk Transfer Trust 2021-1R                                            | PMT Credit Risk Transfer Trust 2021-1R                                            | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2491975 | PA      | $2372566.18   | 0.12%             | 2024-02-27      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I 2021-NPL1, LLC                                 | Pretium Mortgage Credit Partners I 2021-NPL1, LLC                                 | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    312934 | PA      | $285216.46    | 0.01%             | 2024-03-27      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Sound Pt CLO XXI Ltd                                                              | Sound Pt CLO XXI Ltd                                                              | CUSIP: 83613HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3171184.25   | 0.16%             | 2031-10-27      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| DBUBS 2017-BRBK Mortgage Trust                                                    | DBUBS 2017-BRBK Mortgage Trust                                                    | CUSIP: 23305JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $4019283.58   | 0.20%             | 2024-10-11      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| DOLP Trust 2021-NYC                                                               | DOLP Trust 2021-NYC                                                               | CUSIP: 23345LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $626690.90    | 0.03%             | 2031-05-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Databank Issuer, LLC                                                              | Databank Issuer, LLC                                                              | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | PA      | $1727656.20   | 0.08%             | 2026-02-25      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1              | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2006-Ar1              | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8644581 | PA      | $8008653.51   | 0.39%             | 2036-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140HYAD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  25000000 | PA      | $20834895.00  | 1.02%             | 2030-05-01      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140QKKQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  16139316 | PA      | $14097511.79  | 0.69%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   8887616 | PA      | $8069074.11   | 0.40%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities T                                | J.P. Morgan Chase Commercial Mortgage Securities T                                | CUSIP: 46590WAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1187000 | PA      | $1130846.12   | 0.06%             | 2023-01-06      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1, Ltd.                                                               | CLNC 2019-FL1, Ltd.                                                               | CUSIP: 12565DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1170760 | PA      | $1141735.68   | 0.06%             | 2025-09-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                   | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                   | CUSIP: 46629VAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1787824 | PA      | $1558436.21   | 0.08%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                   | J.P. Morgan Mortgage Acquisition Trust 2006-HE3                                   | CUSIP: 46629VAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4623682 | PA      | $4049432.95   | 0.20%             | 2036-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                            | Federal Home Loan Mortgage Corporation                                            | CUSIP: 3132L6CR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |   1271020 | PA      | $1234031.06   | 0.06%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140X9Y90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  10131718 | PA      | $8328401.76   | 0.41%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140XA6H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18713851 | PA      | $16791663.78  | 0.82%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  18969909 | PA      | $17504037.95  | 0.86%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140XBUV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  22563143 | PA      | $21618484.68  | 1.06%             | 2049-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO 2017-3 Ltd                                                          | Wellfleet CLO 2017-3 Ltd                                                          | CUSIP: 94950HAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3196397.75   | 0.16%             | 2031-01-17      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities 2007-7 Trust                               | Wells Fargo Mortgage Backed Securities 2007-7 Trust                               | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    714891 | PA      | $588942.40    | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                             | Wells Fargo & Company                                                             | CUSIP: 94989YBF9<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |   1577000 | PA      | $1433116.41   | 0.07%             | 2026-01-16      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                             | Wells Fargo & Company                                                             | CUSIP: 95000HBM3<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1743152.40   | 0.09%             | 2026-09-17      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                             | Wells Fargo & Company                                                             | CUSIP: 95000LBC6<br>LEI: 549300JPCJUA5JJLRW54 | Long             | ABS-CBDO         | CORP              | US        |  10676482 | PA      | $419600.70    | 0.02%             | 2059-03-17      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140X7WF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  33706691 | PA      | $28833158.62  | 1.41%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen 2020-1 Trust                                                            | Goodgreen 2020-1 Trust                                                            | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2852936 | PA      | $2499926.15   | 0.12%             | 2055-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance I Limited                                                 | Raptor Aircraft Finance I Limited                                                 | CUSIP: 75383HAA9<br>LEI: 549300K8O6BITGGFFN88 | Long             | ABS-CBDO         | CORP              | KY        |   3553122 | PA      | $2586459.29   | 0.13%             | 2026-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                                  | Residential Accredit Loans, Inc.                                                  | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4308718 | PA      | $2912978.55   | 0.14%             | 2036-01-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2017-C39                                    | Wells Fargo Commercial Mortgage Trust 2017-C39                                    | CUSIP: 95000XAH0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  68306838 | PA      | $2389748.87   | 0.12%             | 2050-09-16      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A8                                    | Residential Asset Securitization Trust 2007-A8                                    | CUSIP: 761128AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15499726 | PA      | $8467786.83   | 0.42%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRTX 2019-FL3 Issuer, Ltd.                                                        | TRTX 2019-FL3 Issuer, Ltd.                                                        | CUSIP: 87276VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3766000 | PA      | $3757509.55   | 0.18%             | 2024-03-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| TRTX 2021-FL4 Issuer, Ltd.                                                        | TRTX 2021-FL4 Issuer, Ltd.                                                        | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $2869207.20   | 0.14%             | 2038-03-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust    | CUSIP: 93934NAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1871449 | PA      | $1411878.83   | 0.07%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140LDY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   6300000 | PA      | $4792404.96   | 0.24%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140LFQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  62149000 | PA      | $52034256.46  | 2.55%             | 2032-04-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   4091562 | PA      | $3794252.48   | 0.19%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 3140Q7HT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |   3409444 | PA      | $3266699.50   | 0.16%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association, Inc.                                       | Federal National Mortgage Association, Inc.                                       | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGA              | US        |  15975039 | PA      | $13131686.65  | 0.64%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38382NXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  29390005 | PA      | $4009684.29   | 0.20%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38382USE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  41818055 | PA      | $6370094.13   | 0.31%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38383MQQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  13523112 | PA      | $283893.40    | 0.01%             | 2050-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2007-A3                                    | Residential Asset Securitization Trust 2007-A3                                    | CUSIP: 76113WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5179661 | PA      | $2311453.96   | 0.11%             | 2037-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust 2006-A12                                   | Residential Asset Securitization Trust 2006-A12                                   | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8962932 | PA      | $3723046.03   | 0.18%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                                                            | Taco Bell Funding, LLC                                                            | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3960000 | PA      | $3024020.34   | 0.15%             | 2031-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust 2021-4                                               | Upstart Securitization Trust 2021-4                                               | CUSIP: 91682NAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5250000 | PA      | $4041666.30   | 0.20%             | 2031-09-20      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust 2015-NXS4                                   | Wells Fargo Commercial Mortgage Trust 2015-NXS4                                   | CUSIP: 94989XBL8<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |   2031000 | PA      | $1730235.51   | 0.08%             | 2025-11-18      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan 2007-PA5 Trust                                       | Wells Fargo Alternative Loan 2007-PA5 Trust                                       | CUSIP: 949922AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    426983 | PA      | $353475.20    | 0.02%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust 2020-Z1                                         | Affirm Asset Securitization Trust 2020-Z1                                         | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    387741 | PA      | $386488.77    | 0.02%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust 2021-B                                          | Affirm Asset Securitization Trust 2021-B                                          | CUSIP: 00834DAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3750000 | PA      | $3418829.25   | 0.17%             | 2024-04-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2007-5CB                                                   | Alternative Loan Trust 2007-5CB                                                   | CUSIP: 02150EAF0<br>LEI: 549300NHEJTDVQUV3M53 | Long             | ABS-MBS          | CORP              | US        |   3255082 | PA      | $1529453.44   | 0.08%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38381DFX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  78324627 | PA      | $4785086.44   | 0.23%             | 2061-04-16      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust Series                                 | Merrill Lynch Alternative Note Asset Trust Series                                 | CUSIP: 590227AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10362636 | PA      | $3432958.92   | 0.17%             | 2047-10-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| OFSI BSL IX, Ltd.                                                                 | OFSI BSL IX, Ltd.                                                                 | CUSIP: 67111BAC4<br>LEI: 549300ISCSFRB3LRFG70 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1955414.00   | 0.10%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO X                                                                | Ocean Trails CLO X                                                                | CUSIP: 67516CAN9<br>LEI: 635400RMMLHBGDGXBC03 | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $967404.00    | 0.05%             | 2034-10-16      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust                                                                       | CSMCM Trust                                                                       | CUSIP: 12652YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17793222 | PA      | $14377133.74  | 0.71%             | 2058-09-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Securities (USA) LLC                                                | Credit Suisse Securities (USA) LLC                                                | CUSIP: 225470YH0<br>LEI: 1V8Y6QCX6YMJ2OELII46 | Long             | ABS-MBS          | CORP              | US        |   2235440 | PA      | $994875.92    | 0.05%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-OC8                                                   | Alternative Loan Trust 2006-OC8                                                   | CUSIP: 232434AU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3582031 | PA      | $3004054.51   | 0.15%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Ginnie Mae REMIC Trust 2020-095                                                   | Ginnie Mae REMIC Trust 2020-095                                                   | CUSIP: 38382GDB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  28692603 | PA      | $4400446.83   | 0.22%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38382KG56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  43411868 | PA      | $5573762.56   | 0.27%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                          | Government National Mortgage Association                                          | CUSIP: 38382M3T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |  54071768 | PA      | $7010085.64   | 0.34%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust 2016-4A                                                        | HERO Funding Trust 2016-4A                                                        | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2048675 | PA      | $1976330.36   | 0.10%             | 2037-09-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust 2007-NC1                               | HSI Asset Securitization Corporation Trust 2007-NC1                               | CUSIP: 40430TAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2074205 | PA      | $1247405.69   | 0.06%             | 2037-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-28

**Name of Applicant:** JNL Series Trust

**Signature:** Andrew Tedeschi

**Name of Signer:** Andrew Tedeschi

**Title:** Principal Financial Officer